EEM Options History — April 2012

In April 2012, EEM traded between $41.30 and $43.55. ATM implied volatility averaged 24.3%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.7% (HV 20d: 20.6%). Max pain ranged from $42.50 to $43.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.80.

Notable Days

  • 2012-04-10: Highest Volume — 379,143 contracts
  • 2012-04-09: Largest IV spike — 24.4% change
  • 2012-04-10: Highest IV Rank — 20.5%
  • 2012-04-10: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.25$41.30$43.55$43.55$42.22
Max Pain$42.77$42.50$43.00$43.00$42.50
ATM IV24.3%18.7%31.4%22.9%23.2%
Expected Move6.9%5.8%8.0%6.0%6.3%
HV 20d20.6%18.7%23.9%23.9%19.5%
HV 60d20.1%19.6%20.5%19.7%19.8%
IV Rank11.4%4.2%20.5%9.6%9.9%
IV Percentile35.3%2.8%63.1%29.8%27.0%
Term Structure1.3%0.4%2.4%1.8%1.7%
VWIV24.6%20.9%29.2%22.0%23.4%
Skew 25d5.8%4.5%6.8%4.6%5.1%
Skew 10d10.8%8.3%12.8%8.3%9.8%
Call IV 25d21.5%18.4%24.8%20.2%19.1%
Put IV 25d27.3%22.9%31.5%24.7%24.2%
Bid-Ask Spread %15.9212.8619.1813.7218.66
Gamma HHI0.110.080.160.100.09
Net GEX-179.6M-287.2M-52.7M-52.7M-144.3M
Net DEX2.30B761.7M3.77B761.7M1.78B
Net VEX-31.8M-33.2M-30.4M-32.6M-30.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.454.800.452.19
Total Volume214,913.898,614379,143318,987120,659
Total OI5,698,5544,903,5686,455,5035,491,3875,196,717

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$43.55$43.0022.9%6.0%23.9%9.6%22.0%4.6%1.8%-52.7M761.7M-32.6M0.4513.72219,59999,3882,114,4253,376,962
2012-04-03$43.29$43.0022.8%6.4%20.5%9.4%21.6%4.7%1.6%-95.2M1.15B-32.6M1.4112.8658,74883,0842,110,7893,447,265
2012-04-04$42.51$43.0023.9%6.4%21.2%10.9%24.0%4.5%1.8%-176.3M2.37B-32.5M1.8814.8182,936156,0002,164,4843,459,744
2012-04-05$42.74$43.0021.7%6.3%19.8%8.1%22.3%4.7%2.4%-145.9M1.98B-33.2M0.7615.72119,02890,8762,186,5683,519,542
2012-04-09$42.11$43.0027.1%7.5%20.4%14.9%26.2%5.9%0.7%-202.6M2.79B-32.2M1.9214.6653,697103,1162,244,7243,550,434
2012-04-10$41.30$43.0031.4%8.0%21.1%20.5%29.2%6.7%0.7%-235.1M3.77B-31.8M2.8816.5797,730281,4132,264,1433,556,127
2012-04-11$41.73$43.0026.2%7.9%18.7%13.7%27.4%6.7%0.4%-237.0M3.31B-32.1M1.0117.32111,463112,8772,285,7663,631,414
2012-04-12$42.81$43.0024.9%7.1%20.7%12.1%25.0%6.5%1.0%-131.1M1.50B-32.6M0.7914.10166,233131,6862,350,0013,643,839
2012-04-13$42.16$43.0026.5%7.6%21.0%14.1%26.4%6.6%0.7%-184.6M2.32B-32.7M1.9416.1464,395124,9112,452,6783,667,586
2012-04-16$41.91$42.5026.6%7.6%21.0%14.3%27.1%6.6%0.7%-232.7M2.88B-31.7M4.8014.7851,461246,9702,414,1723,641,938
2012-04-17$42.34$43.0024.8%7.1%21.5%12.0%26.4%6.7%0.9%-227.9M2.35B-31.6M2.7115.6265,238177,0322,423,6293,776,398
2012-04-18$42.23$43.0025.3%7.3%20.8%12.7%27.1%6.6%0.8%-273.5M2.77B-31.8M3.3515.6840,235134,8672,442,4113,888,298
2012-04-19$42.05$42.5024.8%7.1%20.8%11.9%25.0%6.8%1.0%-287.2M2.99B-31.3M1.5516.4377,798120,8142,454,8053,912,064
2012-04-20$42.33$42.5022.4%6.4%20.4%8.9%22.7%6.1%1.9%-207.9M2.45B-31.5M1.3615.83133,769182,2082,470,6753,984,828
2012-04-23$41.52$42.5024.6%7.0%21.2%11.7%24.8%5.7%1.3%-165.0M2.70B-30.9M1.6416.4670,213115,0141,735,4073,168,161
2012-04-24$41.61$42.5024.1%6.9%20.0%11.1%25.4%5.9%1.4%-171.2M2.60B-31.1M1.3714.5780,026109,4771,756,1353,225,761
2012-04-25$41.98$42.5022.8%6.5%20.4%9.4%23.5%5.6%1.8%-155.7M2.16B-31.3M0.9019.18107,50496,6061,796,0743,263,388
2012-04-26$42.25$42.5022.0%6.3%19.7%8.4%22.5%4.9%1.8%-131.7M1.78B-30.9M1.6817.2942,02370,5681,873,2233,298,011
2012-04-27$42.31$42.5018.7%5.8%19.7%4.2%20.9%4.5%2.3%-135.2M1.64B-30.9M1.3417.9442,08156,5331,897,7823,324,712
2012-04-30$42.22$42.5023.2%6.3%19.5%9.9%23.4%5.1%1.7%-144.3M1.78B-30.4M2.1918.6637,80482,8551,883,1803,313,537