EEM Options History — August 2013

In August 2013, EEM traded between $37.34 and $40.07. ATM implied volatility averaged 21.5%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.7% (HV 20d: 18.8%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.26.

Notable Days

2013-08-16: Highest Volume — 801,709 contracts
2013-08-02: Largest IV drop — 10.5% change
2013-08-29: Highest IV Rank — 66.1%
2013-08-29: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.83	$37.34	$40.07	$39.72	$38.00
Max Pain	$38.98	$37.50	$40.00	$40.00	$38.00
ATM IV	21.5%	17.8%	25.7%	19.9%	25.6%
Expected Move	6.2%	5.1%	7.4%	5.7%	7.3%
HV 20d	18.8%	15.5%	22.9%	22.3%	20.2%
HV 60d	23.0%	22.0%	23.9%	22.1%	23.5%
IV Rank	44.8%	23.5%	66.1%	32.6%	65.5%
IV Percentile	76.0%	44.4%	95.2%	65.1%	94.0%
Term Structure	0.0%	-0.5%	0.5%	-0.1%	0.0%
VWIV	22.0%	16.9%	27.4%	23.2%	26.3%
Skew 25d	5.0%	3.9%	6.2%	4.6%	5.9%
Skew 10d	10.5%	8.2%	12.6%	10.3%	11.4%
Call IV 25d	19.6%	16.3%	23.4%	18.0%	23.1%
Put IV 25d	24.6%	20.4%	29.6%	22.6%	29.0%
Bid-Ask Spread %	8.06	4.64	21.82	9.64	7.88
Gamma HHI	0.07	0.07	0.10	0.07	0.08
Net GEX	-201.7M	-400.8M	57.4M	-170.0M	-293.5M
Net DEX	4.03B	1.51B	6.50B	2.42B	5.57B
Net VEX	-39.4M	-43.4M	-35.9M	-43.4M	-39.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.26	0.82	6.66	2.85	1.40
Total Volume	303,732.636	124,285	801,709	420,366	559,140
Total OI	8,899,431.455	7,624,682	9,943,729	9,327,927	8,491,339

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
2013-08-01	$39.72	$40.00	19.9%	5.7%	22.3%	32.6%	23.2%	4.6%	-0.1%	-170.0M	2.42B	-43.4M	2.85	9.64	109,048	311,318	3,972,898	5,355,029
2013-08-02	$39.80	$40.00	17.8%	5.1%	22.1%	23.5%	18.1%	4.3%	-0.2%	-137.0M	2.22B	-42.7M	1.41	6.34	58,702	82,537	4,014,420	5,365,811
2013-08-05	$39.50	$39.50	17.8%	5.1%	22.4%	23.6%	16.9%	4.2%	0.3%	-160.4M	2.71B	-40.2M	2.36	8.33	47,230	111,526	4,020,398	5,328,745
2013-08-06	$38.94	$39.50	19.4%	5.5%	22.8%	34.5%	17.8%	4.5%	0.3%	-308.1M	4.27B	-40.1M	1.30	7.46	83,873	109,280	4,002,304	5,347,569
2013-08-07	$38.55	$39.50	21.1%	6.0%	22.9%	43.1%	20.3%	4.7%	-0.1%	-400.8M	5.27B	-39.7M	1.46	7.17	122,755	179,198	4,037,166	5,390,191
2013-08-08	$39.30	$38.50	20.3%	5.8%	16.7%	39.4%	20.6%	4.5%	0.0%	-187.4M	3.23B	-41.5M	1.79	21.82	117,830	211,406	4,127,717	5,466,152
2013-08-09	$39.36	$38.50	20.2%	5.8%	16.1%	38.7%	19.6%	4.4%	-0.2%	-164.6M	3.03B	-40.7M	1.91	6.43	90,759	173,724	4,172,789	5,520,627
2013-08-12	$39.84	$38.50	19.8%	5.7%	15.8%	36.7%	19.6%	3.9%	-0.4%	-39.5M	1.97B	-39.2M	0.84	5.05	175,137	147,776	4,184,564	5,541,292
2013-08-13	$39.97	$38.50	19.9%	5.7%	15.9%	37.3%	19.2%	4.4%	-0.3%	3.6M	1.75B	-39.9M	1.82	6.07	60,603	110,012	4,131,007	5,594,765
2013-08-14	$40.07	$38.50	20.0%	5.7%	15.5%	37.9%	22.0%	4.5%	-0.1%	57.4M	1.51B	-39.8M	2.07	8.17	92,248	191,371	4,136,974	5,618,615
2013-08-15	$39.61	$0.00	21.3%	6.1%	15.5%	44.4%	27.4%	5.1%	-0.1%	-70.3M	2.67B	-40.0M	2.50	4.64	70,058	175,342	4,146,740	5,730,687
2013-08-16	$39.29	$37.50	20.4%	5.8%	15.7%	39.9%	20.7%	5.0%	0.1%	-173.7M	3.45B	-39.0M	2.36	5.84	238,366	563,343	4,167,852	5,775,877
2013-08-19	$38.58	$40.00	22.3%	6.4%	16.5%	48.9%	22.7%	5.5%	0.2%	-211.3M	4.31B	-38.8M	5.13	8.35	67,741	347,288	3,469,086	4,155,596
2013-08-20	$38.52	$40.00	22.1%	6.3%	16.0%	48.0%	24.0%	5.5%	0.2%	-232.3M	4.54B	-39.7M	2.64	8.05	55,481	146,719	3,491,310	4,393,361
2013-08-21	$37.59	$40.00	23.2%	6.7%	17.7%	53.8%	23.7%	5.9%	0.5%	-281.2M	6.08B	-37.5M	0.82	7.63	232,366	190,447	3,512,237	4,427,312
2013-08-22	$38.24	$40.00	22.1%	6.3%	18.9%	48.2%	22.3%	4.9%	0.5%	-268.7M	5.10B	-39.0M	1.92	13.89	45,621	87,660	3,536,076	4,482,058
2013-08-23	$38.63	$40.00	20.8%	6.0%	19.4%	42.0%	20.1%	4.4%	0.5%	-243.4M	4.43B	-38.6M	1.23	8.24	85,161	105,001	3,515,159	4,496,354
2013-08-26	$38.17	$38.00	22.9%	6.6%	19.4%	52.4%	21.7%	5.1%	-0.1%	-263.0M	5.15B	-37.7M	1.30	7.19	53,972	70,313	3,533,130	4,488,719
2013-08-27	$37.34	$38.00	25.4%	7.3%	20.7%	64.4%	26.6%	6.2%	-0.5%	-285.2M	6.50B	-35.9M	6.66	6.74	52,666	350,763	3,550,992	4,504,208
2013-08-28	$37.47	$38.00	25.2%	7.2%	20.8%	63.7%	25.6%	5.9%	-0.5%	-312.0M	6.46B	-36.5M	1.58	5.50	123,729	195,013	3,574,768	4,658,828
2013-08-29	$37.69	$38.00	25.7%	7.4%	19.8%	66.1%	25.7%	5.9%	0.0%	-295.2M	6.02B	-37.9M	4.29	6.82	52,855	226,740	3,644,151	4,712,619
2013-08-30	$38.00	$38.00	25.6%	7.3%	20.2%	65.5%	26.3%	5.9%	0.0%	-293.5M	5.57B	-39.3M	1.40	7.88	232,940	326,200	3,656,187	4,835,152