EEM Options History — June 2012

In June 2012, EEM traded between $36.69 and $39.70. ATM implied volatility averaged 27.0%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.1% (HV 20d: 25.9%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.63.

Notable Days

  • 2012-06-15: Highest Volume — 427,362 contracts
  • 2012-06-06: Largest IV drop — 22.4% change
  • 2012-06-04: Highest IV Rank — 23.6%
  • 2012-06-04: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.01$36.69$39.70$36.69$39.14
Max Pain$39.17$39.00$41.00$41.00$39.00
ATM IV27.0%20.6%34.8%34.8%20.6%
Expected Move8.0%6.4%9.3%9.2%6.5%
HV 20d25.9%22.0%30.4%22.1%30.4%
HV 60d21.5%20.2%24.6%20.7%24.6%
IV Rank13.4%5.1%23.6%23.6%5.1%
IV Percentile41.1%3.2%67.5%67.1%3.2%
Term Structure1.0%-0.2%2.0%1.1%2.0%
VWIV28.4%22.3%33.7%32.0%23.8%
Skew 25d7.5%4.6%10.2%7.8%4.6%
Skew 10d14.1%8.1%18.5%14.4%9.4%
Call IV 25d24.7%20.3%28.4%28.4%20.9%
Put IV 25d32.2%25.4%38.5%36.1%25.4%
Bid-Ask Spread %16.8711.5439.4214.0139.42
Gamma HHI0.100.060.360.100.08
Net GEX-138.8M-317.0M-11.8M-197.7M-46.9M
Net DEX4.16B1.57B6.47B6.47B1.92B
Net VEX-25.6M-26.7M-23.8M-25.3M-25.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.556.383.530.97
Total Volume231,230.476101,402427,362280,482208,183
Total OI5,578,7384,706,7746,622,7075,869,9735,024,422

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$36.69$41.0034.8%9.2%22.1%23.6%32.0%7.8%1.1%-197.7M6.47B-25.3M3.5314.0161,977218,5052,215,7963,654,177
2012-06-04$36.85$39.5034.8%9.3%22.1%23.6%33.7%10.2%-0.2%-212.1M6.39B-25.0M1.7111.5471,920123,2022,215,3583,695,913
2012-06-05$36.95$39.0033.1%8.8%22.0%21.3%32.5%8.7%0.2%-209.5M6.23B-25.2M2.1114.1655,110116,1962,246,4053,733,599
2012-06-06$38.03$39.0025.7%8.4%24.8%11.7%30.1%8.3%0.1%-179.1M5.03B-26.4M1.4116.2397,395136,9582,267,1503,749,108
2012-06-07$38.26$39.0024.3%8.2%24.8%9.9%29.8%8.7%1.3%-168.0M4.81B-26.6M1.1412.21105,019119,8582,309,0343,780,442
2012-06-08$37.93$39.0024.1%8.2%24.7%9.6%28.3%8.3%0.9%-183.5M5.16B-26.1M0.9011.73108,76598,1732,352,6113,820,017
2012-06-11$37.39$39.0029.0%8.7%24.8%16.0%30.1%8.3%1.8%-201.2M5.79B-25.2M0.9524.5383,54679,5372,407,5093,825,591
2012-06-12$38.23$39.0025.8%8.5%25.2%11.9%28.5%8.4%0.6%-151.9M4.79B-26.4M0.9814.75100,15398,2282,450,6433,838,019
2012-06-13$38.02$39.0026.7%8.8%25.1%13.1%31.5%9.5%1.2%-147.9M5.20B-26.1M1.0419.15153,031159,1192,512,8493,869,186
2012-06-14$38.28$39.0029.7%8.5%24.8%17.0%31.6%9.3%0.3%-114.0M4.68B-26.7M1.0014.40112,025112,4842,604,5453,938,035
2012-06-15$38.99$39.0027.5%7.9%25.0%14.1%27.6%9.1%0.3%-317.0M3.88B-26.7M0.5520.54275,273152,0892,652,7793,969,928
2012-06-18$39.07$39.0025.4%7.3%24.6%11.3%27.4%8.7%1.3%-37.1M2.23B-26.0M1.0616.2985,41790,7461,908,9332,797,841
2012-06-19$39.70$39.0024.3%7.0%23.9%10.0%24.2%7.3%1.1%-16.7M1.59B-26.3M1.4312.38149,077213,5151,936,1622,826,367
2012-06-20$39.57$39.0022.2%6.4%23.5%7.2%22.3%5.4%1.8%-11.8M1.57B-25.5M0.5514.51241,764132,3452,008,1202,920,999
2012-06-21$37.67$39.0026.8%7.7%29.7%13.2%26.5%6.6%1.2%-93.9M3.41B-25.1M1.0016.94155,328155,5842,026,2662,975,571
2012-06-22$37.79$39.5025.3%7.3%29.7%11.2%26.0%6.3%1.5%-111.3M3.43B-24.7M1.2413.2764,07879,1721,897,5792,927,686
2012-06-25$37.09$39.5027.4%7.9%30.4%14.0%28.0%6.3%1.2%-134.8M3.95B-23.8M6.3812.8025,544163,0261,912,6212,938,716
2012-06-26$37.45$39.0026.5%7.6%28.8%12.8%29.2%5.5%0.9%-129.0M3.67B-24.8M2.4518.8450,273123,2521,921,1193,032,414
2012-06-27$37.65$39.0026.5%7.6%28.2%12.8%26.7%6.0%0.6%-120.6M3.49B-24.9M2.7618.6226,97074,4321,943,5703,035,811
2012-06-28$37.47$39.0025.9%7.4%28.2%12.0%25.9%4.6%1.3%-131.2M3.69B-24.7M0.9818.0390,37488,1971,949,5383,061,069
2012-06-29$39.14$39.0020.6%6.5%30.4%5.1%23.8%4.6%2.0%-46.9M1.92B-25.7M0.9739.42105,446102,7371,954,5293,069,893