EEM Options History — October 2013

In October 2013, EEM traded between $41.37 and $43.65. ATM implied volatility averaged 20.4%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.5% (HV 20d: 19.0%). Max pain ranged from $41.50 to $44.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.55.

Notable Days

2013-10-22: Highest Volume — 550,890 contracts
2013-10-10: Largest IV drop — 14.6% change
2013-10-08: Highest IV Rank — 66.8%
2013-10-08: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.54	$41.37	$43.65	$41.61	$42.50
Max Pain	$42.55	$41.50	$44.50	$42.00	$43.50
ATM IV	20.4%	16.8%	25.8%	21.8%	18.3%
Expected Move	5.9%	4.8%	7.4%	6.3%	5.2%
HV 20d	19.0%	14.6%	23.4%	23.4%	15.3%
HV 60d	20.1%	19.6%	22.1%	22.1%	19.6%
IV Rank	39.9%	21.5%	66.8%	46.6%	29.3%
IV Percentile	64.6%	37.7%	96.0%	79.4%	48.8%
Term Structure	0.1%	-1.2%	1.2%	-0.2%	0.6%
VWIV	21.4%	16.9%	29.5%	21.8%	17.5%
Skew 25d	4.6%	2.9%	7.5%	4.6%	3.5%
Skew 10d	9.8%	5.8%	15.9%	8.9%	8.2%
Call IV 25d	18.6%	15.3%	23.4%	20.0%	17.0%
Put IV 25d	23.2%	19.1%	30.2%	24.6%	20.5%
Bid-Ask Spread %	8.61	4.69	22.39	7.89	5.84
Gamma HHI	0.08	0.06	0.11	0.06	0.08
Net GEX	145.5M	18.5M	311.1M	26.2M	35.2M
Net DEX	-2.29B	-4.75B	-265.1M	-783.6M	-824.6M
Net VEX	-39.4M	-40.6M	-36.5M	-40.2M	-39.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.55	0.26	3.99	2.52	0.82
Total Volume	300,975.739	120,984	550,890	217,783	120,984
Total OI	8,323,560.217	7,804,631	9,109,158	7,804,631	9,109,158

