EEM Options History — February 2013

In February 2013, EEM traded between $42.67 and $44.46. ATM implied volatility averaged 14.6%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.6% (HV 20d: 9.9%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.54.

Notable Days

2013-02-06: Highest Volume — 468,181 contracts
2013-02-25: Largest IV spike — 16.6% change
2013-02-25: Highest IV Rank — 23.8%
2013-02-25: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.69	$42.67	$44.46	$44.46	$43.21
Max Pain	$43.78	$42.00	$45.00	$44.00	$43.00
ATM IV	14.6%	12.4%	17.9%	15.2%	15.7%
Expected Move	4.2%	3.5%	5.1%	4.3%	4.5%
HV 20d	9.9%	9.2%	11.3%	9.2%	11.1%
HV 60d	11.3%	10.7%	12.5%	12.4%	11.1%
IV Rank	9.3%	0.0%	23.8%	11.9%	14.2%
IV Percentile	6.2%	0.4%	21.4%	5.2%	13.5%
Term Structure	0.5%	-0.8%	1.4%	-0.0%	-0.1%
VWIV	15.3%	12.8%	19.6%	14.6%	14.6%
Skew 25d	3.6%	2.6%	4.3%	3.3%	3.6%
Skew 10d	7.9%	5.3%	11.9%	7.8%	8.0%
Call IV 25d	13.4%	11.5%	16.7%	13.6%	14.2%
Put IV 25d	17.0%	14.1%	20.7%	16.9%	17.8%
Bid-Ask Spread %	24.80	5.40	53.22	22.05	48.44
Gamma HHI	0.11	0.09	0.29	0.09	0.10
Net GEX	-194.7M	-571.4M	17.5M	17.5M	-233.6M
Net DEX	943.9M	-543.1M	2.57B	-543.1M	1.69B
Net VEX	-34.9M	-36.3M	-33.6M	-36.3M	-34.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.59	3.59	0.59	3.59
Total Volume	222,575.105	83,740	468,181	233,143	83,740
Total OI	5,676,973.421	5,335,726	6,228,214	5,446,863	5,661,234

Daily Data (19 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
2013-02-01	$44.46	$44.00	15.2%	4.3%	9.2%	11.9%	14.6%	3.3%	-0.0%	17.5M	-543.1M	-36.3M	0.59	22.05	146,216	86,927	2,276,996	3,169,867
2013-02-04	$43.92	$44.00	15.7%	4.5%	10.1%	14.0%	18.6%	3.2%	0.3%	-79.3M	650.6M	-35.8M	2.02	18.68	70,090	141,661	2,318,703	3,157,688
2013-02-05	$43.90	$44.00	14.5%	4.2%	9.9%	9.2%	14.6%	3.8%	0.5%	-83.9M	494.5M	-35.9M	0.64	31.27	120,097	76,773	2,351,873	3,243,611
2013-02-06	$43.92	$45.00	14.6%	4.2%	9.5%	9.5%	14.7%	3.6%	0.7%	-106.1M	606.4M	-36.0M	1.66	10.09	176,252	291,929	2,393,335	3,265,970
2013-02-07	$43.53	$0.00	14.6%	4.1%	9.8%	9.4%	15.7%	4.3%	1.0%	-214.8M	1.56B	-36.1M	0.82	5.40	163,328	133,405	2,422,532	3,336,447
2013-02-08	$43.86	$42.00	13.8%	3.9%	9.7%	5.8%	13.6%	3.6%	0.6%	-226.2M	1.02B	-35.6M	1.37	53.22	96,898	133,003	2,419,502	3,465,911
2013-02-11	$43.83	$44.00	13.7%	4.0%	9.2%	5.7%	14.3%	4.0%	1.4%	-169.6M	731.9M	-35.2M	1.65	15.83	53,057	87,403	2,438,422	3,458,266
2013-02-12	$43.96	$44.00	13.2%	3.8%	9.2%	3.5%	13.5%	3.6%	1.4%	-184.8M	575.3M	-34.6M	1.04	12.21	97,780	101,783	2,448,549	3,509,935
2013-02-13	$44.20	$44.00	13.1%	3.8%	9.5%	3.1%	14.0%	3.1%	1.4%	-111.2M	-111.5M	-34.5M	1.23	12.14	88,181	108,678	2,489,016	3,527,712
2013-02-14	$44.16	$44.00	13.1%	3.8%	9.5%	3.1%	13.9%	3.0%	0.5%	-246.8M	-11.7M	-34.9M	1.55	15.31	94,801	147,016	2,521,659	3,569,147
2013-02-15	$44.00	$44.00	12.4%	3.5%	9.3%	0.0%	13.3%	2.6%	0.9%	-571.4M	437.8M	-35.0M	1.50	14.42	75,490	113,365	2,577,239	3,650,975
2013-02-19	$44.04	$44.00	12.6%	3.6%	9.2%	0.6%	12.8%	3.1%	0.9%	-117.2M	132.4M	-33.6M	0.76	11.37	192,521	146,948	2,135,079	3,200,647
2013-02-20	$43.59	$44.00	13.6%	3.9%	9.8%	5.1%	17.3%	3.6%	0.7%	-178.5M	969.8M	-33.9M	1.55	17.54	71,431	110,548	2,151,981	3,259,264
2013-02-21	$43.19	$44.00	15.6%	4.5%	10.1%	13.9%	17.3%	4.1%	0.2%	-257.2M	1.96B	-34.1M	1.72	35.58	68,015	117,138	2,129,833	3,290,900
2013-02-22	$43.28	$44.00	15.3%	4.4%	10.2%	12.7%	16.1%	4.0%	0.2%	-211.0M	1.47B	-33.8M	2.67	37.85	55,465	148,252	2,141,522	3,292,350
2013-02-25	$42.67	$44.00	17.9%	5.1%	11.1%	23.8%	17.9%	4.0%	-0.3%	-244.9M	2.57B	-34.6M	1.43	19.86	74,204	106,426	2,159,105	3,313,940
2013-02-26	$42.91	$43.00	16.6%	4.7%	11.3%	18.0%	19.6%	4.0%	-0.5%	-261.3M	2.32B	-34.2M	2.67	48.41	84,348	225,017	2,182,699	3,339,910
2013-02-27	$43.41	$43.00	15.7%	4.5%	11.2%	14.2%	13.7%	3.7%	-0.8%	-218.5M	1.41B	-34.2M	0.73	41.48	81,522	59,219	2,208,911	3,381,765
2013-02-28	$43.21	$43.00	15.7%	4.5%	11.1%	14.2%	14.6%	3.6%	-0.1%	-233.6M	1.69B	-34.3M	3.59	48.44	18,244	65,496	2,262,804	3,398,430