EEM Options History — March 2012

In March 2012, EEM traded between $42.41 and $44.75. ATM implied volatility averaged 22.5%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.0% (HV 20d: 21.5%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.75.

Notable Days

2012-03-05: Highest Volume — 762,967 contracts
2012-03-06: Largest IV spike — 36.5% change
2012-03-06: Highest IV Rank — 19.6%
2012-03-06: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.51	$42.41	$44.75	$44.75	$42.95
Max Pain	$43.00	$43.00	$43.00	$43.00	$43.00
ATM IV	22.5%	19.9%	30.8%	21.9%	22.0%
Expected Move	6.7%	6.1%	7.7%	6.3%	6.5%
HV 20d	21.5%	15.3%	24.1%	15.3%	24.0%
HV 60d	21.0%	19.6%	23.6%	22.5%	19.6%
IV Rank	9.0%	5.7%	19.6%	8.2%	8.3%
IV Percentile	24.6%	9.1%	61.9%	20.2%	21.4%
Term Structure	1.7%	1.2%	2.7%	1.4%	1.4%
VWIV	24.1%	21.1%	27.9%	22.8%	23.4%
Skew 25d	5.4%	3.7%	6.7%	3.9%	4.2%
Skew 10d	10.4%	5.7%	12.4%	6.9%	7.9%
Call IV 25d	20.9%	19.4%	23.4%	20.2%	21.2%
Put IV 25d	26.4%	23.5%	29.8%	24.1%	25.4%
Bid-Ask Spread %	15.20	11.29	32.25	11.77	14.65
Gamma HHI	0.09	0.07	0.19	0.09	0.10
Net GEX	-38.6M	-188.4M	166.2M	80.5M	-88.0M
Net DEX	213.0M	-1.93B	1.84B	-1.93B	1.33B
Net VEX	-31.9M	-32.9M	-30.4M	-30.9M	-32.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.75	0.59	4.38	0.65	3.66
Total Volume	281,585.727	123,938	762,967	150,848	158,518
Total OI	5,667,256.636	4,591,852	6,828,817	5,682,478	5,436,100

Daily Data (22 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
2012-03-01	$44.75	$43.00	21.9%	6.3%	15.3%	8.2%	22.8%	3.9%	1.4%	80.5M	-1.93B	-30.9M	0.65	11.77	91,535	59,313	2,092,925	3,589,553
2012-03-02	$44.64	$43.00	19.9%	6.1%	15.4%	5.7%	23.6%	3.7%	2.1%	50.3M	-1.72B	-30.5M	1.82	11.29	79,008	143,814	2,057,417	3,605,528
2012-03-05	$43.87	$43.00	22.6%	6.9%	15.9%	9.1%	27.9%	5.6%	1.6%	-19.3M	-677.4M	-30.4M	3.33	14.90	176,207	586,760	2,061,918	3,638,755
2012-03-06	$42.41	$43.00	30.8%	7.7%	19.8%	19.6%	27.7%	6.3%	1.2%	-188.4M	1.61B	-31.5M	1.45	15.68	151,205	219,906	2,195,805	3,819,678
2012-03-07	$42.91	$43.00	23.7%	7.3%	20.3%	10.6%	26.9%	6.3%	1.4%	-143.6M	956.0M	-31.9M	1.53	15.22	99,231	151,549	2,236,595	3,888,266
2012-03-08	$43.81	$43.00	21.7%	6.9%	21.5%	8.0%	24.7%	6.7%	1.7%	305.1K	-653.9M	-32.3M	0.59	15.30	189,594	111,403	2,270,469	3,923,254
2012-03-09	$43.79	$43.00	20.6%	7.0%	21.5%	6.6%	25.5%	6.7%	1.4%	-16.9M	-716.3M	-32.4M	2.31	25.50	87,635	202,018	2,302,368	3,956,273
2012-03-12	$43.31	$43.00	21.9%	7.2%	20.3%	8.2%	25.8%	6.1%	1.5%	-87.3M	92.4M	-31.8M	2.04	13.51	55,217	112,448	2,299,918	4,054,786
2012-03-13	$44.49	$43.00	21.4%	6.7%	21.7%	7.7%	22.7%	6.1%	1.8%	121.7M	-1.67B	-31.5M	1.34	32.25	155,499	208,547	2,319,654	4,096,883
2012-03-14	$43.79	$43.00	20.7%	7.1%	22.3%	6.8%	25.7%	6.2%	1.2%	-17.3M	-412.4M	-32.9M	1.16	14.29	128,340	148,348	2,410,245	4,222,172
2012-03-15	$44.14	$43.00	23.3%	6.7%	22.4%	10.0%	23.2%	5.9%	2.3%	80.5M	-990.3M	-32.8M	1.88	14.24	118,295	222,849	2,430,779	4,350,706
2012-03-16	$44.09	$43.00	22.1%	6.3%	22.1%	8.5%	22.5%	6.0%	2.6%	166.2M	-1.04B	-32.6M	0.70	11.69	137,460	96,341	2,472,670	4,356,147
2012-03-19	$43.92	$43.00	21.6%	6.2%	22.2%	7.8%	22.9%	5.7%	2.7%	-20.5M	191.0M	-31.7M	2.80	13.29	32,624	91,314	1,828,345	2,763,507
2012-03-20	$43.21	$43.00	23.3%	6.7%	22.9%	10.0%	23.7%	5.8%	2.0%	-73.3M	1.06B	-31.7M	1.96	12.94	84,651	165,617	1,846,870	2,824,396
2012-03-21	$43.23	$43.00	22.6%	6.5%	22.9%	9.1%	21.9%	5.1%	1.6%	-77.0M	1.05B	-32.0M	1.20	14.18	75,754	91,134	1,888,402	2,927,041
2012-03-22	$42.58	$43.00	22.4%	6.4%	23.4%	9.0%	25.9%	5.3%	1.7%	-129.2M	1.84B	-31.4M	4.38	12.23	81,044	355,314	1,879,789	2,961,431
2012-03-23	$42.90	$43.00	21.9%	6.3%	23.3%	8.2%	22.9%	5.3%	1.8%	-140.6M	1.53B	-32.5M	0.90	12.42	81,776	73,278	1,901,253	3,117,220
2012-03-26	$43.66	$43.00	21.1%	6.1%	24.0%	7.3%	21.1%	4.3%	1.6%	-52.9M	469.1M	-31.9M	0.78	17.04	153,643	119,551	1,912,610	3,099,366
2012-03-27	$43.42	$43.00	23.3%	6.7%	23.5%	10.1%	22.2%	4.5%	1.2%	-61.2M	859.1M	-32.6M	0.76	16.19	86,244	65,698	1,992,633	3,129,555
2012-03-28	$42.69	$43.00	22.9%	6.6%	24.1%	9.5%	23.2%	5.1%	1.5%	-117.8M	1.71B	-32.1M	1.45	13.41	151,424	219,534	2,017,801	3,147,010
2012-03-29	$42.64	$43.00	22.7%	6.5%	23.8%	9.3%	22.9%	4.7%	1.4%	-116.6M	1.78B	-32.5M	1.71	12.47	138,507	236,739	2,110,312	3,243,241
2012-03-30	$42.95	$43.00	22.0%	6.5%	24.0%	8.3%	23.4%	4.2%	1.4%	-88.0M	1.33B	-32.8M	3.66	14.65	33,983	124,535	2,130,690	3,305,410