EEM Options History — August 2011

In August 2011, EEM traded between $38.94 and $47.07. ATM implied volatility averaged 41.8%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 5.2% (HV 20d: 47.0%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.65.

Notable Days

2011-08-04: Highest Volume — 591,775 contracts
2011-08-08: Largest IV spike — 124.5% change
2011-08-02: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.73	$38.94	$47.07	$47.07	$42.75
Max Pain	$46.17	$45.00	$47.00	$47.00	$45.00
ATM IV	41.8%	30.3%	93.6%	31.0%	35.1%
Expected Move	10.5%	7.2%	15.8%	7.2%	9.4%
HV 20d	47.0%	20.4%	58.4%	20.4%	58.4%
HV 60d	32.4%	20.3%	37.4%	20.3%	37.4%
IV Rank	48.7%	19.1%	100.0%	88.1%	25.2%
IV Percentile	97.3%	92.5%	100.0%	98.0%	93.3%
Term Structure	-1.6%	-6.4%	1.0%	-0.5%	-1.7%
VWIV	37.0%	25.3%	50.5%	25.3%	34.0%
Skew 25d	12.6%	5.1%	18.4%	5.8%	10.4%
Skew 10d	25.2%	11.3%	38.3%	12.1%	21.0%
Call IV 25d	31.3%	22.7%	43.1%	22.7%	29.2%
Put IV 25d	43.9%	28.5%	61.5%	28.5%	39.6%
Bid-Ask Spread %	24.00	9.39	84.10	15.06	12.34
Gamma HHI	0.08	0.07	0.12	0.09	0.07
Net GEX	-143.1M	-213.0M	-69.2M	-69.2M	-75.3M
Net DEX	4.71B	843.3M	6.71B	843.3M	2.64B
Net VEX	-29.1M	-32.5M	-26.6M	-32.5M	-31.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.65	0.27	2.70	0.89	0.89
Total Volume	308,944.478	163,340	591,775	166,803	319,843
Total OI	5,443,871.435	4,847,032	6,035,162	4,847,032	5,781,305

