EEM Options History — December 2011

In December 2011, EEM traded between $36.55 and $40.42. ATM implied volatility averaged 33.3%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 6.5% (HV 20d: 39.8%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.90.

Notable Days

2011-12-19: Highest Volume — 387,851 contracts
2011-12-30: Largest IV drop — 15.9% change
2011-12-08: Highest IV Rank — 35.6%
2011-12-08: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.35	$36.55	$40.42	$39.89	$37.94
Max Pain	$42.05	$41.00	$43.00	$41.00	$42.00
ATM IV	33.3%	23.7%	43.2%	35.9%	23.7%
Expected Move	9.3%	8.0%	10.8%	10.2%	8.1%
HV 20d	39.8%	28.9%	43.8%	43.5%	28.9%
HV 60d	43.1%	39.8%	45.7%	44.8%	39.8%
IV Rank	22.8%	10.6%	35.6%	26.2%	10.6%
IV Percentile	67.7%	43.3%	90.5%	73.0%	43.3%
Term Structure	1.9%	-1.1%	3.8%	-1.1%	3.3%
VWIV	33.3%	27.9%	38.8%	36.8%	29.0%
Skew 25d	7.3%	5.1%	11.4%	6.8%	5.1%
Skew 10d	13.4%	8.1%	20.6%	11.2%	8.1%
Call IV 25d	29.5%	25.2%	34.0%	32.9%	26.2%
Put IV 25d	36.8%	30.5%	43.9%	39.7%	31.3%
Bid-Ask Spread %	12.61	8.89	21.21	12.93	9.65
Gamma HHI	0.10	0.08	0.12	0.09	0.11
Net GEX	-81.7M	-146.3M	-7.1M	-17.7M	-80.5M
Net DEX	3.39B	1.95B	5.29B	2.20B	3.07B
Net VEX	-19.9M	-23.1M	-17.5M	-23.1M	-18.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.90	0.41	8.55	2.81	0.80
Total Volume	192,773.571	51,131	387,851	217,167	83,292
Total OI	5,203,361.81	3,933,784	6,153,688	5,680,402	4,390,717

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
2011-12-01	$39.89	$41.00	35.9%	10.2%	43.5%	26.2%	36.8%	6.8%	-1.1%	-17.7M	2.20B	-23.1M	2.81	12.93	56,984	160,183	2,409,581	3,270,821
2011-12-02	$39.77	$41.00	34.9%	10.2%	43.3%	24.9%	35.7%	6.2%	-0.9%	-33.8M	2.50B	-23.0M	0.41	13.05	157,899	64,350	2,408,200	3,359,450
2011-12-05	$40.42	$42.00	40.0%	10.0%	43.7%	31.4%	38.6%	11.2%	0.6%	-7.1M	1.95B	-22.4M	8.55	9.74	28,597	244,561	2,420,427	3,302,994
2011-12-06	$39.87	$42.00	40.6%	10.2%	43.8%	32.1%	38.8%	11.4%	0.3%	-36.3M	2.60B	-22.5M	1.05	9.12	67,619	70,918	2,404,510	3,412,860
2011-12-07	$40.03	$43.00	39.3%	10.2%	43.5%	30.5%	33.4%	10.6%	0.3%	-21.3M	2.35B	-22.6M	0.68	10.06	80,475	55,040	2,419,358	3,426,576
2011-12-08	$38.59	$43.00	43.2%	10.8%	40.0%	35.6%	37.9%	9.9%	0.1%	-80.7M	3.64B	-21.6M	0.90	19.87	143,131	128,844	2,448,658	3,441,935
2011-12-09	$39.37	$43.00	36.7%	10.2%	40.7%	27.3%	36.8%	8.8%	0.7%	-64.3M	3.12B	-20.9M	1.19	10.87	86,857	103,430	2,460,221	3,489,326
2011-12-12	$37.89	$42.00	38.5%	10.4%	41.7%	29.5%	38.4%	8.1%	1.1%	-131.2M	4.59B	-19.3M	1.90	12.64	86,603	164,276	2,468,875	3,524,519
2011-12-13	$37.54	$42.00	34.2%	9.8%	41.6%	24.0%	37.0%	8.3%	1.6%	-142.1M	4.93B	-18.4M	1.81	11.40	76,944	139,427	2,465,124	3,544,743
2011-12-14	$37.00	$42.00	34.8%	10.1%	41.6%	24.8%	35.9%	7.9%	2.2%	-146.3M	5.29B	-18.0M	2.33	12.35	97,675	227,847	2,491,182	3,528,968
2011-12-15	$37.24	$42.00	33.2%	9.5%	40.9%	22.8%	32.0%	7.6%	2.3%	-145.5M	5.16B	-18.2M	1.87	13.08	54,351	101,719	2,511,581	3,603,588
2011-12-16	$37.52	$42.00	30.4%	8.7%	40.1%	19.1%	31.2%	7.4%	2.8%	-126.9M	5.16B	-18.2M	2.20	12.15	88,548	194,732	2,531,802	3,621,886
2011-12-19	$36.55	$42.00	31.5%	9.0%	41.0%	20.6%	34.8%	6.2%	2.6%	-105.0M	3.77B	-17.5M	2.83	17.51	101,180	286,671	1,458,739	2,475,045
2011-12-20	$37.73	$42.00	30.3%	8.7%	41.1%	19.0%	30.4%	6.3%	2.6%	-88.1M	3.18B	-19.0M	0.89	9.47	140,901	126,079	1,501,714	2,638,312
2011-12-21	$37.84	$42.00	28.7%	8.2%	41.1%	16.9%	29.2%	5.7%	3.4%	-81.5M	3.06B	-19.4M	1.00	9.84	43,777	43,686	1,566,504	2,694,843
2011-12-22	$38.34	$42.00	27.8%	8.0%	39.4%	15.8%	29.1%	5.2%	3.7%	-73.2M	2.71B	-19.5M	3.22	8.89	57,484	185,042	1,577,634	2,702,833
2011-12-23	$38.43	$42.00	27.9%	8.0%	39.3%	15.9%	28.1%	5.3%	3.8%	-74.5M	2.68B	-19.7M	1.00	8.90	25,551	25,580	1,605,010	2,760,436
2011-12-27	$38.12	$42.00	28.6%	8.2%	35.9%	16.9%	27.9%	5.1%	3.6%	-78.7M	2.85B	-19.0M	0.47	21.21	42,838	20,269	1,595,975	2,675,690
2011-12-28	$37.48	$42.00	30.7%	8.8%	36.4%	19.5%	30.4%	5.1%	3.0%	-91.9M	3.26B	-18.6M	2.22	14.50	39,624	87,847	1,616,004	2,685,387
2011-12-29	$37.89	$42.00	28.2%	8.1%	28.9%	16.4%	28.5%	5.3%	3.6%	-88.9M	3.09B	-18.7M	1.78	17.60	20,663	36,751	1,641,247	2,717,323
2011-12-30	$37.94	$42.00	23.7%	8.1%	28.9%	10.6%	29.0%	5.1%	3.3%	-80.5M	3.07B	-18.6M	0.80	9.65	46,288	37,004	1,656,279	2,734,438