EEM Options History — November 2012

In November 2012, EEM traded between $40.18 and $42.19. ATM implied volatility averaged 21.1%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.1% (HV 20d: 17.9%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.25.

Notable Days

2012-11-16: Highest Volume — 599,604 contracts
2012-11-07: Largest IV drop — 26.7% change
2012-11-06: Highest IV Rank — 42.7%
2012-11-08: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.24	$40.18	$42.19	$41.86	$41.79
Max Pain	$41.25	$40.00	$42.00	$41.50	$42.00
ATM IV	21.1%	18.1%	27.8%	19.9%	18.5%
Expected Move	5.7%	5.2%	6.4%	5.5%	5.3%
HV 20d	17.9%	15.6%	19.8%	17.3%	15.6%
HV 60d	17.2%	16.2%	17.7%	16.2%	17.4%
IV Rank	20.8%	12.2%	42.7%	14.1%	13.8%
IV Percentile	23.5%	3.6%	74.2%	11.9%	5.6%
Term Structure	-0.1%	-2.2%	1.2%	1.2%	0.6%
VWIV	20.0%	17.7%	22.7%	18.4%	20.7%
Skew 25d	3.9%	1.7%	4.9%	3.6%	3.4%
Skew 10d	7.8%	1.0%	11.1%	7.7%	8.0%
Call IV 25d	18.2%	16.8%	20.1%	18.0%	17.3%
Put IV 25d	22.2%	19.7%	25.1%	21.5%	20.7%
Bid-Ask Spread %	32.42	5.13	87.80	28.79	66.22
Gamma HHI	0.11	0.08	0.43	0.10	0.08
Net GEX	-41.5M	-460.5M	110.9M	77.6M	99.8M
Net DEX	863.6M	-512.1M	2.94B	-21.8M	-512.1M
Net VEX	-22.2M	-23.3M	-20.9M	-23.3M	-22.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.42	2.59	0.42	1.40
Total Volume	225,062.429	80,199	599,604	219,205	212,640
Total OI	5,377,135.19	4,924,174	5,773,169	5,208,708	5,544,293

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
2012-11-01	$41.86	$41.50	19.9%	5.5%	17.3%	14.1%	18.4%	3.6%	1.2%	77.6M	-21.8M	-23.3M	0.42	28.79	154,274	64,931	2,186,470	3,022,238
2012-11-02	$41.44	$41.50	22.1%	5.7%	17.5%	19.9%	20.5%	3.1%	1.0%	34.8M	568.5M	-23.0M	1.84	37.15	57,246	105,556	2,198,033	3,010,231
2012-11-05	$41.72	$41.00	27.5%	6.2%	17.3%	41.7%	21.8%	4.6%	-0.5%	43.7M	238.8M	-22.6M	1.01	15.62	53,357	53,885	2,182,669	3,002,080
2012-11-06	$42.19	$41.00	27.8%	6.0%	17.8%	42.7%	20.6%	4.0%	-0.4%	96.3M	-455.6M	-22.7M	0.99	14.26	101,708	100,594	2,193,431	3,021,660
2012-11-07	$41.35	$41.00	20.3%	6.2%	18.9%	18.8%	20.1%	4.4%	-0.5%	18.1M	689.0M	-22.7M	0.66	13.76	165,016	108,703	2,272,374	3,034,436
2012-11-08	$40.89	$41.00	21.8%	6.4%	19.2%	23.6%	22.7%	4.9%	-0.4%	-72.9M	1.66B	-22.8M	2.59	5.13	146,023	377,562	2,259,910	3,090,362
2012-11-09	$41.04	$41.00	25.9%	5.2%	19.1%	36.8%	19.3%	4.2%	-0.0%	-81.1M	1.58B	-23.0M	1.98	73.43	73,703	146,210	2,339,903	3,295,427
2012-11-12	$41.14	$41.00	20.2%	6.0%	18.7%	18.2%	19.7%	4.7%	0.2%	-93.8M	1.15B	-22.8M	0.63	13.84	87,706	54,895	2,343,615	3,318,757
2012-11-13	$40.74	$41.00	21.9%	6.2%	18.9%	23.7%	21.8%	4.0%	-0.8%	-188.0M	1.93B	-22.7M	0.89	13.84	102,155	91,290	2,374,141	3,312,883
2012-11-14	$40.18	$41.00	24.1%	6.3%	19.2%	31.0%	21.1%	4.7%	-0.4%	-259.8M	2.94B	-21.9M	1.33	29.46	85,321	113,681	2,397,199	3,341,163
2012-11-15	$40.29	$0.00	22.1%	6.4%	18.8%	24.4%	21.9%	4.3%	-0.8%	-318.8M	2.78B	-21.7M	1.04	52.65	113,170	117,898	2,397,364	3,331,638
2012-11-16	$40.40	$40.00	21.1%	6.1%	18.6%	21.1%	20.8%	3.7%	-0.4%	-460.5M	2.44B	-20.9M	1.89	87.80	207,491	392,113	2,437,114	3,336,055
2012-11-19	$41.10	$41.00	18.9%	5.4%	19.8%	14.1%	19.5%	4.3%	0.0%	-26.9M	986.9M	-21.2M	2.18	14.79	102,940	224,111	2,067,886	2,856,288
2012-11-20	$41.02	$41.00	18.5%	5.3%	18.7%	12.9%	18.6%	3.8%	0.4%	-31.6M	1.03B	-21.7M	0.66	12.91	104,773	68,825	2,101,885	2,976,589
2012-11-21	$40.99	$41.00	18.6%	5.4%	17.7%	13.3%	19.5%	3.4%	0.2%	-21.9M	1.03B	-21.7M	1.39	14.44	61,503	85,265	2,164,336	2,987,043
2012-11-23	$41.63	$41.00	18.5%	5.3%	16.6%	12.7%	18.8%	3.5%	-0.5%	34.8M	99.6M	-22.2M	0.96	12.99	40,829	39,370	2,214,865	3,043,559
2012-11-26	$41.62	$42.00	18.4%	5.2%	16.5%	12.4%	17.8%	4.0%	0.9%	55.2M	12.0M	-21.1M	0.82	38.59	78,396	64,462	2,203,204	3,005,587
2012-11-27	$41.28	$42.00	18.8%	5.4%	16.6%	13.7%	17.8%	1.7%	-2.2%	39.0M	394.3M	-21.4M	1.12	56.68	54,746	61,185	2,260,303	3,037,062
2012-11-28	$41.44	$42.00	19.2%	5.5%	16.4%	15.2%	20.0%	3.7%	-0.5%	72.7M	66.6M	-21.7M	1.44	38.45	47,699	68,535	2,291,903	3,060,070
2012-11-29	$41.83	$42.00	18.1%	5.2%	16.7%	12.2%	17.7%	4.3%	0.8%	110.9M	-463.1M	-21.8M	1.05	40.06	164,352	172,192	2,315,038	3,090,775
2012-11-30	$41.79	$42.00	18.5%	5.3%	15.6%	13.8%	20.7%	3.4%	0.6%	99.8M	-512.1M	-22.4M	1.40	66.22	88,441	124,199	2,413,214	3,131,079