Daily Data (23 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
2011-08-01	$47.07	$47.00	31.0%	7.2%	20.4%	88.1%	25.3%	5.8%	-0.5%	-69.2M	843.3M	-32.5M	0.89	15.06	88,079	78,724	1,862,558	2,984,474
2011-08-02	$45.62	$47.00	35.9%	7.4%	20.7%	100.0%	26.7%	5.1%	-0.6%	-172.3M	2.52B	-31.7M	2.14	16.90	72,028	153,904	1,857,206	2,999,663
2011-08-03	$45.43	$47.00	35.4%	7.5%	20.7%	97.8%	26.9%	6.0%	-0.7%	-213.0M	2.95B	-30.8M	1.07	18.94	79,698	85,580	1,865,463	3,054,655
2011-08-04	$42.86	$47.00	42.3%	10.3%	27.8%	100.0%	34.8%	9.4%	-4.1%	-208.2M	5.23B	-28.6M	2.08	17.91	192,397	399,378	1,882,221	3,031,234
2011-08-05	$42.69	$47.00	41.7%	9.5%	27.7%	97.7%	35.2%	11.1%	0.0%	-195.4M	5.34B	-30.2M	2.66	20.13	158,684	421,881	2,000,591	3,123,892
2011-08-08	$38.94	$47.00	93.6%	15.8%	41.0%	100.0%	50.5%	18.4%	-6.4%	-116.3M	6.68B	-26.6M	1.83	45.81	207,611	378,987	2,056,515	3,090,771
2011-08-09	$41.18	$47.00	55.8%	11.5%	47.0%	51.7%	41.5%	15.6%	-2.7%	-165.2M	5.90B	-28.4M	1.44	37.18	151,562	218,834	2,123,839	3,165,576
2011-08-10	$39.30	$47.00	64.1%	13.9%	48.4%	62.3%	49.8%	16.6%	-4.0%	-131.9M	6.71B	-27.3M	2.70	21.31	121,655	328,277	2,179,142	3,253,012
2011-08-11	$41.23	$47.00	40.1%	11.5%	52.4%	31.6%	38.8%	17.8%	-0.7%	-171.1M	5.86B	-30.0M	1.21	84.10	158,411	192,111	2,237,550	3,453,597
2011-08-12	$41.27	$46.00	38.4%	11.0%	52.4%	29.4%	42.9%	14.6%	-1.5%	-182.1M	5.86B	-29.7M	2.52	52.46	127,295	320,776	2,329,340	3,477,146
2011-08-15	$42.20	$46.00	32.1%	9.2%	53.2%	21.3%	32.0%	13.2%	0.9%	-180.1M	5.23B	-29.6M	1.52	39.64	86,187	130,761	2,382,211	3,508,509
2011-08-16	$41.96	$46.00	31.6%	9.1%	52.8%	20.7%	32.0%	12.0%	1.0%	-180.5M	5.30B	-28.9M	1.61	19.29	79,986	128,905	2,395,889	3,496,320
2011-08-17	$42.17	$46.00	30.3%	8.7%	52.8%	19.1%	30.5%	9.1%	0.4%	-181.2M	5.00B	-28.9M	1.25	9.39	77,395	96,727	2,430,181	3,506,941
2011-08-18	$40.18	$46.00	39.2%	11.3%	54.2%	30.5%	41.7%	13.4%	-2.4%	-159.7M	6.25B	-27.6M	1.41	23.94	101,920	143,308	2,451,826	3,495,625
2011-08-19	$39.68	$46.00	41.1%	11.8%	54.2%	32.8%	42.4%	14.8%	-2.4%	-161.9M	6.53B	-27.6M	2.66	17.02	58,158	154,629	2,501,009	3,534,153
2011-08-22	$39.64	$46.00	42.3%	12.1%	54.2%	34.4%	44.7%	15.8%	-2.7%	-114.5M	4.86B	-26.6M	1.69	13.45	92,325	156,021	2,067,386	3,017,053
2011-08-23	$41.02	$46.00	35.3%	10.1%	56.3%	25.4%	36.6%	14.1%	0.2%	-113.5M	4.16B	-28.1M	1.07	11.21	111,209	119,011	2,122,408	3,102,133
2011-08-24	$40.63	$46.00	36.6%	10.5%	56.2%	27.1%	38.8%	15.8%	-0.6%	-110.2M	4.44B	-28.1M	1.23	13.10	89,821	110,323	2,186,742	3,116,971
2011-08-25	$39.82	$45.00	43.6%	12.5%	56.3%	36.1%	37.5%	16.4%	-3.8%	-110.4M	4.83B	-28.2M	0.27	9.64	195,255	52,518	2,231,777	3,173,476
2011-08-26	$40.52	$45.00	34.7%	10.3%	56.8%	24.6%	38.6%	13.1%	-0.5%	-103.8M	4.38B	-28.2M	2.33	23.40	88,206	205,494	2,313,466	3,170,795
2011-08-29	$41.80	$45.00	39.3%	10.2%	58.4%	30.6%	36.0%	11.6%	-2.3%	-88.2M	3.43B	-29.7M	0.99	15.28	82,119	81,221	2,325,238	3,244,038
2011-08-30	$41.89	$45.00	40.9%	10.4%	57.7%	32.6%	34.9%	10.9%	-2.5%	-86.1M	3.36B	-29.8M	2.58	14.54	114,224	294,285	2,360,555	3,264,591
2011-08-31	$42.75	$45.00	35.1%	9.4%	58.4%	25.2%	34.0%	10.4%	-1.7%	-75.3M	2.64B	-31.4M	0.89	12.34	168,950	150,893	2,375,989	3,405,316