EEM Options History — December 2012

In December 2012, EEM traded between $41.91 and $44.35. ATM implied volatility averaged 17.7%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 7.0% (HV 20d: 10.7%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2012-12-17: Highest Volume — 2,876,346 contracts
  • 2012-12-28: Largest IV spike — 19.5% change
  • 2012-12-28: Highest IV Rank — 28.0%
  • 2012-12-28: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.15$41.91$44.35$41.91$44.35
Max Pain$42.64$41.00$44.00$41.00$43.00
ATM IV17.7%16.3%20.3%18.6%18.2%
Expected Move5.1%4.6%5.8%5.3%5.2%
HV 20d10.7%7.8%15.2%15.2%10.8%
HV 60d15.1%14.0%17.4%17.4%14.7%
IV Rank13.6%8.5%28.0%14.4%17.5%
IV Percentile5.0%1.2%26.6%7.1%9.9%
Term Structure0.6%-0.5%1.5%0.5%-0.1%
VWIV18.4%16.3%22.4%19.4%18.9%
Skew 25d3.6%2.5%5.1%3.6%4.8%
Skew 10d8.6%5.1%15.2%9.9%9.6%
Call IV 25d16.5%14.7%18.2%17.8%15.8%
Put IV 25d20.1%17.2%23.3%21.5%20.5%
Bid-Ask Spread %33.014.9678.3027.5711.99
Gamma HHI0.110.080.180.080.14
Net GEX181.2M79.9M259.2M79.9M223.1M
Net DEX-1.30B-2.76B11.9M-137.5M-2.19B
Net VEX-23.1M-26.9M-21.0M-23.4M-26.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.041.380.841.17
Total Volume363,105.759,6062,876,34690,516204,746
Total OI5,409,365.84,345,2655,996,7305,447,3194,596,672

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$41.91$41.0018.6%5.3%15.2%14.4%19.4%3.6%0.5%79.9M-137.5M-23.4M0.8427.5749,28041,2362,372,4243,074,895
2012-12-04$41.91$42.0018.7%5.4%15.0%14.5%21.0%4.5%0.8%95.1M-365.6M-22.8M1.3832.5247,46665,7012,378,2803,101,250
2012-12-05$42.32$42.0018.3%5.3%14.9%13.2%18.3%4.1%0.5%136.9M-1.16B-22.3M0.6225.32187,360115,5482,393,2033,130,959
2012-12-06$42.63$0.0017.7%5.1%13.0%10.9%18.0%3.4%1.2%169.0M-1.49B-23.0M0.526.64135,16070,9052,487,9823,196,955
2012-12-07$42.65$43.0017.0%4.9%12.1%8.7%17.1%3.8%1.4%174.9M-1.75B-23.2M1.0367.0878,12380,5382,544,7303,216,466
2012-12-10$43.06$42.0017.9%5.1%12.4%11.7%21.0%2.9%0.9%210.2M-2.27B-22.4M0.6757.84167,232112,0082,534,7453,195,456
2012-12-11$43.29$42.0018.1%5.2%12.4%12.5%18.0%2.7%0.3%254.5M-2.70B-23.0M0.4850.12140,27767,3322,633,6783,230,580
2012-12-12$43.39$42.0017.9%5.1%11.5%14.0%18.7%3.2%0.1%259.2M-2.74B-22.5M0.8951.63151,453134,8762,655,5383,243,219
2012-12-13$43.19$0.0017.9%5.1%10.1%14.3%16.9%3.1%0.1%226.9M-2.15B-22.8M0.807.90115,80492,6772,676,7123,270,877
2012-12-14$43.38$43.0017.7%5.1%10.1%15.4%18.2%2.5%-0.4%243.0M-2.73B-22.1M0.7878.3096,79575,6632,672,5633,304,313
2012-12-17$43.48$42.5017.3%4.9%10.1%13.1%22.4%3.0%1.2%256.0M-2.76B-21.1M0.0418.792,756,433119,9132,682,1543,314,576
2012-12-18$43.52$43.0016.6%4.8%8.8%10.1%17.2%2.7%1.5%187.4M-382.6M-21.0M1.0311.09142,089146,9012,071,3703,360,691
2012-12-19$43.51$43.0017.1%4.9%8.7%12.3%17.0%3.2%1.2%177.6M-314.5M-21.8M0.5010.87292,429146,1052,111,6793,403,727
2012-12-20$43.75$43.0016.9%4.8%8.6%11.3%17.2%3.5%-0.5%251.1M-685.3M-22.5M0.4726.00285,965134,5422,226,6143,437,476
2012-12-21$43.30$43.0016.3%4.6%8.6%8.5%16.9%3.8%1.3%144.8M11.9M-23.7M1.0829.67144,950156,7592,376,7913,502,468
2012-12-24$43.18$43.0017.1%5.0%8.7%12.5%16.3%4.0%1.3%110.8M-220.8M-23.8M0.714.9634,75724,8491,968,3052,376,960
2012-12-26$43.29$43.0018.1%5.2%7.9%17.2%16.6%4.5%0.5%130.0M-441.6M-23.7M0.6740.3892,80062,0241,993,1652,369,235
2012-12-27$43.51$44.0017.0%4.8%7.9%12.0%17.6%4.2%0.7%152.3M-566.5M-24.1M0.5347.29219,461116,9622,038,0272,390,623
2012-12-28$43.34$43.0020.3%5.8%7.8%28.0%20.4%5.1%0.5%141.0M-985.2M-26.9M0.7354.2389,74665,2492,217,8042,434,154
2012-12-31$44.35$43.0018.2%5.2%10.8%17.5%18.9%4.8%-0.1%223.1M-2.19B-26.0M1.1711.9994,306110,4402,184,2332,412,439