EEM Options History — August 2012

In August 2012, EEM traded between $38.75 and $40.76. ATM implied volatility averaged 20.8%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.8% (HV 20d: 19.9%). Max pain ranged from $38.50 to $40.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.53.

Notable Days

2012-08-09: Highest Volume — 480,650 contracts
2012-08-16: Largest IV spike — 34.0% change
2012-08-01: Highest IV Rank — 22.2%
2012-08-02: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.02	$38.75	$40.76	$39.48	$39.28
Max Pain	$39.83	$38.50	$40.00	$38.50	$40.00
ATM IV	20.8%	15.6%	35.3%	35.3%	18.9%
Expected Move	6.2%	5.5%	7.1%	7.1%	6.1%
HV 20d	19.9%	10.5%	24.5%	22.2%	10.5%
HV 60d	24.9%	23.0%	26.5%	25.8%	23.1%
IV Rank	6.9%	0.0%	22.2%	22.2%	5.9%
IV Percentile	9.5%	0.0%	69.4%	69.4%	2.8%
Term Structure	1.8%	0.0%	2.7%	0.0%	2.0%
VWIV	22.3%	19.7%	26.0%	26.0%	21.6%
Skew 25d	3.6%	2.7%	4.3%	3.2%	3.3%
Skew 10d	6.9%	5.0%	8.4%	6.1%	7.2%
Call IV 25d	20.2%	18.0%	24.0%	24.0%	20.4%
Put IV 25d	23.8%	21.7%	27.2%	27.2%	23.7%
Bid-Ask Spread %	22.38	13.28	44.03	27.76	16.73
Gamma HHI	0.08	0.06	0.14	0.08	0.07
Net GEX	8.5M	-133.7M	127.1M	-64.2M	-85.3M
Net DEX	786.5M	-716.1M	2.83B	1.40B	2.34B
Net VEX	-24.5M	-25.4M	-23.7M	-23.7M	-24.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	0.41	4.11	3.05	0.56
Total Volume	209,420.826	74,850	480,650	412,757	152,219
Total OI	5,283,201.565	4,785,695	5,786,784	4,785,695	5,400,113

