EEM Options History — May 2013

In May 2013, EEM traded between $41.19 and $44.23. ATM implied volatility averaged 16.4%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.3% (HV 20d: 15.1%). Max pain ranged from $42.00 to $43.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.54.

Notable Days

2013-05-01: Highest Volume — 524,226 contracts
2013-05-31: Largest IV spike — 12.1% change
2013-05-31: Highest IV Rank — 37.2%
2013-05-31: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.09	$41.19	$44.23	$42.79	$41.19
Max Pain	$42.90	$42.00	$43.50	$42.00	$43.00
ATM IV	16.4%	14.6%	20.9%	16.7%	20.9%
Expected Move	4.7%	4.3%	6.1%	4.8%	6.1%
HV 20d	15.1%	10.6%	19.2%	18.9%	11.8%
HV 60d	14.3%	13.9%	14.6%	14.1%	14.4%
IV Rank	17.4%	9.5%	37.2%	18.5%	37.2%
IV Percentile	32.2%	11.9%	71.0%	32.1%	71.0%
Term Structure	0.1%	-1.7%	1.8%	0.2%	-1.5%
VWIV	17.9%	14.9%	24.0%	19.8%	21.6%
Skew 25d	3.3%	2.3%	5.4%	4.3%	5.4%
Skew 10d	6.9%	-0.5%	11.9%	9.4%	10.2%
Call IV 25d	15.3%	13.8%	18.6%	15.6%	18.6%
Put IV 25d	18.6%	16.5%	24.0%	19.9%	24.0%
Bid-Ask Spread %	34.98	3.94	95.90	29.28	22.85
Gamma HHI	0.09	0.06	0.14	0.06	0.11
Net GEX	-86.3M	-318.4M	137.2M	-57.6M	-318.4M
Net DEX	737.8M	-1.49B	5.04B	928.8M	5.04B
Net VEX	-37.0M	-39.0M	-35.9M	-36.2M	-36.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.54	0.36	9.99	5.72	3.92
Total Volume	253,751.364	102,900	524,226	524,226	406,139
Total OI	6,413,622.864	5,788,338	6,795,013	5,813,405	6,732,068

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
2013-05-01	$42.79	$42.00	16.7%	4.8%	18.9%	18.5%	19.8%	4.3%	0.2%	-57.6M	928.8M	-36.2M	5.72	29.28	78,048	446,178	2,399,973	3,413,432
2013-05-02	$43.14	$42.00	16.0%	4.6%	18.9%	15.6%	16.4%	3.4%	0.2%	-233.1M	884.2M	-37.7M	1.29	61.90	67,278	87,051	2,432,745	3,985,710
2013-05-03	$43.64	$42.00	15.1%	4.3%	19.1%	11.5%	14.9%	2.5%	0.3%	-69.1M	-430.8M	-36.9M	1.09	61.46	85,549	93,348	2,474,438	3,784,970
2013-05-06	$43.58	$42.50	15.4%	4.4%	19.1%	12.9%	15.4%	3.1%	-0.4%	-57.3M	-392.8M	-35.9M	1.27	47.71	78,073	99,163	2,467,431	3,797,021
2013-05-07	$43.84	$42.50	14.9%	4.3%	19.2%	10.6%	15.6%	3.1%	0.2%	2.5M	-1.00B	-36.1M	1.54	95.90	65,079	100,510	2,520,712	3,848,032
2013-05-08	$44.23	$43.50	15.1%	4.3%	18.8%	11.5%	21.8%	3.0%	0.4%	47.7M	-1.49B	-36.9M	0.36	27.81	346,524	126,301	2,536,065	3,850,965
2013-05-09	$43.91	$43.50	15.4%	4.4%	19.1%	12.8%	15.6%	2.8%	0.2%	43.9M	-1.16B	-39.0M	6.38	22.15	40,523	258,619	2,801,750	3,894,072
2013-05-10	$43.67	$43.50	16.2%	4.7%	18.3%	16.6%	16.9%	3.4%	0.3%	-33.7M	-657.6M	-38.7M	1.30	30.01	52,581	68,330	2,787,744	3,912,912
2013-05-13	$43.29	$43.50	16.6%	4.8%	16.0%	18.3%	19.3%	3.3%	0.0%	-112.4M	217.8M	-38.2M	0.85	35.15	58,116	49,447	2,796,388	3,915,206
2013-05-14	$43.42	$43.50	16.4%	4.7%	14.6%	17.2%	16.7%	2.5%	-0.1%	-54.2M	-250.0M	-37.7M	1.99	36.25	66,522	132,117	2,820,464	3,929,166
2013-05-15	$43.38	$43.50	16.2%	4.6%	13.2%	16.5%	15.7%	3.1%	-0.0%	-58.7M	-236.5M	-37.1M	0.85	34.79	111,397	94,549	2,837,815	3,957,198
2013-05-16	$43.28	$0.00	16.1%	4.6%	13.3%	16.2%	24.0%	2.7%	-0.5%	-81.3M	-128.6M	-36.6M	2.35	3.94	49,569	116,427	2,826,913	3,947,650
2013-05-17	$43.46	$43.00	15.4%	4.5%	12.7%	13.1%	15.7%	2.6%	-0.5%	137.2M	-533.8M	-36.2M	1.14	49.74	91,301	103,762	2,816,991	3,970,444
2013-05-20	$43.53	$43.00	14.6%	4.3%	12.7%	9.5%	15.4%	2.8%	0.7%	39.0M	-186.7M	-35.9M	1.12	20.33	76,611	86,059	2,576,695	3,211,643
2013-05-21	$43.44	$43.00	15.0%	4.3%	12.7%	11.4%	15.5%	2.3%	0.8%	20.6M	115.0M	-36.7M	1.61	54.68	68,108	109,707	2,621,632	3,250,988
2013-05-22	$42.95	$43.00	15.8%	4.5%	13.3%	14.7%	16.4%	2.6%	0.8%	-48.6M	1.00B	-36.4M	2.80	19.78	115,636	323,658	2,635,979	3,310,504
2013-05-23	$42.61	$43.00	16.5%	4.7%	13.4%	17.7%	17.2%	3.5%	1.8%	-111.9M	1.94B	-37.1M	4.39	53.19	86,558	379,678	2,678,046	3,434,543
2013-05-24	$42.32	$43.00	17.2%	4.8%	12.9%	20.8%	17.6%	3.9%	1.7%	-142.4M	2.52B	-37.7M	9.99	26.16	36,580	365,307	2,714,091	3,514,217
2013-05-28	$42.40	$43.00	18.1%	5.3%	12.0%	24.6%	19.8%	4.3%	-1.0%	-227.6M	2.73B	-37.3M	2.80	11.34	49,317	138,207	2,706,230	3,743,032
2013-05-29	$41.95	$42.50	19.0%	5.4%	11.3%	28.6%	20.6%	4.4%	-1.7%	-287.4M	3.69B	-37.1M	0.65	10.96	165,093	106,610	2,722,782	3,832,651
2013-05-30	$41.98	$42.50	18.7%	5.4%	10.6%	27.3%	21.1%	4.3%	-0.6%	-294.9M	3.64B	-37.1M	2.46	14.27	29,751	73,149	2,828,190	3,860,205
2013-05-31	$41.19	$43.00	20.9%	6.1%	11.8%	37.2%	21.6%	5.4%	-1.5%	-318.4M	5.04B	-36.1M	3.92	22.85	82,617	323,522	2,857,410	3,874,658