EEM Options History — January 2012

In January 2012, EEM traded between $38.23 and $42.36. ATM implied volatility averaged 25.8%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.0% (HV 20d: 23.8%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2012-01-18: Highest Volume — 632,056 contracts
  • 2012-01-12: Largest IV spike — 20.2% change
  • 2012-01-13: Highest IV Rank — 18.2%
  • 2012-01-06: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.48$38.23$42.36$39.10$42.11
Max Pain$39.95$39.00$41.00$41.00$41.00
ATM IV25.8%23.1%29.6%28.7%25.9%
Expected Move7.5%6.7%8.7%8.1%6.8%
HV 20d23.8%18.0%31.2%31.2%19.3%
HV 60d36.6%32.1%39.7%39.7%32.1%
IV Rank13.3%9.8%18.2%16.9%13.4%
IV Percentile47.6%31.7%59.9%59.5%48.8%
Term Structure1.8%0.8%3.3%2.9%2.4%
VWIV27.0%23.6%30.8%29.4%27.0%
Skew 25d5.0%3.7%6.5%4.8%4.2%
Skew 10d9.5%6.6%12.6%9.5%10.3%
Call IV 25d24.2%20.5%26.8%26.5%21.8%
Put IV 25d29.1%26.0%33.3%31.3%26.1%
Bid-Ask Spread %16.9913.6125.1414.1419.64
Gamma HHI0.100.080.150.090.10
Net GEX20.8M-76.8M100.8M-48.8M72.7M
Net DEX732.2M-1.06B2.86B2.16B-648.6M
Net VEX-21.6M-25.0M-18.8M-18.8M-24.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.322.291.072.16
Total Volume282,062.4160,047632,056190,591350,403
Total OI4,680,075.253,677,4225,762,0364,414,3954,268,468

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$39.10$41.0028.7%8.1%31.2%16.9%29.4%4.8%2.9%-48.8M2.16B-18.8M1.0714.1491,96898,6231,683,4632,730,932
2012-01-04$38.88$41.0028.1%7.6%30.5%16.2%27.3%4.8%3.2%-53.3M2.25B-18.8M2.2116.1664,407142,6171,739,0782,781,558
2012-01-05$38.71$41.0025.6%7.4%30.2%13.0%27.0%5.1%3.3%-59.9M2.50B-18.8M1.4314.12106,448152,0601,779,1672,823,840
2012-01-06$38.23$39.0026.4%8.7%30.4%14.0%30.5%6.5%0.9%-76.8M2.86B-19.6M1.6714.9286,664144,7521,827,7292,929,827
2012-01-09$38.67$39.0027.3%8.2%27.9%15.1%30.8%4.9%1.1%-61.1M2.61B-19.5M1.5816.4661,96898,0791,846,5812,991,140
2012-01-10$39.46$39.0026.9%8.2%27.9%14.6%28.5%4.5%1.0%-18.7M1.86B-19.6M0.4517.59198,86590,3321,880,3063,042,369
2012-01-11$39.49$39.0023.7%8.4%23.9%10.6%29.8%4.7%0.8%-1.4M1.67B-20.7M1.7115.53108,056185,0341,986,0303,042,678
2012-01-12$39.65$39.0028.5%8.2%23.6%16.8%28.4%5.1%0.9%15.5M1.59B-20.9M0.7815.9192,81472,7912,048,7603,125,965
2012-01-13$39.29$40.0029.6%8.5%23.1%18.2%30.4%5.7%1.4%-14.6M1.86B-21.2M2.2922.6860,080137,4552,058,0013,118,294
2012-01-17$40.04$39.0028.1%8.1%23.8%16.2%29.1%6.3%1.2%24.2M1.13B-21.0M1.1825.1488,493104,3712,074,4763,169,475
2012-01-18$41.05$39.0025.4%7.3%24.9%12.8%26.2%6.3%1.8%72.0M-25.9M-20.9M1.4216.74261,423370,6332,090,2353,205,400
2012-01-19$41.41$39.0025.2%7.2%22.1%12.5%24.6%5.7%1.8%100.8M-392.9M-21.4M1.1615.79222,740258,4992,198,2403,266,822
2012-01-20$41.38$40.0023.3%6.7%20.1%10.0%24.5%5.4%2.6%96.5M-251.5M-21.9M0.8013.61124,98299,9502,304,6083,457,428
2012-01-23$41.78$40.0024.0%6.9%20.1%11.0%23.6%3.7%1.4%23.5M-473.2M-22.5M0.3215.25322,166104,5151,428,7932,248,629
2012-01-24$41.84$40.0023.5%6.8%19.9%10.4%25.4%4.6%2.1%61.2M-612.2M-23.6M1.7814.9767,877121,1021,636,6672,287,807
2012-01-25$42.31$40.0023.9%6.9%20.1%10.9%24.7%3.9%1.7%77.0M-1.06B-24.1M1.3516.9080,374108,1251,676,7472,326,606
2012-01-26$42.14$41.0024.3%7.0%19.8%11.4%23.6%4.4%1.7%75.0M-869.9M-24.3M1.6017.09128,672206,4621,690,0292,368,717
2012-01-27$42.36$41.0023.1%7.0%18.0%9.8%24.9%4.2%2.0%77.7M-976.5M-25.0M1.5018.96140,136210,7841,747,8172,422,408
2012-01-30$41.75$41.0025.0%7.0%19.3%12.2%23.6%4.6%2.4%55.2M-534.9M-25.0M0.5918.23173,808102,7201,783,8322,512,583
2012-01-31$42.11$41.0025.9%6.8%19.3%13.4%27.0%4.2%2.4%72.7M-648.6M-24.8M2.1619.64110,744239,6591,779,1212,489,347