Daily Data (23 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
2012-08-01	$39.48	$38.50	35.3%	7.1%	22.2%	22.2%	26.0%	3.2%	0.0%	-64.2M	1.40B	-23.7M	3.05	27.76	102,038	310,719	1,839,820	2,945,875
2012-08-02	$38.75	$39.00	25.6%	7.1%	22.9%	9.2%	24.9%	3.6%	0.5%	-133.7M	2.33B	-24.8M	1.30	21.89	65,659	85,076	1,894,417	3,137,921
2012-08-03	$39.92	$39.00	20.3%	5.9%	24.5%	2.1%	21.9%	2.7%	2.3%	-4.7M	734.2M	-24.1M	0.41	38.52	221,874	90,542	1,904,364	3,133,211
2012-08-06	$40.13	$39.50	23.1%	6.7%	24.4%	5.8%	24.3%	4.3%	1.0%	6.4M	290.4M	-24.0M	3.27	14.03	55,819	182,535	2,001,525	3,112,596
2012-08-07	$40.29	$40.00	22.2%	6.6%	23.9%	4.6%	24.6%	3.6%	0.9%	18.7M	13.1M	-24.2M	1.38	13.28	146,885	203,293	2,048,361	3,222,426
2012-08-08	$40.37	$40.00	18.8%	6.4%	23.9%	0.2%	23.0%	4.0%	1.1%	50.0M	-138.0M	-24.0M	0.89	15.84	122,337	109,010	2,116,512	3,146,681
2012-08-09	$40.57	$40.00	18.7%	6.4%	22.9%	0.0%	21.5%	3.8%	1.4%	60.4M	-417.5M	-24.6M	0.43	25.61	335,374	145,276	2,133,067	3,205,140
2012-08-10	$40.76	$40.00	16.2%	6.1%	22.2%	0.0%	23.5%	3.4%	1.6%	100.4M	-716.1M	-25.3M	3.78	22.86	38,555	145,909	2,361,524	3,243,947
2012-08-13	$40.37	$40.00	17.8%	6.1%	22.6%	2.9%	21.7%	3.8%	1.5%	99.4M	-215.8M	-24.8M	0.65	14.02	136,215	88,734	2,381,584	3,266,850
2012-08-14	$40.36	$40.00	17.6%	6.2%	22.3%	2.5%	21.9%	3.5%	1.5%	82.2M	-59.8M	-25.4M	0.58	35.33	59,549	34,566	2,440,272	3,324,345
2012-08-15	$40.39	$40.00	15.6%	6.0%	22.2%	0.0%	21.4%	3.4%	1.6%	99.2M	-181.2M	-24.5M	0.76	27.24	47,271	35,733	2,401,967	3,340,777
2012-08-16	$40.67	$40.00	20.9%	6.0%	22.2%	9.8%	22.1%	3.4%	1.6%	127.1M	-540.9M	-24.2M	2.21	26.44	65,348	144,696	2,375,198	3,325,013
2012-08-17	$40.40	$40.00	19.3%	5.5%	21.3%	6.7%	19.7%	3.7%	2.7%	126.7M	-123.7M	-24.1M	0.64	44.03	151,688	97,725	2,392,814	3,393,970
2012-08-20	$40.47	$40.00	19.3%	5.5%	18.7%	6.7%	20.0%	3.5%	2.4%	24.4M	606.3M	-24.2M	0.71	27.51	72,758	51,589	2,096,581	2,704,024
2012-08-21	$40.41	$40.00	19.7%	5.7%	18.5%	7.6%	21.0%	3.7%	2.4%	20.4M	681.6M	-24.4M	1.67	19.51	76,330	127,151	2,137,574	2,734,322
2012-08-22	$40.39	$40.00	19.8%	5.7%	18.5%	7.8%	20.9%	3.2%	2.6%	24.0M	644.0M	-24.6M	4.11	16.68	59,319	243,994	2,167,864	2,793,839
2012-08-23	$40.00	$40.00	20.9%	6.0%	18.0%	9.8%	21.0%	3.1%	2.2%	-25.2M	1.35B	-25.3M	1.13	14.13	79,855	90,022	2,191,891	2,979,491
2012-08-24	$40.09	$40.00	20.2%	5.8%	15.2%	8.4%	22.7%	3.5%	2.7%	-23.3M	1.32B	-24.9M	1.25	14.94	43,774	54,599	2,195,140	2,988,445
2012-08-27	$39.64	$40.00	21.8%	6.3%	15.7%	11.4%	23.1%	3.7%	2.2%	-54.5M	1.75B	-24.7M	1.97	15.40	25,195	49,655	2,187,683	2,988,048
2012-08-28	$39.63	$40.00	21.3%	6.1%	15.5%	10.5%	21.8%	4.1%	2.6%	-60.6M	1.90B	-24.3M	1.73	24.83	54,781	94,827	2,196,305	2,993,949
2012-08-29	$39.28	$40.00	22.0%	6.3%	15.5%	11.7%	22.3%	3.6%	2.2%	-83.2M	2.29B	-24.1M	1.14	22.18	90,198	102,959	2,228,910	3,059,812
2012-08-30	$38.84	$40.00	22.5%	6.5%	14.6%	12.7%	22.9%	3.6%	2.3%	-109.9M	2.83B	-24.3M	1.51	15.91	49,789	75,239	2,275,619	3,103,849
2012-08-31	$39.28	$40.00	18.9%	6.1%	10.5%	5.9%	21.6%	3.3%	2.0%	-85.3M	2.34B	-24.3M	0.56	16.73	97,269	54,950	2,290,369	3,109,744