EEM Options History — March 2013

In March 2013, EEM traded between $41.85 and $44.15. ATM implied volatility averaged 14.3%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.3% (HV 20d: 12.1%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.68.

Notable Days

  • 2013-03-11: Highest Volume — 1,182,308 contracts
  • 2013-03-18: Largest IV spike — 11.9% change
  • 2013-03-01: Highest IV Rank — 14.8%
  • 2013-03-01: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.87$41.85$44.15$43.31$42.75
Max Pain$43.03$41.00$44.00$43.00$42.00
ATM IV14.3%12.5%15.8%15.8%13.8%
Expected Move4.1%3.6%4.6%4.6%3.9%
HV 20d12.1%11.1%12.9%11.1%11.9%
HV 60d11.6%11.1%12.1%11.1%11.2%
IV Rank8.4%0.3%14.8%14.8%5.8%
IV Percentile8.8%0.8%18.7%15.1%6.7%
Term Structure0.2%-0.7%1.4%-0.2%0.9%
VWIV14.8%12.4%20.8%15.7%14.1%
Skew 25d3.7%2.7%5.4%3.6%3.0%
Skew 10d8.2%6.5%12.7%8.4%6.7%
Call IV 25d13.0%11.5%14.0%14.0%13.1%
Put IV 25d16.8%14.2%19.1%17.6%16.1%
Bid-Ask Spread %27.454.1358.4849.8922.85
Gamma HHI0.100.080.120.100.08
Net GEX-278.2M-405.9M-39.2M-230.8M-273.9M
Net DEX2.40B-793.6M4.36B1.39B2.74B
Net VEX-34.7M-37.3M-31.7M-34.0M-37.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.353.702.393.37
Total Volume270,023.7122,9171,182,308142,002144,027
Total OI5,885,437.755,134,9776,700,3115,637,6456,002,876

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$43.31$43.0015.8%4.6%11.1%14.8%15.7%3.6%-0.2%-230.8M1.39B-34.0M2.3949.8941,920100,0822,251,7603,385,885
2013-03-04$42.91$43.0015.2%4.3%11.2%12.1%20.8%3.9%0.1%-319.4M2.17B-32.9M1.3752.4199,853136,9492,256,8143,410,413
2013-03-05$43.41$43.0014.8%4.2%11.5%10.4%13.8%3.8%-0.6%-258.3M1.13B-33.4M1.7343.6145,00277,9152,283,9993,471,091
2013-03-06$43.65$43.0013.7%3.9%11.7%5.6%15.2%3.2%0.7%-249.9M830.2M-33.0M0.7627.18109,83283,5202,305,4983,490,625
2013-03-07$43.79$43.0013.4%3.8%11.7%4.2%14.3%3.1%0.2%-175.7M351.5M-32.9M0.8131.87177,301142,8342,371,7673,512,843
2013-03-08$44.15$43.0012.5%3.6%11.6%0.3%12.4%2.7%0.2%-39.2M-793.6M-31.9M1.584.1360,91896,2342,445,8283,565,533
2013-03-11$43.86$43.0012.8%3.7%11.6%1.6%12.8%3.3%0.1%-132.7M-38.6M-31.7M3.7033.97251,362930,9462,435,8393,556,583
2013-03-12$43.39$43.0014.1%4.0%12.2%7.1%13.6%2.9%-0.7%-333.4M1.85B-35.7M1.4816.6176,411112,8962,622,3243,911,804
2013-03-13$43.06$43.0013.9%4.0%12.4%6.6%13.7%3.4%-0.1%-403.9M2.53B-35.0M2.1132.3995,951202,2062,634,5393,808,963
2013-03-14$43.15$0.0014.1%4.1%12.2%7.3%12.6%3.7%-0.3%-359.5M2.40B-35.4M1.555.9898,090152,4992,645,0463,878,305
2013-03-15$42.76$44.0013.2%3.8%12.5%3.5%14.8%3.2%-0.2%-405.9M3.62B-35.0M1.4658.48117,640171,4202,721,6803,978,631
2013-03-18$42.38$44.0014.8%4.2%12.8%10.4%15.5%4.0%0.9%-284.3M3.36B-34.3M0.3516.70300,058106,1791,998,4033,136,574
2013-03-19$42.05$44.0015.3%4.4%12.9%12.7%15.6%4.5%0.8%-292.3M3.91B-34.6M0.9521.23159,843151,8282,088,9533,207,981
2013-03-20$42.19$44.0015.1%4.3%12.7%11.5%15.4%4.2%0.9%-291.4M3.69B-35.5M2.4818.6067,102166,1832,206,1193,278,071
2013-03-21$41.85$44.0015.7%4.5%12.6%14.1%16.0%5.0%0.3%-306.2M4.36B-35.9M1.2015.9681,85897,8702,244,7733,336,383
2013-03-22$41.85$43.5015.4%4.4%12.5%12.8%16.8%4.5%0.6%-307.4M4.05B-36.4M1.5913.9377,720123,3672,295,1313,392,367
2013-03-25$41.88$42.0014.8%4.3%11.7%10.6%13.6%5.4%0.4%-312.8M4.21B-35.4M1.4627.5567,11597,8952,335,4663,446,979
2013-03-26$42.46$42.0014.9%4.3%12.6%10.8%14.2%3.7%-0.5%-296.4M3.31B-36.3M1.4934.02100,157149,1312,375,2063,474,886
2013-03-27$42.59$41.0013.6%3.9%11.8%5.2%14.3%3.4%1.4%-289.8M3.00B-37.2M1.7921.6346,05282,3082,419,8333,522,984
2013-03-28$42.75$42.0013.8%3.9%11.9%5.8%14.1%3.0%0.9%-273.9M2.74B-37.3M3.3722.8532,976111,0512,443,9053,558,971