EEM Options History — February 2012

In February 2012, EEM traded between $42.91 and $44.36. ATM implied volatility averaged 24.7%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 7.4% (HV 20d: 17.4%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.32.

Notable Days

  • 2012-02-03: Highest Volume — 478,194 contracts
  • 2012-02-27: Largest IV spike — 22.2% change
  • 2012-02-10: Highest IV Rank — 15.4%
  • 2012-02-10: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.69$42.91$44.36$43.05$44.33
Max Pain$42.70$41.00$43.00$41.00$43.00
ATM IV24.7%20.4%27.5%24.4%26.4%
Expected Move7.0%6.2%7.9%6.2%6.6%
HV 20d17.4%16.3%19.1%18.1%16.8%
HV 60d28.5%22.5%32.4%32.3%22.5%
IV Rank11.9%6.3%15.4%11.5%14.1%
IV Percentile40.4%11.1%53.6%42.9%50.0%
Term Structure1.5%0.1%2.8%2.8%2.0%
VWIV25.7%22.0%29.2%22.0%24.0%
Skew 25d5.5%3.1%8.2%3.6%4.1%
Skew 10d11.2%6.1%17.1%7.1%6.5%
Call IV 25d22.1%20.0%24.5%20.7%22.1%
Put IV 25d27.6%24.3%31.9%24.3%26.2%
Bid-Ask Spread %17.2811.1347.4219.9711.30
Gamma HHI0.120.070.360.120.08
Net GEX51.5M-39.1M304.9M107.9M6.5M
Net DEX-1.22B-2.22B-255.8M-1.55B-1.17B
Net VEX-30.0M-32.4M-24.8M-24.8M-30.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.552.520.950.67
Total Volume266,324.8597,400478,194337,054251,867
Total OI5,447,135.954,385,5296,288,4424,385,5295,623,904

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$43.05$41.0024.4%6.2%18.1%11.5%22.0%3.6%2.8%107.9M-1.55B-24.8M0.9519.97173,262163,7921,810,9982,574,531
2012-02-02$43.16$41.0022.0%6.4%17.7%8.4%22.5%3.7%2.4%106.5M-1.65B-25.9M1.2019.04125,286150,6721,868,7842,644,151
2012-02-03$43.85$41.0023.4%6.9%17.7%10.2%26.3%5.4%1.2%116.4M-2.22B-26.3M1.0516.32233,617244,5771,910,4242,707,091
2012-02-06$43.51$43.0026.1%7.0%17.1%13.6%25.9%5.3%0.8%46.2M-1.32B-28.7M1.3714.4467,53892,8292,024,3963,256,084
2012-02-07$43.60$43.0025.7%7.3%17.1%13.1%26.8%5.7%0.1%46.5M-1.59B-28.4M0.8615.23153,313131,5412,031,2683,266,088
2012-02-08$43.91$43.0023.4%7.4%16.3%10.3%29.2%5.9%1.0%77.3M-1.92B-29.2M2.0213.63151,668306,8262,106,7583,316,613
2012-02-09$43.89$43.0025.5%7.3%16.3%12.9%27.6%5.9%1.1%86.7M-1.78B-30.7M1.0012.98120,446120,6292,190,7813,558,878
2012-02-10$42.91$43.0027.5%7.9%19.1%15.4%27.9%6.6%0.8%-31.4M-255.8M-31.6M0.7520.30143,853107,9112,225,6293,584,384
2012-02-13$43.62$43.0026.6%7.6%18.9%14.3%27.6%6.4%0.3%70.7M-1.25B-30.9M0.9818.2989,80687,6052,260,2383,602,211
2012-02-14$43.26$43.0026.5%7.6%18.8%14.2%27.3%7.1%1.9%37.8M-730.2M-31.3M1.3013.2177,720101,2572,295,5823,636,912
2012-02-15$43.38$43.0027.0%7.7%17.0%14.8%27.2%8.2%1.9%41.3M-802.1M-31.6M1.0147.42207,852209,1682,304,4563,690,985
2012-02-16$43.84$43.0024.3%7.0%17.1%11.3%27.7%8.0%2.4%116.1M-1.50B-31.9M1.3718.16127,392174,5542,355,4913,826,806
2012-02-17$43.93$43.0025.1%7.2%17.1%12.3%25.9%6.4%2.2%304.9M-1.65B-32.4M0.5523.35209,040115,2462,375,3523,913,090
2012-02-21$43.75$43.0024.2%6.9%17.1%11.3%23.8%5.9%1.0%-29.3M-598.0M-31.2M0.7212.32171,615123,1351,925,3903,236,549
2012-02-22$43.83$43.0022.5%6.5%17.1%9.1%26.2%5.9%2.4%-19.1M-706.7M-30.6M1.8813.1566,366124,8421,916,4533,296,147
2012-02-23$43.75$43.0022.8%6.5%16.8%9.4%23.1%4.8%1.5%-25.9M-657.9M-30.7M2.2113.0530,31567,0851,955,1013,347,972
2012-02-24$44.19$43.0020.4%6.2%16.9%6.3%22.5%4.4%2.3%-6.5M-1.11B-30.9M2.2519.5679,697179,5591,949,9453,376,292
2012-02-27$43.75$43.0024.9%6.9%17.4%12.1%25.6%4.1%0.4%-39.1M-525.2M-31.3M1.7512.8050,17488,0201,981,4573,489,252
2012-02-28$44.36$43.0026.0%6.5%16.8%13.5%24.6%3.1%2.1%15.8M-1.34B-30.2M2.5211.1358,609147,8132,008,4713,497,805
2012-02-29$44.33$43.0026.4%6.6%16.8%14.1%24.0%4.1%2.0%6.5M-1.17B-30.9M0.6711.30151,270100,5972,029,3473,594,557