EEM Options History — April 2011

In April 2011, EEM traded between $47.90 and $50.20. ATM implied volatility averaged 19.5%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.8% (HV 20d: 17.7%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.70.

Notable Days

  • 2011-04-05: Highest Volume — 675,788 contracts
  • 2011-04-13: Largest IV drop — 20.6% change
  • 2011-04-12: Highest IV Rank — 18.0%
  • 2011-04-12: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.51$47.90$50.20$49.45$50.00
Max Pain$48.60$46.00$49.00$46.00$49.00
ATM IV19.5%17.6%23.8%18.6%18.5%
Expected Move5.8%5.2%6.7%5.2%5.4%
HV 20d17.7%14.9%19.7%19.7%19.1%
HV 60d19.5%18.9%20.6%19.7%18.9%
IV Rank5.6%0.5%18.0%3.1%3.0%
IV Percentile10.5%0.8%45.2%4.4%5.2%
Term Structure1.8%1.0%2.7%2.1%2.4%
VWIV20.8%17.9%24.2%18.0%19.2%
Skew 25d4.8%3.0%6.7%3.0%3.6%
Skew 10d10.2%6.7%13.4%6.7%7.9%
Call IV 25d18.2%16.7%20.5%16.8%16.7%
Put IV 25d23.0%19.8%26.3%19.8%20.3%
Bid-Ask Spread %12.784.7044.017.1444.01
Gamma HHI0.140.070.360.160.11
Net GEX194.8M-23.8M389.0M338.2M89.1M
Net DEX-2.10B-3.79B493.1M-3.61B-1.40B
Net VEX-34.8M-36.8M-32.0M-32.0M-36.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.197.181.451.97
Total Volume306,471.9594,561675,788590,02594,561
Total OI5,454,140.154,914,1566,264,7545,283,3765,354,966

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$49.45$46.0018.6%5.2%19.7%3.1%18.0%3.0%2.1%338.2M-3.61B-32.0M1.457.14241,232348,7932,236,6623,046,714
2011-04-04$49.87$48.0019.0%5.7%18.7%4.3%20.8%5.9%1.5%377.5M-3.79B-32.3M0.4414.46134,43559,7032,332,3563,034,569
2011-04-05$49.77$48.0018.8%5.8%18.6%3.8%18.4%5.6%1.5%338.2M-3.52B-32.3M0.196.18565,742110,0462,282,3023,064,952
2011-04-06$50.04$48.0018.0%6.0%18.6%1.5%22.7%6.0%1.4%389.0M-3.79B-32.4M1.037.42166,572172,0712,353,2583,094,949
2011-04-07$49.95$48.0017.6%6.0%15.3%0.5%24.2%6.0%1.0%349.2M-3.48B-33.5M1.638.45120,957197,1182,398,9123,190,840
2011-04-08$50.04$48.0018.7%6.2%15.3%3.5%22.7%6.4%1.0%275.9M-3.55B-34.4M2.296.5166,259151,4222,407,3523,303,260
2011-04-11$49.45$49.0022.4%6.6%16.3%14.1%24.0%6.7%1.2%232.0M-2.66B-34.2M2.4811.9241,266102,3622,375,5633,352,575
2011-04-12$48.48$49.0023.8%6.7%16.5%18.0%22.7%5.8%1.4%121.3M-980.8M-34.5M1.869.62205,798383,0812,384,9933,407,209
2011-04-13$48.92$49.0018.9%6.2%15.0%4.0%22.1%4.9%1.9%192.2M-1.73B-35.3M1.567.74101,498158,6642,486,8383,515,386
2011-04-14$49.04$49.0021.1%6.0%14.9%10.2%21.4%4.8%1.7%193.4M-1.89B-35.3M1.0134.37225,521227,3962,468,2953,595,287
2011-04-15$49.13$49.0020.1%5.8%14.9%7.4%20.5%4.3%2.2%374.3M-2.23B-35.9M1.237.51116,547143,4682,543,0993,721,655
2011-04-18$47.90$49.0021.1%6.1%17.3%10.4%22.7%5.0%1.9%-23.8M493.1M-35.5M2.444.7098,807241,4131,934,8622,979,294
2011-04-19$48.59$49.0018.9%5.4%17.9%3.9%18.8%4.5%2.7%23.0M-192.8M-35.3M1.988.6354,238107,1761,935,0823,044,385
2011-04-20$49.80$49.0018.4%5.3%19.3%2.6%19.0%4.0%2.4%114.3M-1.61B-35.2M0.529.42151,51178,9341,947,4643,061,245
2011-04-21$50.17$49.0018.7%5.4%19.0%3.6%17.9%4.4%2.3%149.2M-2.09B-36.7M1.0523.46167,990176,0542,098,7813,086,979
2011-04-25$49.75$49.0019.9%5.7%19.4%6.9%19.0%4.8%1.6%107.3M-1.52B-36.5M0.267.99189,53449,3792,079,0603,174,117
2011-04-26$50.20$49.0019.4%5.6%19.3%5.6%22.3%3.2%1.6%61.5M-1.69B-35.1M7.187.1221,998157,9501,831,9873,199,930
2011-04-27$50.02$49.0019.0%5.5%19.2%4.4%19.0%3.9%2.1%80.3M-1.56B-36.5M1.195.77118,389140,5141,952,8643,322,664
2011-04-28$49.62$49.0018.3%5.2%19.1%2.3%20.2%3.8%2.2%113.4M-1.26B-36.8M2.1723.3076,149164,8912,095,5313,386,566
2011-04-29$50.00$49.0018.5%5.4%19.1%3.0%19.2%3.6%2.4%89.1M-1.40B-36.3M1.9744.0131,82062,7411,873,5653,481,401