EEM Options History — January 2013

In January 2013, EEM traded between $43.85 and $45.11. ATM implied volatility averaged 14.9%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.3% (HV 20d: 12.5%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.56.

Notable Days

2013-01-28: Highest Volume — 613,895 contracts
2013-01-18: Largest IV drop — 14.5% change
2013-01-31: Highest IV Rank — 14.6%
2013-01-02: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.50	$43.85	$45.11	$45.11	$44.22
Max Pain	$44.15	$43.00	$45.00	$43.00	$44.00
ATM IV	14.9%	12.4%	16.5%	16.5%	15.8%
Expected Move	4.3%	3.5%	4.7%	4.7%	4.5%
HV 20d	12.5%	9.0%	13.5%	11.9%	9.0%
HV 60d	14.1%	12.5%	15.0%	15.0%	12.5%
IV Rank	5.6%	0.0%	14.6%	9.3%	14.6%
IV Percentile	1.8%	0.0%	7.9%	1.6%	7.9%
Term Structure	0.8%	-0.3%	2.2%	0.7%	0.5%
VWIV	15.2%	12.8%	19.8%	16.9%	19.8%
Skew 25d	2.9%	2.1%	4.6%	4.6%	3.5%
Skew 10d	6.1%	1.5%	10.4%	10.4%	7.2%
Call IV 25d	13.7%	11.8%	14.7%	14.5%	14.4%
Put IV 25d	16.7%	14.0%	19.1%	19.1%	17.9%
Bid-Ask Spread %	31.24	5.76	59.79	42.36	41.61
Gamma HHI	0.12	0.09	0.16	0.16	0.09
Net GEX	157.4M	-38.4M	276.3M	275.6M	-20.0M
Net DEX	-1.67B	-3.33B	212.0M	-3.33B	-143.5M
Net VEX	-30.2M	-36.1M	-24.9M	-24.9M	-36.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.56	0.45	3.37	0.45	2.43
Total Volume	310,910.762	163,945	613,895	453,672	163,945
Total OI	5,162,306.143	4,462,087	6,035,349	4,658,735	5,343,907

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
2013-01-02	$45.11	$43.00	16.5%	4.7%	11.9%	9.3%	16.9%	4.6%	0.7%	275.6M	-3.33B	-24.9M	0.45	42.36	313,509	140,163	2,216,661	2,442,074
2013-01-03	$44.93	$45.00	16.0%	4.6%	12.1%	7.0%	15.7%	4.0%	0.9%	270.9M	-2.89B	-25.8M	0.46	48.01	256,556	118,184	2,260,545	2,472,826
2013-01-04	$44.93	$45.00	15.3%	4.4%	11.9%	3.8%	15.3%	3.5%	0.9%	276.3M	-2.87B	-26.1M	0.85	49.81	117,444	100,213	2,291,970	2,531,759
2013-01-07	$44.64	$45.00	15.1%	4.3%	12.3%	3.0%	17.1%	3.1%	1.5%	255.0M	-2.44B	-25.8M	0.61	38.23	237,106	143,608	2,309,190	2,549,442
2013-01-08	$44.27	$45.00	15.4%	4.4%	12.8%	4.3%	14.4%	3.0%	0.5%	226.5M	-2.05B	-26.6M	1.95	15.59	88,687	172,669	2,373,060	2,608,968
2013-01-09	$44.44	$45.00	15.5%	4.5%	12.5%	4.8%	14.3%	2.8%	0.3%	210.6M	-2.19B	-27.0M	3.07	18.25	57,070	175,128	2,345,896	2,705,676
2013-01-10	$44.82	$0.00	15.0%	4.3%	12.7%	2.4%	17.6%	3.0%	0.2%	237.4M	-2.72B	-28.8M	2.32	5.76	78,845	182,774	2,371,833	2,826,347
2013-01-11	$44.41	$43.00	15.7%	4.5%	13.3%	5.7%	15.4%	2.4%	-0.3%	172.7M	-2.02B	-29.3M	1.25	59.79	166,492	208,786	2,395,932	2,940,584
2013-01-14	$44.50	$44.00	14.7%	4.2%	13.1%	1.0%	13.5%	3.1%	2.2%	192.9M	-2.26B	-29.9M	0.47	22.69	335,457	157,151	2,483,816	3,065,277
2013-01-15	$44.47	$44.00	15.0%	4.3%	13.1%	2.4%	14.5%	2.9%	2.0%	204.0M	-1.99B	-31.0M	0.96	22.59	114,157	109,708	2,708,468	3,161,102
2013-01-16	$44.43	$44.00	14.7%	4.2%	13.1%	0.9%	14.4%	2.5%	2.0%	198.9M	-1.77B	-31.1M	0.73	23.11	154,465	112,694	2,727,977	3,217,128
2013-01-17	$44.69	$44.00	14.5%	4.2%	13.2%	0.1%	15.3%	2.1%	-0.1%	228.9M	-2.34B	-31.4M	1.56	34.22	81,948	128,102	2,690,185	3,272,079
2013-01-18	$44.78	$44.00	12.4%	3.5%	13.2%	0.0%	13.2%	2.3%	0.9%	260.4M	-2.37B	-30.5M	1.67	34.10	197,232	329,147	2,714,640	3,320,709
2013-01-22	$44.70	$44.00	13.1%	3.8%	13.2%	3.0%	13.7%	2.5%	1.4%	167.5M	-1.58B	-31.0M	2.16	46.04	65,813	142,182	2,058,150	2,403,937
2013-01-23	$44.47	$44.00	13.7%	3.9%	12.7%	5.5%	12.8%	2.3%	0.7%	114.8M	-1.09B	-31.5M	3.37	12.09	71,521	241,324	2,085,153	2,491,294
2013-01-24	$44.30	$44.00	14.0%	4.0%	12.7%	6.8%	14.7%	2.7%	0.5%	51.3M	-647.4M	-31.7M	2.12	11.50	103,360	219,294	2,097,143	2,617,572
2013-01-25	$44.14	$44.00	14.0%	3.9%	12.8%	6.7%	13.5%	2.3%	0.7%	5.6M	-211.8M	-32.3M	1.01	37.54	128,383	130,056	2,105,172	2,758,074
2013-01-28	$43.85	$44.00	14.9%	4.3%	13.0%	10.7%	15.9%	3.2%	0.6%	-16.4M	212.0M	-32.3M	1.34	36.02	262,710	351,185	2,160,592	2,752,215
2013-01-29	$44.38	$44.00	15.2%	4.4%	13.5%	11.9%	15.1%	2.8%	0.0%	30.9M	-563.9M	-34.8M	1.93	11.21	60,314	116,428	2,234,384	3,025,046
2013-01-30	$44.12	$44.00	15.6%	4.5%	11.0%	13.7%	16.6%	3.3%	0.4%	-38.4M	143.0M	-35.5M	2.00	45.43	65,050	130,266	2,241,768	3,029,878
2013-01-31	$44.22	$44.00	15.8%	4.5%	9.0%	14.6%	19.8%	3.5%	0.5%	-20.0M	-143.5M	-36.1M	2.43	41.61	47,770	116,175	2,254,341	3,089,566