EEM Options History — July 2011

In July 2011, EEM traded between $46.10 and $48.52. ATM implied volatility averaged 22.5%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.5% (HV 20d: 22.0%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.11.

Notable Days

2011-07-28: Highest Volume — 359,768 contracts
2011-07-11: Largest IV spike — 36.5% change
2011-07-29: Highest IV Rank — 96.0%
2011-07-29: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.18	$46.10	$48.52	$46.85	$47.11
Max Pain	$47.05	$47.00	$48.00	$48.00	$47.00
ATM IV	22.5%	17.0%	32.4%	22.5%	32.4%
Expected Move	6.5%	5.6%	7.9%	5.8%	7.9%
HV 20d	22.0%	20.4%	23.4%	20.4%	21.2%
HV 60d	21.1%	20.4%	22.0%	20.4%	20.4%
IV Rank	39.1%	8.7%	96.0%	27.5%	96.0%
IV Percentile	44.2%	0.8%	99.6%	41.7%	99.6%
Term Structure	0.6%	-6.4%	1.9%	-6.4%	-1.8%
VWIV	23.7%	19.3%	27.9%	19.3%	27.9%
Skew 25d	4.2%	-5.6%	6.1%	-5.6%	6.1%
Skew 10d	9.3%	0.9%	12.7%	0.9%	12.7%
Call IV 25d	20.6%	17.8%	24.9%	19.0%	24.9%
Put IV 25d	24.9%	13.4%	31.0%	13.4%	31.0%
Bid-Ask Spread %	19.67	5.13	57.99	57.99	26.10
Gamma HHI	0.10	0.08	0.12	0.08	0.09
Net GEX	-117.4M	-242.9M	-47.9M	-47.9M	-81.5M
Net DEX	1.04B	-71.8M	2.82B	31.9M	718.6M
Net VEX	-32.4M	-34.0M	-31.2M	-31.2M	-34.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.11	0.51	5.29	1.88	0.65
Total Volume	188,619.5	60,003	359,768	156,925	272,080
Total OI	4,734,796.1	4,204,323	5,343,055	4,852,006	4,735,226

Daily Data (20 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
2011-07-01	$46.85	$48.00	22.5%	5.8%	20.4%	27.5%	19.3%	-5.6%	-6.4%	-47.9M	31.9M	-31.2M	1.88	57.99	54,568	102,357	1,583,506	3,268,500
2011-07-05	$48.14	$47.00	20.6%	5.9%	22.0%	20.4%	21.3%	6.1%	1.9%	-78.1M	306.0M	-32.5M	1.68	7.31	43,934	73,788	1,582,284	3,307,398
2011-07-06	$47.91	$47.00	17.9%	5.7%	21.9%	13.8%	22.5%	5.5%	1.8%	-107.8M	657.7M	-32.6M	3.00	6.37	25,700	77,164	1,602,445	3,301,677
2011-07-07	$48.52	$47.00	17.0%	5.6%	22.1%	8.7%	21.4%	4.6%	1.6%	-55.6M	-71.8M	-32.1M	1.24	6.63	78,027	97,036	1,614,131	3,331,741
2011-07-08	$47.93	$47.00	17.2%	5.9%	22.5%	9.7%	23.4%	5.4%	1.9%	-103.4M	492.8M	-32.5M	5.29	25.79	39,289	207,785	1,658,604	3,374,851
2011-07-11	$46.79	$47.00	23.4%	6.6%	22.8%	45.1%	25.3%	5.9%	1.0%	-214.7M	2.10B	-32.9M	4.03	10.00	45,198	181,930	1,663,804	3,450,649
2011-07-12	$46.12	$47.00	25.9%	6.9%	23.4%	59.0%	26.4%	4.9%	1.1%	-242.9M	2.82B	-32.7M	3.21	9.04	36,406	117,045	1,675,453	3,450,016
2011-07-13	$46.87	$47.00	21.9%	6.5%	23.4%	36.3%	23.1%	4.1%	1.0%	-183.9M	1.75B	-32.5M	1.25	9.34	122,999	153,822	1,672,880	3,444,465
2011-07-14	$46.50	$47.00	24.3%	7.0%	22.1%	50.2%	24.5%	5.5%	1.0%	-203.0M	2.35B	-32.8M	2.08	14.36	111,075	231,120	1,711,890	3,495,761
2011-07-15	$46.66	$47.00	22.1%	6.3%	21.9%	37.8%	24.9%	5.9%	1.5%	-192.0M	2.05B	-33.1M	2.08	5.13	72,063	149,730	1,768,391	3,574,664
2011-07-18	$46.10	$47.00	23.6%	6.8%	22.4%	46.0%	24.1%	4.7%	0.9%	-145.8M	1.91B	-31.9M	1.57	7.77	75,279	118,073	1,432,717	2,771,606
2011-07-19	$46.76	$47.00	21.7%	6.2%	22.9%	35.5%	22.1%	4.3%	1.3%	-116.9M	1.22B	-32.4M	1.23	20.18	73,977	91,107	1,477,066	2,818,670
2011-07-20	$46.93	$47.00	22.4%	6.4%	22.2%	39.3%	23.8%	4.0%	1.1%	-102.2M	1.04B	-32.2M	3.32	23.23	34,249	113,670	1,508,202	2,825,086
2011-07-21	$47.73	$47.00	21.7%	6.2%	21.6%	35.4%	22.7%	3.9%	1.0%	-61.0M	262.2M	-32.4M	1.56	55.01	75,997	118,582	1,521,056	2,861,253
2011-07-22	$47.74	$47.00	20.9%	6.0%	21.5%	30.6%	22.5%	3.3%	1.2%	-54.8M	176.8M	-31.5M	2.81	33.92	28,886	81,105	1,556,611	2,860,272
2011-07-25	$47.57	$47.00	21.6%	6.2%	21.6%	34.8%	23.0%	3.4%	1.0%	-73.3M	372.8M	-31.6M	1.62	19.71	22,918	37,085	1,546,319	2,886,519
2011-07-26	$47.64	$47.00	21.8%	6.3%	21.3%	36.2%	22.8%	3.1%	1.2%	-60.4M	215.2M	-31.4M	2.08	19.34	28,271	58,899	1,552,276	2,864,798
2011-07-27	$46.87	$47.00	25.8%	7.4%	21.8%	58.8%	26.5%	4.2%	-0.2%	-113.4M	1.21B	-32.1M	1.13	18.32	75,719	85,689	1,566,004	2,889,329
2011-07-28	$46.89	$47.00	26.2%	7.5%	21.5%	61.0%	26.4%	5.5%	-0.2%	-109.5M	1.17B	-32.6M	0.51	17.83	238,821	120,947	1,580,883	2,908,919
2011-07-29	$47.11	$47.00	32.4%	7.9%	21.2%	96.0%	27.9%	6.1%	-1.8%	-81.5M	718.6M	-34.0M	0.65	26.10	164,957	107,123	1,757,541	2,977,685