EEM Options History — May 2011

In May 2011, EEM traded between $46.06 and $50.05. ATM implied volatility averaged 21.9%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.0% (HV 20d: 20.8%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.50.

Notable Days

2011-05-26: Highest Volume — 463,418 contracts
2011-05-31: Largest IV spike — 32.4% change
2011-05-04: Highest IV Rank — 24.8%
2011-05-06: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.70	$46.06	$50.05	$50.05	$48.53
Max Pain	$49.00	$49.00	$49.00	$49.00	$49.00
ATM IV	21.9%	15.4%	26.2%	21.6%	20.4%
Expected Move	6.2%	5.2%	6.8%	5.7%	5.3%
HV 20d	20.8%	18.3%	22.8%	18.3%	22.2%
HV 60d	19.9%	18.9%	20.5%	18.9%	20.0%
IV Rank	13.0%	0.0%	24.8%	11.6%	13.5%
IV Percentile	31.9%	0.0%	62.3%	28.6%	18.7%
Term Structure	1.2%	0.6%	2.6%	1.9%	1.7%
VWIV	22.7%	19.5%	25.3%	21.2%	20.5%
Skew 25d	4.7%	2.2%	5.4%	4.3%	3.8%
Skew 10d	9.3%	6.3%	11.3%	9.0%	7.9%
Call IV 25d	19.8%	17.4%	21.2%	18.2%	17.4%
Put IV 25d	24.5%	19.8%	26.5%	22.5%	21.2%
Bid-Ask Spread %	6.42	3.47	17.35	3.98	4.74
Gamma HHI	0.12	0.07	0.55	0.09	0.09
Net GEX	-219.7M	-830.1M	28.7M	28.7M	-99.5M
Net DEX	1.96B	-1.32B	3.54B	-1.32B	514.7M
Net VEX	-35.5M	-38.6M	-33.1M	-36.1M	-34.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.50	1.02	6.18	6.18	1.84
Total Volume	268,622.714	168,309	463,418	232,888	207,972
Total OI	5,586,246.238	4,962,378	5,973,740	5,334,878	5,515,238

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-05-02	$50.05	$49.00	21.6%	5.7%	18.3%	11.6%	21.2%	4.3%	1.9%	28.7M	-1.32B	-36.1M	6.18	3.98	32,415	200,473	1,842,080	3,492,798
2011-05-03	$48.90	$49.00	23.2%	6.4%	19.9%	16.2%	23.3%	5.4%	1.3%	-66.1M	351.7M	-37.3M	1.82	11.75	151,254	274,856	1,859,537	3,549,164
2011-05-04	$48.11	$49.00	26.2%	6.5%	20.6%	24.8%	22.3%	5.2%	1.1%	-158.5M	1.69B	-38.6M	2.15	4.15	142,052	304,839	1,883,636	3,774,250
2011-05-05	$47.63	$49.00	22.3%	6.4%	20.6%	13.8%	23.5%	4.5%	1.4%	-183.9M	2.27B	-37.9M	2.48	8.43	52,641	130,302	1,801,726	3,795,920
2011-05-06	$48.25	$49.00	23.4%	6.8%	21.3%	16.8%	24.7%	5.3%	0.6%	-134.7M	1.37B	-37.4M	2.11	8.20	74,403	157,272	1,806,173	3,764,424
2011-05-09	$48.34	$49.00	22.5%	6.6%	21.4%	14.3%	23.2%	5.2%	0.9%	-134.3M	1.14B	-36.2M	1.28	3.72	99,721	127,715	1,811,629	3,801,802
2011-05-10	$48.91	$49.00	21.3%	6.2%	21.5%	10.9%	24.2%	5.0%	0.9%	-108.3M	514.1M	-36.0M	1.78	5.07	81,021	144,035	1,808,352	3,973,289
2011-05-11	$47.83	$49.00	21.4%	6.5%	21.8%	11.1%	24.4%	4.8%	0.9%	-222.8M	2.17B	-36.1M	2.67	5.29	84,131	224,866	1,829,757	3,895,955
2011-05-12	$47.97	$49.00	22.3%	6.4%	21.6%	13.8%	22.6%	5.3%	1.0%	-235.5M	1.94B	-36.5M	1.07	9.53	81,369	86,940	1,852,624	4,017,110
2011-05-13	$46.92	$49.00	23.1%	6.6%	22.8%	16.1%	23.7%	5.0%	1.2%	-343.2M	3.51B	-36.1M	3.88	5.38	52,034	202,128	1,871,092	3,987,782
2011-05-16	$46.78	$49.00	23.3%	6.7%	22.7%	16.6%	24.0%	5.3%	0.9%	-332.6M	3.54B	-35.0M	1.02	4.19	120,850	123,781	1,840,902	3,965,176
2011-05-17	$47.00	$49.00	23.0%	6.6%	21.2%	15.7%	25.3%	5.0%	1.0%	-296.4M	3.17B	-34.9M	3.92	4.81	49,190	193,073	1,887,131	3,971,685
2011-05-18	$47.76	$49.00	21.2%	6.1%	21.3%	10.6%	21.8%	4.8%	1.3%	-231.5M	2.11B	-34.5M	2.62	4.23	73,197	191,692	1,904,269	4,069,471
2011-05-19	$47.52	$49.00	20.6%	5.9%	19.1%	8.8%	22.0%	5.1%	1.4%	-251.4M	2.37B	-34.0M	1.91	5.19	76,109	145,026	1,914,772	3,976,471
2011-05-20	$47.07	$49.00	21.3%	6.1%	18.9%	10.7%	22.5%	4.7%	1.4%	-830.1M	2.96B	-33.7M	2.61	17.35	70,737	184,873	1,953,237	3,998,612
2011-05-23	$46.06	$49.00	23.1%	6.6%	20.0%	15.9%	23.9%	4.9%	0.8%	-233.7M	3.37B	-33.1M	2.20	7.12	85,163	187,270	1,576,889	3,385,489
2011-05-24	$46.50	$49.00	22.9%	6.6%	20.0%	15.5%	22.8%	4.6%	0.6%	-223.9M	2.91B	-33.3M	1.12	5.62	130,677	146,749	1,610,409	3,446,617
2011-05-25	$46.57	$49.00	20.6%	5.9%	20.1%	8.7%	20.7%	4.1%	0.9%	-216.6M	2.84B	-33.6M	1.83	3.98	75,216	137,502	1,683,095	3,500,714
2011-05-26	$47.25	$49.00	20.0%	5.7%	21.0%	7.3%	21.2%	4.0%	1.5%	-183.8M	2.04B	-34.3M	5.59	3.47	70,328	393,090	1,691,755	3,564,787
2011-05-27	$47.71	$49.00	15.4%	5.2%	21.2%	0.0%	19.5%	2.2%	2.6%	-156.5M	1.60B	-34.9M	2.51	8.67	78,156	195,959	1,714,768	3,720,584
2011-05-31	$48.53	$49.00	20.4%	5.3%	22.2%	13.5%	20.5%	3.8%	1.7%	-99.5M	514.7M	-34.8M	1.84	4.74	73,208	134,764	1,764,960	3,750,278