EEM Options History — July 2012

In July 2012, EEM traded between $37.40 and $39.91. ATM implied volatility averaged 24.8%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 3.4% (HV 20d: 28.2%). Max pain ranged from $38.50 to $39.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.79.

Notable Days

2012-07-20: Highest Volume — 399,980 contracts
2012-07-30: Largest IV spike — 18.8% change
2012-07-31: Highest IV Rank — 18.6%
2012-07-24: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.65	$37.40	$39.91	$39.13	$39.12
Max Pain	$38.79	$38.50	$39.50	$39.00	$38.50
ATM IV	24.8%	21.5%	32.7%	21.8%	32.7%
Expected Move	6.9%	6.3%	7.8%	6.7%	7.0%
HV 20d	28.2%	23.0%	31.0%	30.4%	23.1%
HV 60d	24.6%	23.9%	25.9%	24.5%	25.7%
IV Rank	8.6%	4.5%	18.6%	6.3%	18.6%
IV Percentile	28.2%	4.8%	63.5%	8.3%	63.5%
Term Structure	0.9%	-0.4%	1.9%	1.8%	0.6%
VWIV	25.1%	22.0%	27.8%	24.1%	25.1%
Skew 25d	5.1%	3.8%	7.0%	3.8%	3.8%
Skew 10d	9.9%	7.6%	12.7%	9.2%	7.8%
Call IV 25d	21.9%	19.8%	25.0%	21.7%	23.0%
Put IV 25d	27.1%	24.5%	30.2%	25.5%	26.8%
Bid-Ask Spread %	23.05	14.55	37.98	22.10	37.98
Gamma HHI	0.09	0.07	0.11	0.08	0.09
Net GEX	-93.5M	-173.8M	715.1K	-44.5M	-78.6M
Net DEX	2.46B	1.09B	3.71B	2.00B	1.77B
Net VEX	-23.9M	-25.5M	-22.8M	-25.5M	-23.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	0.48	4.38	1.91	1.78
Total Volume	169,800.762	89,536	399,980	122,784	161,133
Total OI	5,017,932.81	4,382,580	5,588,572	5,043,344	4,629,821

Daily Data (21 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
2012-07-02	$39.13	$39.00	21.8%	6.7%	30.4%	6.3%	24.1%	3.8%	1.8%	-44.5M	2.00B	-25.5M	1.91	22.10	42,160	80,624	1,953,827	3,089,517
2012-07-03	$39.91	$39.00	22.8%	6.3%	31.0%	7.5%	22.7%	4.1%	1.6%	715.1K	1.09B	-25.5M	0.75	23.88	57,429	43,305	1,956,368	3,091,648
2012-07-05	$39.49	$39.00	23.9%	6.4%	29.9%	9.0%	24.3%	4.5%	1.9%	-16.0M	1.66B	-24.8M	1.00	22.12	63,281	63,130	1,956,564	3,099,392
2012-07-06	$38.85	$39.50	21.5%	7.1%	30.6%	5.9%	26.6%	6.8%	0.7%	-74.2M	2.36B	-24.6M	3.00	23.66	36,371	109,249	1,956,169	3,131,340
2012-07-09	$38.63	$39.00	25.5%	7.2%	30.5%	11.0%	27.5%	7.0%	0.6%	-95.9M	2.60B	-24.2M	1.77	19.97	38,769	68,496	1,938,855	3,187,156
2012-07-10	$38.20	$39.00	26.9%	7.5%	30.3%	10.9%	27.2%	6.6%	0.4%	-134.3M	3.19B	-24.0M	1.74	21.73	47,156	82,173	1,956,650	3,227,956
2012-07-11	$38.36	$39.00	23.3%	7.0%	29.3%	6.2%	25.1%	6.3%	1.1%	-129.4M	3.02B	-24.1M	2.75	33.84	49,130	135,199	1,978,080	3,267,238
2012-07-12	$37.76	$39.00	25.9%	7.4%	29.7%	9.6%	27.0%	5.9%	0.5%	-173.8M	3.71B	-23.6M	1.22	25.95	78,990	96,033	1,989,504	3,287,969
2012-07-13	$38.47	$39.00	24.8%	7.1%	30.4%	8.1%	25.5%	6.2%	0.1%	-113.9M	2.86B	-24.2M	1.64	31.55	48,585	79,435	2,027,015	3,301,905
2012-07-16	$38.40	$38.50	24.5%	7.0%	29.7%	7.7%	25.9%	6.2%	0.8%	-136.5M	3.01B	-23.0M	1.44	14.95	43,743	63,176	2,008,421	3,329,661
2012-07-17	$38.91	$38.50	22.7%	6.5%	30.1%	5.4%	24.5%	4.7%	1.1%	-84.0M	2.27B	-23.1M	2.49	14.72	55,792	138,846	2,019,274	3,351,391
2012-07-18	$38.82	$38.50	22.1%	6.3%	29.4%	4.5%	23.3%	4.9%	1.4%	-101.8M	2.47B	-23.0M	1.06	14.55	69,778	73,906	2,036,445	3,407,135
2012-07-19	$39.17	$38.50	22.2%	6.4%	29.6%	4.6%	22.0%	5.0%	1.3%	-80.8M	1.99B	-23.2M	0.48	34.60	155,665	75,369	2,049,959	3,449,206
2012-07-20	$38.52	$39.00	22.8%	6.5%	24.3%	5.5%	23.8%	4.8%	1.5%	-99.8M	2.88B	-23.1M	4.38	17.10	74,357	325,623	2,109,596	3,478,976
2012-07-23	$37.56	$39.00	26.5%	7.6%	26.0%	10.4%	26.2%	5.0%	-0.1%	-137.0M	3.28B	-22.9M	1.05	15.95	71,301	75,131	1,608,959	2,773,621
2012-07-24	$37.40	$38.50	27.3%	7.8%	25.2%	11.4%	27.8%	5.2%	-0.4%	-134.6M	3.38B	-22.8M	2.00	26.98	39,930	79,769	1,639,586	2,776,862
2012-07-25	$37.70	$38.50	26.5%	7.6%	25.1%	10.4%	26.7%	5.2%	0.3%	-130.9M	3.10B	-23.0M	2.84	17.52	48,130	136,809	1,657,276	2,801,812
2012-07-26	$38.45	$38.50	23.4%	6.7%	26.0%	6.3%	23.7%	4.3%	0.7%	-105.9M	2.40B	-23.8M	1.53	24.01	117,219	179,564	1,685,553	2,840,149
2012-07-27	$39.54	$38.50	24.3%	6.5%	27.6%	7.5%	24.4%	3.8%	1.6%	-43.6M	1.13B	-24.5M	1.37	23.45	114,628	156,896	1,769,610	2,871,117
2012-07-30	$39.32	$38.50	28.9%	6.7%	23.0%	13.6%	23.7%	4.0%	1.0%	-47.9M	1.42B	-24.4M	1.29	17.51	39,092	50,444	1,803,318	2,881,688
2012-07-31	$39.12	$38.50	32.7%	7.0%	23.1%	18.6%	25.1%	3.8%	0.6%	-78.6M	1.77B	-23.7M	1.78	37.98	58,000	103,133	1,737,336	2,892,485