EEM Options History — September 2011

In September 2011, EEM traded between $34.95 and $42.52. ATM implied volatility averaged 42.8%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 3.5% (HV 20d: 39.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.05.

Notable Days

2011-09-22: Highest Volume — 676,614 contracts
2011-09-06: Largest IV spike — 59.0% change
2011-09-30: Highest IV Rank — 54.2%
2011-09-30: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.00	$34.95	$42.52	$42.52	$35.09
Max Pain	$41.67	$40.00	$45.00	$45.00	$40.00
ATM IV	42.8%	29.3%	57.8%	31.1%	57.8%
Expected Move	12.1%	9.2%	15.7%	9.3%	15.7%
HV 20d	39.3%	30.3%	55.2%	54.6%	44.5%
HV 60d	39.5%	37.4%	43.4%	37.4%	43.4%
IV Rank	35.0%	17.7%	54.2%	20.1%	54.2%
IV Percentile	95.2%	88.5%	99.2%	90.5%	99.2%
Term Structure	-0.6%	-2.6%	2.2%	-0.3%	-1.1%
VWIV	43.7%	32.2%	53.7%	33.3%	52.6%
Skew 25d	13.6%	8.8%	17.2%	8.8%	16.5%
Skew 10d	26.9%	16.5%	33.7%	16.5%	33.7%
Call IV 25d	36.2%	28.1%	48.3%	29.8%	46.7%
Put IV 25d	49.8%	38.5%	63.2%	38.5%	63.2%
Bid-Ask Spread %	16.04	6.09	82.48	14.98	12.83
Gamma HHI	0.09	0.08	0.12	0.08	0.09
Net GEX	-108.8M	-155.1M	-72.5M	-72.5M	-115.6M
Net DEX	4.51B	2.68B	5.58B	2.68B	5.58B
Net VEX	-27.7M	-31.2M	-23.0M	-31.2M	-23.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.05	0.67	5.87	0.74	1.68
Total Volume	302,840.381	150,659	676,614	284,063	251,507
Total OI	5,633,309.905	4,684,724	6,559,385	5,820,029	5,407,769

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
2011-09-01	$42.52	$45.00	31.1%	9.3%	54.6%	20.1%	33.3%	8.8%	-0.3%	-72.5M	2.68B	-31.2M	0.74	14.98	163,607	120,456	2,402,544	3,417,485
2011-09-02	$41.56	$45.00	29.3%	9.2%	55.2%	17.7%	32.2%	12.7%	2.2%	-90.1M	3.87B	-30.9M	0.67	82.48	120,136	80,581	2,483,670	3,448,705
2011-09-06	$41.13	$42.00	46.6%	11.0%	43.9%	39.9%	43.9%	14.8%	-0.9%	-102.8M	4.22B	-29.2M	5.49	11.97	69,878	383,436	2,474,896	3,452,174
2011-09-07	$42.35	$42.00	34.2%	10.0%	40.5%	23.9%	38.1%	13.4%	-0.4%	-75.7M	3.16B	-30.6M	2.22	10.95	46,760	103,899	2,476,864	3,535,338
2011-09-08	$41.41	$42.00	38.1%	10.9%	37.5%	29.0%	42.6%	14.2%	-0.8%	-101.6M	4.00B	-29.9M	5.29	7.53	89,640	474,637	2,492,258	3,568,363
2011-09-09	$40.01	$42.00	47.8%	12.5%	35.6%	41.4%	46.0%	16.4%	-1.0%	-153.6M	5.30B	-30.3M	3.17	24.52	59,715	189,533	2,523,124	3,702,133
2011-09-12	$39.93	$42.00	46.8%	12.2%	35.6%	40.2%	44.1%	16.0%	-1.2%	-144.9M	5.51B	-29.0M	0.91	7.94	123,700	113,177	2,515,591	3,706,392
2011-09-13	$39.99	$42.00	39.7%	11.7%	34.5%	31.0%	42.7%	14.7%	-0.1%	-147.2M	5.37B	-29.0M	1.81	14.00	66,344	120,098	2,569,732	3,696,167
2011-09-14	$39.88	$42.00	36.0%	11.1%	34.5%	26.3%	41.5%	13.0%	0.1%	-155.1M	5.37B	-28.3M	0.78	6.26	306,302	238,431	2,571,371	3,693,922
2011-09-15	$40.46	$42.00	37.0%	10.6%	34.9%	27.5%	37.2%	12.3%	0.9%	-132.2M	4.62B	-30.2M	1.89	14.25	70,505	133,483	2,815,403	3,743,982
2011-09-16	$40.53	$42.00	32.3%	9.3%	30.3%	21.6%	34.9%	11.1%	1.4%	-130.8M	4.43B	-29.1M	1.28	8.00	82,742	105,583	2,823,189	3,664,728
2011-09-19	$39.33	$41.00	38.4%	11.0%	31.9%	29.4%	39.1%	12.6%	-0.7%	-88.8M	3.56B	-27.0M	1.26	6.09	69,607	87,859	1,865,933	2,818,791
2011-09-20	$39.04	$41.00	38.6%	11.1%	32.0%	29.6%	37.7%	10.5%	-0.4%	-93.7M	3.68B	-27.1M	0.70	9.38	124,539	86,693	1,883,504	2,862,716
2011-09-21	$37.59	$41.00	41.1%	11.8%	31.8%	32.9%	42.1%	11.2%	-0.6%	-103.6M	4.54B	-25.4M	1.40	9.39	136,934	192,114	1,959,082	2,900,208
2011-09-22	$34.95	$41.00	53.2%	15.3%	40.0%	48.3%	52.5%	14.8%	-2.4%	-98.0M	5.52B	-23.1M	1.85	16.57	237,406	439,208	1,977,990	2,984,558
2011-09-23	$35.88	$41.00	52.6%	15.1%	41.4%	47.5%	51.7%	11.6%	-1.5%	-100.0M	5.16B	-25.8M	1.27	15.02	169,714	215,280	2,047,303	3,135,686
2011-09-26	$36.42	$41.00	51.3%	14.7%	41.3%	45.9%	53.7%	13.1%	-1.9%	-95.2M	4.75B	-25.1M	2.33	19.36	96,466	224,952	2,032,544	3,034,000
2011-09-27	$37.58	$41.00	45.1%	12.9%	41.3%	38.0%	45.3%	14.6%	-0.7%	-89.5M	4.13B	-26.2M	1.02	7.45	136,054	138,368	2,057,341	3,067,136
2011-09-28	$36.45	$40.00	53.3%	15.3%	42.1%	48.4%	53.6%	15.9%	-2.6%	-89.3M	4.54B	-25.2M	5.87	23.71	41,727	245,092	2,108,592	3,043,346
2011-09-29	$36.95	$40.00	47.7%	13.7%	41.6%	41.3%	52.6%	17.2%	-0.9%	-105.1M	4.69B	-25.2M	1.42	14.17	84,067	119,418	2,098,104	3,236,874
2011-09-30	$35.09	$40.00	57.8%	15.7%	44.5%	54.2%	52.6%	16.5%	-1.1%	-115.6M	5.58B	-23.0M	1.68	12.83	93,689	157,818	2,134,668	3,273,101