Daily Data (23 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
2013-10-01	$41.61	$42.00	21.8%	6.3%	23.4%	46.6%	21.8%	4.6%	-0.2%	26.2M	-783.6M	-40.2M	2.52	7.89	61,834	155,949	3,581,527	4,223,104
2013-10-02	$41.61	$41.50	22.5%	6.5%	22.9%	50.4%	22.7%	4.8%	-0.2%	39.9M	-906.3M	-40.6M	0.89	6.53	80,225	71,086	3,616,314	4,218,386
2013-10-03	$41.51	$41.50	23.2%	6.6%	22.9%	53.5%	24.0%	4.8%	-0.3%	29.7M	-718.8M	-40.4M	1.29	6.10	104,062	134,686	3,610,777	4,235,889
2013-10-04	$42.05	$41.50	21.8%	6.3%	22.9%	46.9%	21.4%	4.9%	-0.1%	84.6M	-1.71B	-40.4M	2.75	5.69	74,068	203,421	3,657,020	4,276,690
2013-10-07	$41.64	$41.50	24.5%	7.0%	21.3%	60.3%	28.4%	6.4%	-0.8%	42.4M	-775.0M	-39.8M	3.99	8.33	30,264	120,740	3,629,998	4,241,833
2013-10-08	$41.37	$41.50	25.8%	7.4%	21.3%	66.8%	26.2%	6.9%	-1.1%	18.5M	-265.1M	-40.2M	3.14	6.88	33,525	105,402	3,639,555	4,287,259
2013-10-09	$41.65	$41.50	25.6%	7.3%	21.4%	65.8%	29.5%	7.5%	-1.2%	19.1M	-597.2M	-40.3M	0.26	6.57	415,321	109,844	3,645,800	4,348,278
2013-10-10	$42.54	$0.00	21.9%	6.3%	22.2%	47.2%	23.8%	6.0%	-0.1%	147.6M	-2.63B	-40.2M	0.46	12.50	332,149	153,539	3,747,448	4,396,435
2013-10-11	$42.81	$42.00	20.2%	5.8%	22.3%	38.6%	22.1%	5.8%	-0.3%	178.7M	-3.22B	-40.1M	2.06	9.37	59,894	123,285	3,773,156	4,456,172
2013-10-14	$43.02	$41.50	20.5%	5.8%	22.1%	40.1%	23.8%	5.7%	1.1%	197.2M	-3.55B	-39.1M	1.06	6.88	89,407	94,399	3,760,261	4,450,477
2013-10-15	$42.66	$41.50	22.7%	6.5%	22.4%	51.0%	24.4%	6.2%	-0.0%	167.4M	-2.71B	-39.6M	1.98	18.53	99,066	195,777	3,807,234	4,470,872
2013-10-16	$42.92	$42.00	20.0%	5.7%	17.3%	37.5%	21.8%	5.1%	1.2%	214.0M	-3.35B	-39.2M	0.87	22.39	224,808	196,557	3,852,677	4,570,803
2013-10-17	$43.23	$42.00	18.9%	5.4%	17.4%	32.5%	18.1%	4.3%	0.5%	267.4M	-4.30B	-37.9M	0.58	10.72	272,260	156,885	3,904,075	4,621,167
2013-10-18	$43.31	$42.00	17.0%	4.8%	15.1%	22.6%	19.1%	3.6%	0.6%	311.1M	-4.75B	-38.1M	1.35	6.22	202,260	272,702	4,087,660	4,693,808
2013-10-21	$43.23	$44.50	16.8%	4.9%	15.1%	21.5%	18.8%	3.9%	1.1%	288.1M	-3.65B	-36.5M	1.63	5.98	82,499	134,184	3,826,111	4,137,640
2013-10-22	$43.65	$43.50	17.1%	4.9%	15.1%	23.3%	16.9%	3.1%	0.9%	306.8M	-4.38B	-37.8M	0.49	5.16	369,526	181,364	3,856,806	4,230,930
2013-10-23	$42.72	$44.00	18.9%	5.4%	16.9%	32.5%	18.3%	3.6%	0.6%	200.9M	-2.32B	-40.5M	1.16	7.58	195,748	227,402	4,138,835	4,339,286
2013-10-24	$42.57	$44.00	19.0%	5.5%	17.0%	32.5%	19.3%	3.3%	-0.4%	141.0M	-1.81B	-40.1M	3.49	13.54	121,020	422,489	4,094,740	4,464,530
2013-10-25	$42.75	$44.00	18.8%	5.4%	16.7%	31.6%	19.0%	3.0%	-0.6%	121.2M	-1.80B	-39.9M	0.81	7.61	105,848	86,260	4,116,489	4,758,183
2013-10-28	$43.01	$43.50	18.3%	5.2%	15.9%	29.4%	17.9%	2.9%	0.4%	170.4M	-2.56B	-38.8M	1.87	6.45	45,099	84,412	4,083,906	4,716,260
2013-10-29	$43.12	$43.50	18.3%	5.2%	14.6%	29.0%	18.2%	2.9%	0.6%	177.3M	-2.70B	-38.8M	0.72	4.69	128,835	92,492	4,089,312	4,757,414
2013-10-30	$42.95	$43.50	18.2%	5.2%	14.7%	28.6%	20.2%	3.0%	0.7%	161.8M	-2.38B	-38.6M	1.52	6.52	139,009	211,856	4,121,566	4,796,044
2013-10-31	$42.50	$43.50	18.3%	5.2%	15.3%	29.3%	17.5%	3.5%	0.6%	35.2M	-824.6M	-39.1M	0.82	5.84	66,527	54,457	4,148,625	4,960,533