EEM Options History — April 2013

In April 2013, EEM traded between $40.86 and $43.29. ATM implied volatility averaged 16.0%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.6% (HV 20d: 14.4%). Max pain ranged from $35.00 to $42.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.18.

Notable Days

2013-04-24: Highest Volume — 421,678 contracts
2013-04-15: Largest IV spike — 18.1% change
2013-04-18: Highest IV Rank — 28.6%
2013-04-18: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.99	$40.86	$43.29	$42.36	$43.29
Max Pain	$40.81	$35.00	$42.50	$41.50	$42.00
ATM IV	16.0%	14.3%	19.0%	15.2%	15.2%
Expected Move	4.6%	4.1%	5.4%	4.3%	4.3%
HV 20d	14.4%	10.1%	18.6%	12.2%	18.6%
HV 60d	12.2%	10.5%	14.2%	10.7%	14.2%
IV Rank	15.6%	8.1%	28.6%	12.2%	12.2%
IV Percentile	23.8%	9.1%	47.2%	16.7%	19.0%
Term Structure	0.1%	-0.5%	0.7%	0.3%	0.2%
VWIV	16.9%	14.0%	21.6%	15.9%	14.8%
Skew 25d	4.1%	2.5%	5.6%	4.0%	2.7%
Skew 10d	8.9%	3.2%	13.2%	7.5%	9.1%
Call IV 25d	14.6%	12.8%	16.9%	14.0%	14.6%
Put IV 25d	18.6%	15.9%	22.5%	18.0%	17.4%
Bid-Ask Spread %	24.91	6.76	61.00	36.16	26.86
Gamma HHI	0.08	0.06	0.09	0.08	0.06
Net GEX	-223.2M	-382.1M	5.5M	-317.9M	5.5M
Net DEX	3.21B	-154.1M	5.70B	3.59B	-154.1M
Net VEX	-33.8M	-36.2M	-30.4M	-35.5M	-35.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.18	0.80	5.29	3.00	1.02
Total Volume	224,343.5	74,988	421,678	87,636	178,604
Total OI	5,940,842.364	5,063,584	6,487,317	6,008,208	5,720,089

Daily Data (22 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
2013-04-01	$42.36	$41.50	15.2%	4.3%	12.2%	12.2%	15.9%	4.0%	0.3%	-317.9M	3.59B	-35.5M	3.00	36.16	21,929	65,707	2,440,779	3,567,429
2013-04-02	$42.31	$42.00	14.8%	4.2%	11.8%	10.4%	16.6%	3.9%	0.1%	-340.7M	3.71B	-35.5M	1.75	29.86	29,153	51,134	2,455,079	3,605,256
2013-04-03	$42.02	$42.00	15.2%	4.3%	11.1%	11.9%	16.3%	3.5%	0.2%	-382.1M	4.59B	-34.0M	5.29	21.86	60,432	319,904	2,466,321	3,629,804
2013-04-04	$41.74	$42.00	16.2%	4.6%	10.9%	16.5%	15.8%	4.4%	0.3%	-350.4M	4.92B	-34.6M	1.31	21.30	110,165	144,605	2,495,909	3,666,957
2013-04-05	$41.60	$42.00	15.9%	4.6%	10.7%	15.0%	17.3%	4.2%	0.3%	-303.9M	4.77B	-33.4M	3.15	19.75	84,606	266,239	2,544,264	3,545,584
2013-04-08	$41.68	$42.00	15.8%	4.5%	10.1%	14.6%	16.5%	4.1%	0.2%	-291.4M	4.17B	-32.6M	1.51	23.10	49,405	74,772	2,572,070	3,453,987
2013-04-09	$41.90	$42.00	14.3%	4.1%	10.3%	8.2%	14.0%	3.8%	0.7%	-239.7M	2.94B	-33.9M	2.60	13.39	97,906	254,120	2,576,676	3,453,228
2013-04-10	$42.50	$42.00	14.3%	4.1%	11.4%	8.1%	14.1%	2.5%	0.3%	-210.7M	2.26B	-33.4M	0.96	17.90	121,923	117,343	2,606,574	3,419,018
2013-04-11	$42.48	$0.00	14.5%	4.1%	11.1%	9.0%	18.6%	3.3%	0.2%	-211.0M	2.41B	-33.5M	1.42	6.76	58,152	82,486	2,663,113	3,448,869
2013-04-12	$41.87	$42.00	14.9%	4.3%	12.1%	10.7%	14.7%	3.9%	0.2%	-286.8M	3.96B	-32.0M	2.12	27.76	82,862	175,662	2,652,209	3,477,300
2013-04-15	$40.86	$42.50	17.6%	5.0%	14.4%	22.5%	17.5%	5.6%	-0.1%	-303.0M	5.70B	-30.4M	2.36	50.95	84,176	198,738	2,679,307	3,533,112
2013-04-16	$41.70	$42.50	16.9%	4.8%	16.2%	19.7%	18.4%	4.2%	0.2%	-271.1M	4.10B	-32.7M	4.51	17.93	47,916	216,111	2,698,343	3,581,108
2013-04-17	$41.08	$42.50	18.6%	5.3%	16.8%	27.0%	19.5%	5.3%	0.1%	-295.5M	5.35B	-32.6M	2.49	15.14	102,285	254,431	2,704,879	3,682,961
2013-04-18	$41.06	$42.50	19.0%	5.4%	16.7%	28.6%	19.8%	5.6%	0.1%	-291.4M	5.30B	-33.1M	2.62	12.24	39,764	104,043	2,738,994	3,733,205
2013-04-19	$41.63	$42.50	17.1%	4.9%	17.3%	20.4%	17.3%	4.0%	-0.1%	-235.6M	4.00B	-33.6M	1.02	22.48	103,196	104,853	2,758,651	3,728,666
2013-04-22	$41.80	$35.00	16.4%	4.8%	17.4%	17.5%	18.5%	4.7%	-0.1%	-121.5M	2.09B	-32.6M	2.19	29.93	47,237	103,421	2,132,146	2,931,438
2013-04-23	$42.04	$35.00	16.1%	4.6%	17.5%	15.9%	16.4%	4.3%	0.2%	-104.7M	1.69B	-32.6M	2.57	61.00	65,749	168,973	2,160,237	2,983,700
2013-04-24	$42.32	$40.00	16.5%	4.7%	17.0%	17.8%	16.6%	4.3%	-0.5%	-81.0M	1.31B	-33.8M	2.67	20.52	114,785	306,893	2,176,452	3,058,166
2013-04-25	$42.65	$35.00	15.3%	4.4%	17.2%	12.7%	21.6%	3.5%	0.3%	-74.2M	978.9M	-35.9M	1.46	35.17	87,308	127,758	2,249,166	3,312,915
2013-04-26	$42.14	$38.00	16.5%	4.7%	17.6%	17.7%	16.3%	4.3%	-0.1%	-134.2M	1.88B	-36.2M	1.04	13.27	66,613	69,210	2,313,424	3,394,025
2013-04-29	$42.68	$42.00	16.0%	4.6%	18.0%	15.7%	15.1%	2.9%	0.0%	-69.6M	938.0M	-35.9M	0.80	24.63	41,723	33,265	2,335,385	3,351,737
2013-04-30	$43.29	$42.00	15.2%	4.3%	18.6%	12.2%	14.8%	2.7%	0.2%	5.5M	-154.1M	-35.3M	1.02	26.86	88,557	90,047	2,358,396	3,361,693