EEM Options History — September 2012

In September 2012, EEM traded between $38.86 and $42.40. ATM implied volatility averaged 21.0%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.4% (HV 20d: 17.6%). Max pain ranged from $40.00 to $40.50. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2012-09-13: Highest Volume — 561,516 contracts
  • 2012-09-10: Largest IV spike — 42.3% change
  • 2012-09-11: Highest IV Rank — 21.3%
  • 2012-09-04: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.06$38.86$42.40$39.15$41.33
Max Pain$40.16$40.00$40.50$40.00$40.50
ATM IV21.0%17.9%27.2%25.8%17.9%
Expected Move5.9%5.2%6.6%6.6%5.4%
HV 20d17.6%10.3%20.1%10.3%19.8%
HV 60d21.8%19.3%23.8%23.0%19.3%
IV Rank9.9%4.2%21.3%18.8%4.2%
IV Percentile14.3%1.6%56.3%44.4%1.6%
Term Structure1.5%0.9%2.4%1.2%2.4%
VWIV21.1%18.2%23.3%23.1%19.6%
Skew 25d3.5%2.4%4.6%3.4%3.9%
Skew 10d7.5%4.7%10.1%6.3%9.0%
Call IV 25d19.2%16.5%22.0%21.6%17.5%
Put IV 25d22.7%19.9%25.1%25.1%21.4%
Bid-Ask Spread %19.706.6032.5220.1832.52
Gamma HHI0.090.070.130.070.08
Net GEX118.4M-109.5M347.0M-91.3M46.4M
Net DEX-212.6M-3.03B2.78B2.52B339.4M
Net VEX-23.3M-24.0M-22.4M-23.9M-24.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.342.421.091.55
Total Volume234,257.895107,388561,516107,388148,958
Total OI5,585,783.4744,434,1836,522,2065,461,1724,759,357

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-09-04$39.15$40.0025.8%6.6%10.3%18.8%23.1%3.4%1.2%-91.3M2.52B-23.9M1.0920.1851,49455,8942,337,6873,123,485
2012-09-05$38.86$40.0025.7%6.6%10.3%18.5%23.3%3.0%1.2%-109.5M2.78B-23.5M2.4214.4339,19194,7962,360,1263,140,473
2012-09-06$39.78$40.0020.8%5.8%13.6%9.5%21.7%2.8%1.5%-38.7M1.60B-23.6M1.0417.6563,76366,1572,374,7173,165,489
2012-09-07$40.66$40.0018.0%6.0%15.7%4.4%22.9%4.6%1.3%55.8M230.0M-23.5M0.7225.24135,70197,7762,394,7253,169,755
2012-09-10$40.08$40.0025.6%6.3%16.4%18.4%22.1%4.6%1.1%-1.5M1.08B-23.2M0.9330.3982,32076,8882,460,0953,193,406
2012-09-11$40.55$40.0027.2%6.3%16.7%21.3%22.3%4.2%1.1%58.5M383.6M-23.5M1.0021.3880,10480,0452,493,8993,222,853
2012-09-12$40.83$40.0020.5%6.2%16.8%9.0%22.3%4.0%1.0%100.2M-65.1M-23.1M0.6720.41149,213100,3442,516,5133,262,635
2012-09-13$41.88$40.0020.7%5.9%19.0%9.3%21.1%3.6%1.1%224.7M-1.84B-22.8M0.7719.52317,683243,8332,558,8143,319,631
2012-09-14$42.40$40.0021.1%6.1%19.3%10.1%21.4%2.4%0.9%268.9M-3.03B-23.6M0.3423.14387,719132,3462,693,2873,431,369
2012-09-17$41.95$40.0021.0%6.0%19.6%9.9%22.3%3.1%1.5%309.0M-2.21B-23.8M0.5013.41146,56273,5232,858,6063,402,204
2012-09-18$41.93$40.0020.0%5.7%19.6%8.0%21.5%3.2%1.8%347.0M-2.12B-23.4M1.1815.7257,62968,0322,901,1873,423,591
2012-09-19$41.85$40.0020.3%5.8%19.6%8.5%20.1%2.8%1.2%343.3M-1.97B-23.1M0.4314.02211,41990,6292,900,2943,454,441
2012-09-20$41.69$40.0019.4%5.6%19.7%7.0%19.7%2.4%1.5%319.5M-1.62B-22.4M1.1217.50158,640177,1612,977,8903,493,868
2012-09-21$41.78$40.5018.1%5.2%19.2%4.5%18.2%3.0%2.0%252.6M-1.56B-22.8M0.7815.64193,725151,7472,943,9123,578,294
2012-09-24$41.74$40.5018.2%5.2%19.3%4.7%18.7%3.4%2.1%69.5M-46.7M-22.7M0.8919.8359,17652,9521,893,2492,540,934
2012-09-25$41.11$40.5020.0%5.7%19.7%8.1%20.3%4.3%1.7%20.9M629.3M-23.2M0.9029.53125,421112,5811,925,3492,560,582
2012-09-26$40.96$40.5020.3%5.8%19.7%8.6%20.9%4.5%1.9%-1.5M877.8M-23.5M1.126.6096,176107,8451,991,1872,613,843
2012-09-27$41.67$40.5018.7%5.3%20.1%5.6%19.4%3.8%2.4%77.0M-17.6M-23.5M0.9917.1982,28781,1702,032,6212,659,518
2012-09-28$41.33$40.5017.9%5.4%19.8%4.2%19.6%3.9%2.4%46.4M339.4M-24.0M1.5532.5258,35490,6042,056,3062,703,051