EEM Options History — October 2011

In October 2011, EEM traded between $34.36 and $42.76. ATM implied volatility averaged 41.0%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 5.2% (HV 20d: 46.2%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.26.

Notable Days

2011-10-27: Highest Volume — 657,342 contracts
2011-10-31: Largest IV spike — 38.2% change
2011-10-03: Highest IV Rank — 69.7%
2011-10-03: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.62	$34.36	$42.76	$34.36	$40.81
Max Pain	$38.48	$38.00	$40.00	$40.00	$39.00
ATM IV	41.0%	30.5%	69.9%	69.9%	42.2%
Expected Move	11.4%	8.8%	16.8%	16.8%	10.5%
HV 20d	46.2%	41.3%	51.3%	44.4%	43.4%
HV 60d	46.2%	43.5%	49.4%	43.5%	48.6%
IV Rank	32.7%	19.3%	69.7%	69.7%	34.3%
IV Percentile	87.8%	74.6%	99.6%	99.6%	92.1%
Term Structure	0.1%	-1.5%	2.4%	-0.7%	-1.1%
VWIV	42.2%	33.4%	58.7%	58.7%	40.3%
Skew 25d	11.8%	6.0%	17.1%	17.1%	8.2%
Skew 10d	23.9%	15.0%	31.4%	31.4%	17.4%
Call IV 25d	34.9%	28.2%	49.8%	49.8%	34.3%
Put IV 25d	46.7%	34.2%	66.8%	66.8%	42.5%
Bid-Ask Spread %	20.13	8.61	34.37	34.22	20.67
Gamma HHI	0.12	0.08	0.47	0.09	0.08
Net GEX	-82.4M	-302.7M	64.4M	-111.5M	24.2M
Net DEX	2.94B	-1.22B	6.17B	6.17B	806.2M
Net VEX	-25.7M	-29.7M	-21.0M	-21.0M	-28.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.51	2.19	1.05	1.77
Total Volume	328,351.429	156,646	657,342	366,497	220,798
Total OI	5,907,785.857	5,181,249	6,642,787	5,454,873	5,695,565

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
2011-10-03	$34.36	$40.00	69.9%	16.8%	44.4%	69.7%	58.7%	17.1%	-0.7%	-111.5M	6.17B	-21.0M	1.05	34.22	178,602	187,895	2,154,866	3,300,007
2011-10-04	$34.89	$40.00	58.1%	14.0%	45.3%	54.6%	50.8%	13.6%	2.4%	-118.2M	5.79B	-22.3M	1.15	34.37	149,011	171,398	2,226,425	3,367,867
2011-10-05	$35.70	$40.00	47.1%	12.4%	44.6%	40.6%	45.9%	11.7%	2.4%	-129.4M	5.54B	-21.8M	1.26	24.55	100,929	127,165	2,201,303	3,396,551
2011-10-06	$36.88	$40.00	40.8%	11.7%	46.6%	32.5%	42.7%	10.0%	1.6%	-126.6M	4.86B	-23.0M	1.57	16.05	126,961	199,211	2,231,958	3,418,805
2011-10-07	$36.44	$38.00	45.7%	13.3%	45.4%	38.7%	47.4%	14.6%	-1.5%	-119.5M	4.90B	-23.3M	1.85	31.51	115,942	214,399	2,281,112	3,436,695
2011-10-10	$38.07	$38.00	38.5%	11.8%	48.6%	29.5%	43.0%	12.5%	-1.2%	-105.1M	3.67B	-25.4M	0.62	24.51	179,045	111,538	2,330,124	3,481,215
2011-10-11	$38.09	$38.00	40.3%	11.5%	48.6%	31.9%	43.9%	12.1%	-0.6%	-102.1M	3.63B	-25.2M	1.66	9.90	163,724	272,048	2,417,680	3,524,714
2011-10-12	$39.16	$38.00	36.4%	10.9%	49.7%	26.8%	41.2%	10.1%	-0.4%	-96.0M	2.67B	-26.2M	1.13	11.26	191,096	216,041	2,496,794	3,628,283
2011-10-13	$38.81	$38.00	36.6%	10.5%	49.5%	27.1%	40.1%	11.5%	-0.0%	-114.4M	2.93B	-26.2M	2.19	9.85	79,914	174,680	2,562,294	3,676,509
2011-10-14	$39.59	$38.00	35.1%	10.1%	50.1%	25.2%	39.0%	9.9%	0.4%	-91.6M	2.31B	-26.9M	1.03	13.62	183,748	189,505	2,580,234	3,764,324
2011-10-17	$38.25	$38.00	41.5%	11.9%	50.4%	33.3%	41.3%	13.0%	-0.8%	-137.8M	3.72B	-25.7M	1.56	9.72	72,789	113,469	2,633,052	3,811,955
2011-10-18	$39.27	$38.00	39.2%	11.2%	51.3%	30.4%	41.5%	12.1%	-1.2%	-106.6M	2.55B	-26.7M	0.85	29.76	330,582	279,915	2,634,310	3,851,301
2011-10-19	$38.52	$38.00	39.0%	11.2%	49.9%	30.2%	39.8%	14.0%	0.1%	-101.5M	3.05B	-26.3M	0.76	10.55	120,040	91,632	2,803,154	3,740,654
2011-10-20	$37.78	$38.00	40.9%	11.7%	42.4%	32.6%	44.1%	13.0%	-0.3%	-117.3M	4.00B	-26.1M	1.82	30.20	91,600	166,464	2,820,565	3,773,053
2011-10-21	$38.85	$38.00	37.7%	10.8%	42.5%	28.5%	44.1%	12.1%	0.4%	-302.7M	2.92B	-26.0M	1.99	17.61	119,836	238,029	2,834,865	3,807,922
2011-10-24	$40.38	$38.00	34.6%	9.9%	44.2%	24.5%	34.5%	13.2%	0.9%	-932.4K	1.29B	-26.4M	0.77	11.67	138,303	106,845	2,289,137	2,892,112
2011-10-25	$39.58	$38.00	38.7%	11.1%	43.9%	29.8%	41.5%	13.5%	0.0%	-8.2M	1.65B	-26.7M	0.51	20.22	300,863	153,537	2,346,518	2,918,966
2011-10-26	$40.37	$38.00	36.6%	10.5%	42.4%	27.1%	39.0%	13.5%	0.1%	8.7M	1.26B	-27.3M	0.94	31.92	105,217	98,621	2,459,059	3,005,531
2011-10-27	$42.76	$38.00	31.4%	9.0%	46.3%	20.4%	34.1%	7.1%	-0.1%	64.4M	-1.22B	-28.6M	0.88	22.04	350,412	306,930	2,496,547	3,062,760
2011-10-28	$42.40	$39.00	30.5%	8.8%	41.3%	19.3%	33.4%	6.0%	0.7%	62.2M	-778.3M	-29.7M	1.10	8.61	74,691	81,955	2,583,319	3,125,398
2011-10-31	$40.81	$39.00	42.2%	10.5%	43.4%	34.3%	40.3%	8.2%	-1.1%	24.2M	806.2M	-28.3M	1.77	20.67	79,733	141,065	2,576,448	3,119,117