EEM Options History — June 2011

In June 2011, EEM traded between $45.47 and $48.14. ATM implied volatility averaged 24.1%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.2% (HV 20d: 20.8%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.49.

Notable Days

2011-06-23: Highest Volume — 516,321 contracts
2011-06-06: Largest IV spike — 29.9% change
2011-06-06: Highest IV Rank — 32.5%
2011-06-16: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.66	$45.47	$48.14	$47.66	$47.60
Max Pain	$48.86	$48.00	$50.00	$49.00	$48.00
ATM IV	24.1%	16.7%	27.5%	27.5%	16.7%
Expected Move	6.7%	4.8%	7.4%	6.3%	4.8%
HV 20d	20.8%	19.7%	22.0%	21.6%	19.8%
HV 60d	20.0%	19.4%	20.4%	20.1%	20.2%
IV Rank	23.3%	4.8%	32.5%	32.4%	4.8%
IV Percentile	55.6%	0.4%	82.9%	77.0%	0.4%
Term Structure	0.9%	-0.5%	3.3%	0.3%	3.3%
VWIV	25.0%	20.1%	31.6%	23.9%	20.1%
Skew 25d	6.3%	4.1%	8.1%	4.1%	4.6%
Skew 10d	11.8%	7.2%	15.1%	7.2%	9.8%
Call IV 25d	20.8%	16.1%	23.7%	20.9%	16.1%
Put IV 25d	27.0%	20.7%	31.8%	25.1%	20.7%
Bid-Ask Spread %	9.95	3.80	63.54	4.02	7.75
Gamma HHI	0.11	0.09	0.18	0.10	0.09
Net GEX	-190.1M	-297.4M	-102.5M	-157.3M	-102.5M
Net DEX	2.52B	853.3M	4.35B	1.75B	853.3M
Net VEX	-34.0M	-35.8M	-32.4M	-35.8M	-33.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.49	0.37	5.96	3.92	2.12
Total Volume	233,987.591	105,098	516,321	192,552	210,327
Total OI	5,232,153.818	4,110,111	6,022,807	5,575,198	4,781,483

Daily Data (22 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
2011-06-01	$47.66	$49.00	27.5%	6.3%	21.6%	32.4%	23.9%	4.1%	0.3%	-157.3M	1.75B	-35.8M	3.92	4.02	39,121	153,431	1,793,700	3,781,498
2011-06-02	$48.14	$49.00	21.6%	6.1%	21.2%	16.5%	23.2%	4.4%	1.1%	-141.0M	1.16B	-35.2M	1.58	3.80	40,746	64,352	1,772,489	3,801,466
2011-06-03	$47.79	$50.00	21.2%	6.4%	21.1%	15.4%	23.5%	6.1%	1.2%	-156.5M	1.60B	-35.1M	3.00	5.59	45,896	137,715	1,786,822	3,819,884
2011-06-06	$47.08	$50.00	27.5%	6.9%	21.2%	32.5%	26.2%	6.4%	0.7%	-204.0M	2.60B	-34.9M	5.96	5.21	29,054	173,116	1,792,287	3,839,374
2011-06-07	$47.50	$50.00	26.2%	6.9%	21.4%	29.1%	25.7%	6.4%	0.3%	-168.5M	1.95B	-34.4M	3.59	4.82	24,833	89,207	1,793,143	3,857,888
2011-06-08	$47.13	$50.00	22.8%	6.8%	21.0%	19.7%	26.4%	6.6%	1.0%	-209.9M	2.22B	-34.4M	2.92	6.41	45,819	133,683	1,799,753	3,824,864
2011-06-09	$47.49	$49.00	22.8%	6.5%	19.8%	19.8%	24.5%	6.1%	0.9%	-185.8M	1.70B	-33.8M	3.04	5.91	51,384	156,409	1,816,922	3,856,519
2011-06-10	$46.47	$49.00	24.2%	7.0%	21.2%	23.7%	24.8%	6.0%	1.2%	-260.6M	3.24B	-33.9M	1.74	5.87	142,448	248,525	1,826,354	3,921,560
2011-06-13	$46.39	$49.00	25.3%	7.3%	19.7%	26.6%	26.0%	6.2%	0.4%	-229.4M	3.12B	-34.1M	2.50	4.94	45,974	115,110	1,894,985	3,934,545
2011-06-14	$47.15	$49.00	22.7%	6.5%	20.6%	19.4%	21.9%	5.4%	1.0%	-164.1M	1.95B	-33.8M	1.95	30.86	55,203	107,870	1,895,318	3,914,092
2011-06-15	$46.11	$49.00	25.3%	7.3%	22.0%	26.6%	26.5%	7.0%	0.5%	-262.2M	3.64B	-33.8M	2.34	10.10	93,507	219,072	1,921,688	3,957,593
2011-06-16	$45.73	$49.00	25.9%	7.4%	21.2%	28.1%	28.1%	8.1%	1.0%	-297.4M	4.35B	-33.7M	1.84	5.78	133,166	244,897	1,956,386	3,997,945
2011-06-17	$45.79	$50.00	25.8%	7.4%	21.2%	28.0%	25.9%	7.9%	0.6%	-276.0M	4.33B	-33.9M	1.19	7.32	158,431	188,985	1,987,820	4,034,987
2011-06-20	$45.70	$48.00	23.8%	6.8%	21.0%	22.5%	26.1%	6.8%	0.8%	-176.7M	3.02B	-32.4M	1.94	4.70	83,602	161,799	1,354,472	2,755,639
2011-06-21	$46.44	$48.00	23.9%	6.9%	20.5%	22.9%	31.6%	6.8%	-0.5%	-158.5M	2.43B	-33.1M	0.37	6.39	359,485	133,989	1,421,279	2,828,959
2011-06-22	$45.52	$49.00	21.7%	6.2%	21.4%	16.9%	22.5%	6.8%	1.2%	-178.3M	3.08B	-32.7M	2.06	5.16	52,156	107,567	1,430,946	2,892,828
2011-06-23	$45.47	$48.00	24.3%	7.0%	21.4%	23.9%	25.0%	6.8%	0.2%	-186.6M	3.16B	-33.2M	3.16	5.86	124,006	392,315	1,452,619	2,963,305
2011-06-24	$45.49	$48.00	25.5%	7.3%	20.6%	27.2%	27.4%	7.1%	-0.1%	-192.0M	3.19B	-34.6M	3.71	14.80	25,683	95,268	1,509,441	3,128,178
2011-06-27	$46.03	$48.00	27.4%	6.9%	20.7%	32.2%	26.6%	6.5%	0.6%	-173.5M	2.56B	-34.0M	2.01	4.93	48,447	97,189	1,518,893	3,076,608
2011-06-28	$46.66	$48.00	24.8%	6.3%	20.3%	25.3%	23.3%	6.0%	1.1%	-153.8M	1.93B	-34.1M	1.69	5.27	52,444	88,785	1,544,828	3,132,061
2011-06-29	$47.09	$48.00	22.5%	5.6%	19.8%	19.0%	22.0%	5.3%	2.2%	-148.0M	1.63B	-33.8M	2.05	63.54	57,923	118,788	1,569,252	3,166,711
2011-06-30	$47.60	$48.00	16.7%	4.8%	19.8%	4.8%	20.1%	4.6%	3.3%	-102.5M	853.3M	-33.3M	2.12	7.75	67,468	142,859	1,570,657	3,210,826