EEM Options History — July 2013

In July 2013, EEM traded between $37.39 and $40.07. ATM implied volatility averaged 22.7%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 4.1% (HV 20d: 26.8%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.38.

Notable Days

2013-07-05: Highest Volume — 1,137,215 contracts
2013-07-02: Largest IV spike — 12.6% change
2013-07-03: Highest IV Rank — 67.3%
2013-07-03: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.94	$37.39	$40.07	$38.56	$39.06
Max Pain	$39.10	$38.00	$41.00	$38.50	$40.00
ATM IV	22.7%	18.9%	27.9%	23.0%	21.0%
Expected Move	6.5%	5.4%	8.0%	6.6%	6.0%
HV 20d	26.8%	22.0%	32.4%	27.8%	22.0%
HV 60d	21.8%	20.4%	22.5%	20.9%	21.9%
IV Rank	45.0%	28.2%	67.3%	46.0%	37.3%
IV Percentile	80.6%	57.9%	98.0%	85.3%	75.0%
Term Structure	-0.2%	-0.7%	0.8%	-0.4%	-0.7%
VWIV	23.8%	19.4%	32.0%	22.6%	23.1%
Skew 25d	5.1%	4.0%	7.4%	5.5%	4.9%
Skew 10d	11.4%	7.9%	16.6%	12.8%	10.8%
Call IV 25d	20.9%	17.4%	24.8%	20.4%	19.1%
Put IV 25d	26.0%	21.8%	32.2%	26.0%	23.9%
Bid-Ask Spread %	12.01	4.23	27.58	14.91	10.06
Gamma HHI	0.08	0.07	0.11	0.09	0.08
Net GEX	-219.2M	-383.1M	-88.0M	-225.0M	-266.4M
Net DEX	4.88B	1.26B	9.16B	6.40B	4.02B
Net VEX	-43.6M	-46.9M	-39.2M	-41.7M	-42.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.38	0.53	7.63	0.53	2.48
Total Volume	399,394.591	116,668	1,137,215	367,312	299,783
Total OI	9,561,638.091	8,614,963	10,732,569	8,799,123	9,198,512

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
2013-07-01	$38.56	$38.50	23.0%	6.6%	27.8%	46.0%	22.6%	5.5%	-0.4%	-225.0M	6.40B	-41.7M	0.53	14.91	240,357	126,955	3,742,168	5,056,955
2013-07-02	$37.92	$38.50	25.9%	7.4%	28.1%	58.7%	24.5%	7.2%	-0.2%	-251.8M	7.62B	-40.6M	4.45	12.17	104,472	465,378	3,809,478	5,075,811
2013-07-03	$37.58	$38.00	27.9%	8.0%	27.6%	67.3%	32.0%	7.4%	-0.6%	-312.2M	8.39B	-41.0M	4.86	9.75	66,926	325,051	3,718,672	5,329,578
2013-07-05	$37.40	$38.00	26.2%	7.5%	27.3%	60.0%	28.3%	7.1%	-0.2%	-341.3M	9.16B	-39.2M	0.82	4.23	624,980	512,235	3,751,629	5,538,296
2013-07-08	$37.39	$38.00	25.1%	7.2%	27.3%	55.2%	23.4%	6.9%	-0.4%	-383.1M	9.08B	-40.8M	0.62	14.99	180,932	112,857	3,972,601	5,757,154
2013-07-09	$37.87	$38.00	22.4%	6.4%	27.6%	43.6%	23.4%	5.3%	-0.3%	-366.9M	8.15B	-40.9M	4.07	27.58	75,924	309,060	4,091,674	5,764,446
2013-07-10	$37.52	$38.00	24.3%	7.0%	27.2%	51.6%	24.0%	5.6%	-0.3%	-356.0M	8.65B	-40.7M	7.63	11.79	80,560	614,578	4,120,203	5,756,449
2013-07-11	$39.35	$0.00	23.0%	6.6%	32.4%	46.2%	25.2%	5.2%	-0.3%	-188.2M	4.10B	-46.2M	1.31	12.39	241,144	315,098	4,176,644	5,897,684
2013-07-12	$38.90	$39.00	24.6%	7.1%	31.7%	53.1%	25.3%	5.3%	-0.2%	-238.8M	5.32B	-46.9M	2.13	13.97	98,613	209,634	4,255,343	6,023,942
2013-07-15	$39.47	$39.00	23.3%	6.6%	31.7%	47.6%	26.7%	4.4%	-0.1%	-173.6M	3.88B	-45.6M	2.67	26.67	91,603	244,485	4,249,073	5,963,107
2013-07-16	$39.46	$39.00	24.2%	6.9%	31.6%	51.5%	26.4%	4.3%	-0.7%	-168.9M	4.03B	-45.6M	3.01	11.59	86,674	260,938	4,292,695	6,029,268
2013-07-17	$39.85	$39.00	23.2%	6.6%	31.8%	47.2%	25.4%	4.5%	-0.2%	-124.0M	3.08B	-46.5M	1.65	21.45	230,970	381,312	4,350,160	6,124,017
2013-07-18	$39.38	$39.00	23.5%	6.8%	29.9%	48.6%	24.8%	4.3%	0.5%	-153.9M	4.42B	-45.6M	1.98	15.18	166,910	329,714	4,454,992	6,124,065
2013-07-19	$39.28	$39.00	22.1%	6.3%	24.7%	42.0%	22.7%	4.1%	0.8%	-143.8M	4.56B	-45.2M	1.35	15.30	138,018	185,826	4,481,082	6,251,487
2013-07-22	$39.71	$41.00	20.9%	6.0%	24.6%	37.2%	21.1%	4.2%	-0.1%	-155.8M	2.38B	-42.7M	0.58	7.21	322,893	186,555	3,644,931	4,970,032
2013-07-23	$40.07	$40.00	19.9%	5.7%	23.2%	32.5%	21.4%	4.0%	0.3%	-88.0M	1.26B	-45.8M	1.50	5.30	125,042	187,466	3,825,813	5,058,565
2013-07-24	$39.69	$40.00	20.7%	5.9%	22.7%	36.3%	20.8%	4.4%	-0.3%	-136.7M	2.11B	-45.3M	2.21	7.92	86,739	191,820	3,876,603	5,116,062
2013-07-25	$39.86	$40.00	19.4%	5.6%	22.5%	30.4%	19.4%	4.4%	0.1%	-137.9M	2.03B	-45.6M	2.85	5.22	40,055	114,079	3,919,652	5,199,795
2013-07-26	$39.83	$40.00	18.9%	5.4%	22.4%	28.2%	20.7%	4.4%	0.0%	-144.4M	2.05B	-44.7M	2.60	5.08	32,378	84,290	3,937,288	5,233,078
2013-07-29	$39.36	$39.00	20.5%	5.9%	22.8%	35.4%	22.2%	5.0%	-0.3%	-221.2M	3.24B	-43.6M	0.98	5.55	69,334	67,767	3,899,910	5,197,907
2013-07-30	$39.27	$40.00	20.3%	5.8%	22.8%	34.5%	20.1%	4.8%	-0.2%	-243.8M	3.51B	-43.0M	2.08	6.00	51,067	106,209	3,913,826	5,205,391
2013-07-31	$39.06	$40.00	21.0%	6.0%	22.0%	37.3%	23.1%	4.9%	-0.7%	-266.4M	4.02B	-42.8M	2.48	10.06	86,041	213,742	3,936,506	5,262,006