EEM Options History — November 2011

In November 2011, EEM traded between $36.10 and $42.03. ATM implied volatility averaged 41.1%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 2.6% (HV 20d: 43.7%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.61.

Notable Days

2011-11-03: Highest Volume — 509,222 contracts
2011-11-09: Largest IV spike — 26.5% change
2011-11-01: Highest IV Rank — 47.5%
2011-11-17: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.37	$36.10	$42.03	$39.82	$40.01
Max Pain	$41.14	$39.00	$42.00	$39.00	$41.00
ATM IV	41.1%	34.5%	52.5%	52.5%	38.1%
Expected Move	11.4%	10.1%	12.7%	12.3%	10.1%
HV 20d	43.7%	36.4%	46.8%	44.8%	44.8%
HV 60d	43.0%	41.7%	45.3%	45.0%	45.3%
IV Rank	32.9%	24.4%	47.5%	47.5%	29.0%
IV Percentile	87.2%	76.2%	96.4%	96.4%	77.8%
Term Structure	-1.0%	-2.8%	0.4%	-2.8%	-1.2%
VWIV	41.0%	35.8%	47.1%	47.1%	35.8%
Skew 25d	11.0%	7.4%	13.7%	12.8%	7.4%
Skew 10d	21.3%	13.7%	27.6%	23.8%	13.7%
Call IV 25d	34.9%	31.1%	39.3%	37.0%	32.3%
Put IV 25d	45.9%	39.8%	50.2%	49.8%	39.8%
Bid-Ask Spread %	14.36	5.78	29.43	29.43	11.24
Gamma HHI	0.08	0.07	0.09	0.07	0.08
Net GEX	-35.7M	-120.8M	48.5M	2.8M	-30.0M
Net DEX	2.56B	-162.6M	5.16B	1.42B	2.41B
Net VEX	-26.0M	-30.3M	-20.8M	-28.9M	-22.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.61	0.39	5.38	1.58	0.47
Total Volume	241,523.286	114,171	509,222	269,683	297,752
Total OI	5,995,157.571	5,411,064	6,494,255	5,745,351	5,622,362

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
2011-11-01	$39.82	$39.00	52.5%	12.3%	44.8%	47.5%	47.1%	12.8%	-2.8%	2.8M	1.42B	-28.9M	1.58	29.43	104,490	165,193	2,590,106	3,155,245
2011-11-02	$40.99	$39.00	43.9%	11.0%	45.2%	36.4%	39.4%	12.4%	-1.2%	22.4M	835.7M	-29.2M	0.75	11.35	110,333	83,102	2,595,281	3,187,590
2011-11-03	$41.46	$39.00	38.8%	10.8%	44.2%	29.9%	44.3%	11.3%	0.1%	35.9M	439.2M	-29.3M	5.38	11.94	79,807	429,415	2,635,695	3,207,025
2011-11-04	$41.19	$42.00	37.0%	10.9%	43.9%	27.6%	38.7%	11.9%	-1.5%	18.9M	626.0M	-30.3M	1.07	21.81	93,372	100,142	2,637,280	3,477,094
2011-11-07	$41.54	$42.00	36.9%	10.5%	41.7%	27.4%	39.3%	12.1%	-1.3%	36.3M	337.9M	-29.6M	1.29	8.98	67,020	86,761	2,677,290	3,516,449
2011-11-08	$42.03	$42.00	34.5%	10.1%	41.7%	24.4%	39.6%	10.7%	-0.9%	48.5M	-162.6M	-29.2M	1.91	11.32	99,593	190,691	2,664,306	3,535,862
2011-11-09	$39.57	$42.00	43.7%	12.1%	46.7%	36.1%	42.0%	12.7%	-2.5%	-32.3M	2.42B	-28.7M	1.58	13.12	137,595	218,077	2,676,684	3,618,252
2011-11-10	$39.83	$42.00	39.9%	11.4%	46.6%	31.3%	35.8%	13.0%	-1.6%	-29.5M	2.37B	-28.4M	0.39	8.18	197,781	77,179	2,734,064	3,686,236
2011-11-11	$40.78	$42.00	37.6%	10.8%	46.8%	28.4%	39.0%	12.3%	-0.8%	3.4M	1.37B	-28.7M	0.86	12.51	93,407	80,652	2,677,026	3,690,729
2011-11-14	$40.23	$42.00	39.0%	11.2%	45.3%	30.1%	41.1%	12.7%	-1.0%	-10.6M	1.96B	-27.2M	1.29	12.60	89,382	115,118	2,699,006	3,690,573
2011-11-15	$40.48	$42.00	39.5%	11.3%	44.4%	30.8%	42.2%	12.6%	-1.1%	72.8K	1.67B	-27.4M	1.89	12.34	68,464	129,460	2,702,229	3,705,366
2011-11-16	$39.39	$41.00	42.2%	12.1%	45.0%	34.2%	41.1%	13.7%	-1.9%	-47.0M	2.88B	-26.6M	0.91	11.85	131,375	120,027	2,712,916	3,764,398
2011-11-17	$38.39	$42.00	44.4%	12.7%	45.5%	37.0%	43.0%	12.3%	-1.9%	-89.6M	3.79B	-25.0M	1.35	11.58	138,441	187,418	2,662,712	3,783,587
2011-11-18	$38.54	$41.00	39.6%	11.4%	44.3%	30.9%	43.1%	10.8%	-0.1%	-72.7M	3.75B	-24.5M	1.50	11.90	108,153	161,908	2,682,530	3,811,725
2011-11-21	$37.30	$41.00	42.9%	12.3%	43.2%	35.2%	42.8%	9.6%	-0.4%	-88.7M	4.50B	-22.1M	1.89	10.81	60,440	114,297	2,229,318	3,181,746
2011-11-22	$37.43	$41.00	40.8%	11.7%	42.9%	32.5%	39.8%	8.7%	0.3%	-93.5M	4.48B	-22.2M	2.06	13.12	53,074	109,195	2,240,761	3,218,447
2011-11-23	$36.22	$41.00	42.8%	12.3%	43.3%	35.0%	42.2%	8.9%	0.4%	-110.9M	5.16B	-20.8M	2.44	23.38	78,196	190,948	2,251,072	3,241,313
2011-11-25	$36.10	$41.00	45.6%	12.6%	36.4%	38.6%	43.5%	8.6%	-0.5%	-120.8M	5.14B	-20.8M	2.44	5.78	33,184	80,987	2,266,356	3,273,649
2011-11-28	$37.83	$41.00	43.6%	11.5%	41.3%	36.1%	41.7%	9.4%	-0.1%	-88.3M	4.08B	-22.2M	1.32	26.91	71,736	94,384	2,278,522	3,294,180
2011-11-29	$37.66	$41.00	40.4%	10.8%	39.5%	31.9%	39.1%	7.8%	-0.6%	-103.7M	4.30B	-21.6M	1.36	21.33	94,764	128,676	2,311,263	3,312,064
2011-11-30	$40.01	$41.00	38.1%	10.1%	44.8%	29.0%	35.8%	7.4%	-1.2%	-30.0M	2.41B	-22.7M	0.47	11.24	203,056	94,696	2,334,091	3,288,271