EEM Options History — September 2013

In September 2013, EEM traded between $38.32 and $43.28. ATM implied volatility averaged 21.6%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.3% (HV 20d: 21.9%). Max pain ranged from $38.00 to $42.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.40.

Notable Days

2013-09-27: Highest Volume — 594,744 contracts
2013-09-20: Largest IV spike — 9.6% change
2013-09-03: Highest IV Rank — 63.5%
2013-09-03: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.17	$38.32	$43.28	$38.32	$40.81
Max Pain	$40.03	$38.00	$42.50	$38.00	$42.50
ATM IV	21.6%	19.3%	25.2%	25.2%	22.9%
Expected Move	6.2%	5.5%	7.2%	7.2%	6.6%
HV 20d	21.9%	20.2%	24.0%	20.4%	22.8%
HV 60d	22.5%	20.7%	23.9%	23.6%	21.8%
IV Rank	45.7%	34.0%	63.5%	63.5%	52.2%
IV Percentile	76.3%	57.1%	92.5%	92.5%	86.1%
Term Structure	0.1%	-0.7%	0.6%	-0.6%	-0.4%
VWIV	22.1%	19.6%	25.3%	24.5%	22.6%
Skew 25d	4.9%	3.9%	6.1%	6.1%	4.6%
Skew 10d	10.6%	8.0%	14.3%	13.7%	10.8%
Call IV 25d	19.8%	17.5%	23.1%	23.1%	21.4%
Put IV 25d	24.6%	21.4%	29.2%	29.2%	26.1%
Bid-Ask Spread %	7.43	4.78	11.55	7.34	9.43
Gamma HHI	0.07	0.06	0.12	0.07	0.06
Net GEX	36.1M	-266.9M	222.6M	-266.9M	-25.8M
Net DEX	-797.6M	-5.47B	5.15B	5.15B	581.7M
Net VEX	-40.7M	-42.8M	-38.5M	-41.2M	-38.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	0.61	3.04	0.67	2.05
Total Volume	324,153.45	101,231	594,744	219,217	209,108
Total OI	8,672,882.6	7,170,602	9,743,251	8,717,148	7,332,903

Daily Data (20 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
2013-09-03	$38.32	$38.00	25.2%	7.2%	20.4%	63.5%	24.5%	6.1%	-0.6%	-266.9M	5.15B	-41.2M	0.67	7.34	131,349	87,868	3,724,847	4,992,301
2013-09-04	$38.99	$38.00	23.6%	6.8%	20.9%	55.9%	24.8%	5.7%	-0.1%	-213.2M	3.61B	-42.5M	1.40	7.06	97,100	135,977	3,815,109	4,993,201
2013-09-05	$39.39	$38.00	22.8%	6.5%	20.8%	51.5%	22.9%	5.4%	0.0%	-156.3M	2.57B	-41.9M	1.90	5.95	129,100	245,145	3,820,653	4,971,988
2013-09-06	$39.90	$38.00	23.0%	6.6%	20.2%	52.7%	22.5%	5.3%	0.2%	-49.1M	1.36B	-42.8M	1.66	7.42	126,683	209,873	3,852,026	4,988,262
2013-09-09	$41.00	$39.50	22.8%	6.5%	22.2%	51.8%	24.2%	4.5%	-0.1%	44.8M	-916.6M	-42.6M	1.83	5.28	140,599	257,689	3,876,814	5,031,095
2013-09-10	$41.32	$39.50	22.5%	6.5%	22.0%	50.2%	25.3%	5.2%	-0.7%	81.4M	-1.63B	-42.2M	1.42	8.77	236,255	335,506	3,943,454	5,117,937
2013-09-11	$41.37	$39.50	21.3%	6.1%	22.0%	44.0%	22.1%	5.1%	-0.1%	82.6M	-1.76B	-42.6M	0.86	6.16	203,839	174,296	4,015,694	5,260,255
2013-09-12	$40.95	$0.00	21.7%	6.2%	22.4%	46.2%	21.3%	5.5%	-0.2%	46.1M	-926.7M	-42.7M	3.04	5.42	71,717	218,118	4,108,252	5,315,885
2013-09-13	$41.14	$41.00	21.2%	6.1%	21.9%	43.5%	20.1%	5.0%	-0.1%	36.6M	-965.7M	-41.9M	0.85	11.41	166,092	140,438	4,059,591	5,456,336
2013-09-16	$41.59	$40.00	21.2%	6.1%	21.8%	43.8%	22.6%	5.1%	0.1%	128.4M	-2.01B	-40.7M	2.05	6.88	135,077	276,244	4,071,018	5,477,192
2013-09-17	$41.59	$40.00	21.0%	6.0%	20.4%	42.9%	22.4%	4.8%	0.1%	121.9M	-1.85B	-40.4M	1.73	7.88	85,819	148,648	4,054,406	5,538,300
2013-09-18	$43.28	$40.00	19.7%	5.7%	24.0%	36.4%	21.8%	4.2%	0.1%	207.6M	-5.47B	-38.5M	0.89	8.72	254,993	228,031	4,101,146	5,582,504
2013-09-19	$43.10	$40.00	19.3%	5.5%	21.5%	34.0%	19.9%	3.9%	0.4%	185.5M	-5.24B	-38.8M	0.96	7.59	165,990	158,607	4,146,443	5,530,756
2013-09-20	$42.12	$40.00	21.1%	6.0%	23.6%	43.2%	23.5%	4.4%	0.3%	222.6M	-3.18B	-40.0M	1.99	10.56	131,332	261,191	4,152,873	5,590,378
2013-09-23	$42.18	$41.50	20.6%	6.0%	23.5%	40.9%	20.9%	4.7%	0.6%	77.3M	-1.81B	-39.6M	0.90	6.24	53,170	48,061	3,237,346	3,933,256
2013-09-24	$41.87	$41.00	20.1%	5.8%	23.2%	38.0%	21.7%	4.7%	0.4%	71.8M	-1.38B	-39.4M	1.01	4.87	102,671	103,552	3,278,071	3,949,500
2013-09-25	$41.54	$41.00	20.3%	5.8%	21.5%	39.0%	20.2%	4.5%	0.4%	54.9M	-768.0M	-38.7M	1.62	4.78	62,342	100,693	3,308,988	3,996,638
2013-09-26	$41.66	$41.50	20.7%	5.9%	21.5%	41.0%	19.7%	4.1%	0.5%	60.1M	-1.00B	-39.2M	0.61	5.26	158,515	96,637	3,345,475	4,048,447
2013-09-27	$41.33	$41.50	21.0%	6.0%	22.0%	42.8%	19.6%	4.3%	0.6%	10.8M	-286.1M	-39.1M	0.63	11.55	365,415	229,329	3,343,623	4,094,689
2013-09-30	$40.81	$42.50	22.9%	6.6%	22.8%	52.2%	22.6%	4.6%	-0.4%	-25.8M	581.7M	-38.6M	2.05	9.43	68,670	140,438	3,295,095	4,037,808