EEM Options History — October 2012

In October 2012, EEM traded between $40.99 and $42.27. ATM implied volatility averaged 19.8%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.8% (HV 20d: 16.1%). Max pain ranged from $40.50 to $41.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.18.

Notable Days

2012-10-19: Highest Volume — 339,333 contracts
2012-10-08: Largest IV spike — 32.6% change
2012-10-31: Highest IV Rank — 23.2%
2012-10-24: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.56	$40.99	$42.27	$41.68	$41.15
Max Pain	$41.21	$40.50	$41.50	$40.50	$41.50
ATM IV	19.8%	14.5%	23.4%	21.5%	23.4%
Expected Move	5.7%	5.2%	6.2%	5.7%	6.1%
HV 20d	16.1%	12.9%	19.7%	19.7%	16.2%
HV 60d	17.9%	15.9%	19.0%	19.0%	15.9%
IV Rank	13.0%	0.0%	23.2%	10.8%	23.2%
IV Percentile	11.9%	0.0%	41.3%	15.9%	41.3%
Term Structure	1.5%	0.5%	2.5%	1.8%	0.8%
VWIV	20.5%	18.2%	22.9%	19.9%	21.2%
Skew 25d	4.1%	2.2%	4.9%	4.0%	4.3%
Skew 10d	9.2%	6.2%	11.9%	10.3%	9.8%
Call IV 25d	18.2%	16.8%	19.6%	18.3%	19.5%
Put IV 25d	22.3%	20.4%	24.3%	22.3%	23.8%
Bid-Ask Spread %	24.24	8.79	51.23	16.58	29.54
Gamma HHI	0.09	0.08	0.13	0.08	0.08
Net GEX	53.5M	-43.2M	217.0M	82.3M	-41.4M
Net DEX	240.9M	-1.05B	1.20B	-57.1M	1.17B
Net VEX	-23.8M	-25.0M	-22.9M	-23.4M	-23.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.54	2.44	0.93	0.69
Total Volume	194,717.143	92,516	339,333	92,516	202,389
Total OI	5,139,443.286	4,759,118	5,706,932	4,759,118	5,107,178

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
2012-10-01	$41.68	$40.50	21.5%	5.7%	19.7%	10.8%	19.9%	4.0%	1.8%	82.3M	-57.1M	-23.4M	0.93	16.58	47,863	44,653	2,063,221	2,695,897
2012-10-02	$41.81	$40.50	20.3%	5.4%	19.5%	8.7%	19.9%	2.2%	1.8%	102.9M	-332.4M	-23.2M	1.21	30.65	73,140	88,135	2,082,868	2,705,294
2012-10-03	$41.52	$40.50	21.9%	5.4%	19.5%	14.8%	20.8%	3.4%	1.8%	71.8M	81.3M	-23.6M	2.44	17.26	44,570	108,784	2,137,397	2,743,974
2012-10-04	$41.94	$40.50	17.9%	5.2%	18.2%	6.2%	18.7%	3.1%	1.7%	122.3M	-438.9M	-23.4M	0.80	16.28	121,823	97,498	2,151,083	2,771,425
2012-10-05	$41.92	$41.50	14.5%	5.6%	16.8%	0.0%	18.9%	4.3%	2.0%	127.7M	-365.1M	-23.6M	0.84	36.51	140,181	117,566	2,188,537	2,815,592
2012-10-08	$41.51	$41.50	19.3%	5.7%	16.3%	12.5%	21.3%	4.2%	1.4%	62.7M	249.5M	-23.9M	1.33	22.00	52,199	69,406	2,218,904	2,864,180
2012-10-09	$41.24	$41.50	21.1%	6.1%	16.1%	17.3%	21.4%	4.5%	0.9%	41.7M	587.0M	-23.4M	0.76	22.97	95,359	72,235	2,230,947	2,875,838
2012-10-10	$40.99	$41.50	19.5%	6.1%	16.1%	13.0%	21.9%	4.6%	1.2%	8.0M	897.4M	-23.7M	0.87	22.77	143,009	124,235	2,284,499	2,900,126
2012-10-11	$41.44	$41.00	19.8%	5.7%	13.7%	13.9%	21.8%	4.4%	2.5%	34.3M	405.6M	-23.3M	2.37	21.39	40,258	95,304	2,288,864	2,968,245
2012-10-12	$41.22	$41.00	20.6%	5.9%	12.9%	16.1%	22.5%	4.5%	1.7%	22.7M	620.2M	-23.4M	2.27	28.76	57,293	130,028	2,301,414	3,003,706
2012-10-15	$41.57	$41.00	19.6%	5.6%	12.9%	13.5%	20.5%	3.9%	1.1%	22.3M	298.6M	-23.2M	1.16	20.33	49,440	57,239	2,320,210	3,070,503
2012-10-16	$41.95	$41.00	18.8%	5.4%	13.3%	11.2%	19.0%	3.8%	2.3%	133.6M	-444.0M	-22.9M	1.12	22.57	95,829	107,705	2,328,143	3,090,357
2012-10-17	$42.27	$41.50	18.2%	5.2%	13.6%	9.7%	18.2%	3.4%	2.5%	217.0M	-1.05B	-23.0M	0.57	24.21	196,934	112,336	2,372,024	3,113,437
2012-10-18	$42.15	$41.50	18.6%	5.3%	13.5%	10.7%	19.1%	3.5%	1.9%	157.2M	-700.3M	-24.1M	0.84	22.10	125,665	105,268	2,460,800	3,166,164
2012-10-19	$41.36	$41.50	19.4%	5.6%	15.2%	12.8%	20.7%	4.5%	1.4%	-6.3M	525.8M	-24.2M	1.33	51.23	145,739	193,594	2,495,773	3,211,159
2012-10-22	$42.00	$41.50	18.7%	5.4%	16.2%	10.9%	19.3%	4.9%	1.6%	43.5M	-25.2M	-23.7M	1.02	21.77	108,222	110,268	1,984,221	2,806,870
2012-10-23	$41.02	$41.50	21.4%	6.1%	17.5%	18.0%	21.5%	4.9%	1.1%	-43.2M	1.20B	-24.8M	1.28	17.31	89,546	115,013	2,057,026	2,873,296
2012-10-24	$41.20	$41.50	21.5%	6.2%	17.5%	18.4%	21.7%	4.4%	1.1%	-36.0M	1.00B	-25.0M	1.34	20.44	86,341	115,655	2,078,617	2,909,108
2012-10-25	$41.51	$41.50	20.3%	5.8%	16.6%	15.2%	22.9%	4.3%	0.5%	11.6M	514.4M	-24.9M	1.12	8.79	82,445	92,256	2,108,448	2,921,244
2012-10-26	$41.22	$41.50	20.5%	5.9%	16.5%	15.7%	19.3%	4.9%	1.2%	-10.6M	918.7M	-25.0M	0.54	35.65	86,702	46,935	2,169,911	2,991,809
2012-10-31	$41.15	$41.50	23.4%	6.1%	16.2%	23.2%	21.2%	4.3%	0.8%	-41.4M	1.17B	-23.6M	0.69	29.54	119,617	82,772	2,130,958	2,976,220