EEM Options History — May 2012

In May 2012, EEM traded between $37.15 and $42.50. ATM implied volatility averaged 27.8%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 10.3% (HV 20d: 17.5%). Max pain ranged from $41.00 to $42.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.61.

Notable Days

2012-05-16: Highest Volume — 629,507 contracts
2012-05-31: Largest IV drop — 17.1% change
2012-05-30: Highest IV Rank — 24.2%
2012-05-17: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.26	$37.15	$42.50	$42.50	$37.70
Max Pain	$42.00	$41.00	$42.50	$42.50	$41.00
ATM IV	27.8%	21.3%	35.3%	21.9%	29.3%
Expected Move	7.8%	5.7%	9.3%	5.9%	8.6%
HV 20d	17.5%	14.6%	20.7%	19.0%	20.7%
HV 60d	20.0%	19.3%	21.3%	19.5%	20.3%
IV Rank	15.7%	7.5%	24.2%	8.3%	16.4%
IV Percentile	48.3%	7.9%	69.0%	14.7%	55.6%
Term Structure	0.6%	-0.2%	2.4%	2.2%	0.4%
VWIV	28.2%	21.2%	33.3%	21.5%	29.4%
Skew 25d	7.6%	4.5%	10.1%	4.5%	6.2%
Skew 10d	15.2%	8.5%	20.3%	8.7%	12.5%
Call IV 25d	23.9%	18.2%	28.3%	18.6%	26.7%
Put IV 25d	31.5%	22.9%	38.1%	23.2%	32.9%
Bid-Ask Spread %	15.46	7.04	25.14	21.13	12.72
Gamma HHI	0.11	0.08	0.17	0.08	0.09
Net GEX	-216.3M	-312.4M	-128.8M	-128.8M	-184.8M
Net DEX	4.86B	1.37B	7.94B	1.37B	5.50B
Net VEX	-27.1M	-30.8M	-24.8M	-30.8M	-26.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.61	0.69	6.07	3.70	1.35
Total Volume	314,116.955	106,204	629,507	161,014	207,585
Total OI	5,574,879.091	5,046,002	6,192,837	5,250,174	5,806,740

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
2012-05-01	$42.50	$42.50	21.9%	5.9%	19.0%	8.3%	21.5%	4.5%	2.2%	-128.8M	1.37B	-30.8M	3.70	21.13	34,238	126,776	1,910,196	3,339,978
2012-05-02	$42.41	$42.50	24.1%	5.7%	18.9%	11.1%	21.2%	4.7%	2.4%	-131.5M	1.53B	-29.9M	1.58	18.04	41,106	65,098	1,919,138	3,352,693
2012-05-03	$42.07	$42.50	21.3%	6.0%	18.0%	7.5%	21.8%	4.7%	2.2%	-167.0M	2.02B	-29.8M	1.90	16.15	61,268	116,121	1,937,757	3,363,038
2012-05-04	$41.36	$42.50	21.8%	6.9%	18.8%	8.1%	26.9%	7.5%	0.5%	-218.4M	3.11B	-29.3M	3.32	18.82	73,222	243,023	1,952,312	3,403,174
2012-05-07	$41.51	$42.50	23.3%	6.9%	18.2%	10.1%	27.4%	7.8%	0.6%	-230.7M	3.00B	-29.2M	2.36	17.99	47,863	113,024	1,961,496	3,526,892
2012-05-08	$40.85	$42.50	26.0%	7.1%	17.7%	13.5%	25.5%	7.8%	0.3%	-254.2M	3.81B	-28.5M	1.34	18.90	163,504	218,557	1,982,629	3,508,342
2012-05-09	$40.32	$42.50	26.0%	7.4%	17.8%	13.5%	28.4%	8.1%	0.1%	-274.4M	4.59B	-28.4M	4.03	17.57	62,033	250,159	2,029,045	3,590,204
2012-05-10	$40.49	$42.50	25.7%	7.4%	14.8%	13.1%	26.7%	7.6%	0.2%	-278.4M	4.28B	-28.5M	2.02	16.33	82,731	167,032	2,043,980	3,627,290
2012-05-11	$39.97	$42.50	26.7%	7.7%	14.6%	14.4%	26.4%	7.5%	-0.0%	-279.8M	5.08B	-27.5M	3.19	19.47	71,579	228,119	2,074,818	3,666,452
2012-05-14	$39.06	$42.00	29.0%	8.3%	16.2%	17.3%	29.0%	6.3%	-0.0%	-269.3M	6.11B	-26.3M	1.36	18.65	131,590	179,581	2,085,379	3,694,162
2012-05-15	$38.72	$42.00	30.1%	8.6%	15.5%	18.8%	30.9%	7.8%	-0.2%	-260.9M	6.36B	-26.2M	2.43	14.70	110,047	267,320	2,147,235	3,730,966
2012-05-16	$38.17	$42.00	31.4%	9.0%	15.9%	20.4%	32.1%	8.2%	-0.1%	-266.6M	6.93B	-25.6M	6.07	12.15	89,095	540,412	2,183,252	3,772,851
2012-05-17	$37.65	$42.00	32.5%	9.3%	16.1%	21.9%	33.3%	9.2%	0.1%	-312.4M	7.62B	-25.8M	1.76	13.97	96,654	169,730	2,218,055	3,974,782
2012-05-18	$37.29	$42.00	31.9%	9.1%	15.5%	21.0%	32.7%	10.1%	0.5%	-262.8M	7.94B	-24.8M	3.39	16.90	125,289	424,355	2,275,205	3,911,947
2012-05-21	$38.18	$42.00	29.2%	8.4%	18.0%	17.6%	29.0%	9.5%	0.4%	-184.1M	5.11B	-25.6M	1.74	11.96	109,472	190,148	1,814,863	3,231,139
2012-05-22	$37.78	$42.00	28.6%	8.2%	18.0%	16.8%	29.7%	9.6%	0.6%	-176.3M	5.22B	-25.1M	1.15	10.42	170,969	196,802	1,880,551	3,245,006
2012-05-23	$37.52	$41.50	29.7%	8.5%	17.3%	18.2%	30.8%	8.6%	0.0%	-179.1M	5.64B	-25.1M	2.26	11.69	97,035	219,591	1,976,948	3,324,341
2012-05-24	$37.33	$41.50	28.7%	8.2%	16.7%	17.0%	29.6%	8.4%	1.0%	-168.6M	5.53B	-25.2M	0.69	25.14	177,399	123,130	2,005,798	3,327,712
2012-05-25	$37.15	$41.50	27.6%	8.6%	16.5%	15.6%	29.5%	8.5%	0.6%	-175.1M	5.79B	-25.4M	3.17	12.65	66,983	212,620	2,123,260	3,401,958
2012-05-29	$38.20	$41.00	31.8%	8.1%	20.5%	20.9%	28.2%	8.0%	0.5%	-165.9M	4.72B	-27.0M	3.10	7.04	59,806	185,407	2,139,124	3,491,523
2012-05-30	$37.54	$41.00	35.3%	8.6%	20.4%	24.2%	29.8%	7.4%	-0.2%	-188.7M	5.70B	-25.9M	5.48	7.78	91,666	502,434	2,147,430	3,547,679
2012-05-31	$37.70	$41.00	29.3%	8.6%	20.7%	16.4%	29.4%	6.2%	0.4%	-184.8M	5.50B	-26.6M	1.35	12.72	88,204	119,381	2,193,848	3,612,892