EEM Options History — December 2013

In December 2013, EEM traded between $40.47 and $42.07. ATM implied volatility averaged 19.7%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.0% (HV 20d: 17.7%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.80.

Notable Days

2013-12-04: Highest Volume — 930,473 contracts
2013-12-18: Largest IV drop — 12.4% change
2013-12-05: Highest IV Rank — 51.7%
2013-12-06: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.21	$40.47	$42.07	$41.46	$41.79
Max Pain	$41.00	$41.00	$41.00	$41.00	$41.00
ATM IV	19.7%	16.4%	22.8%	21.3%	18.4%
Expected Move	6.7%	6.3%	7.4%	6.8%	6.3%
HV 20d	17.7%	16.4%	19.0%	18.1%	16.8%
HV 60d	17.1%	16.1%	18.7%	18.7%	16.3%
IV Rank	36.1%	19.6%	51.7%	44.2%	29.5%
IV Percentile	60.1%	33.7%	85.7%	76.6%	47.2%
Term Structure	0.5%	-0.5%	1.4%	0.3%	-0.5%
VWIV	24.2%	21.9%	27.7%	23.8%	24.8%
Skew 25d	3.5%	2.1%	4.7%	4.7%	3.1%
Skew 10d	7.0%	4.6%	10.0%	9.0%	8.2%
Call IV 25d	18.6%	15.6%	21.0%	19.5%	17.6%
Put IV 25d	22.1%	18.4%	25.7%	24.2%	20.7%
Bid-Ask Spread %	10.62	3.89	35.24	3.89	9.25
Gamma HHI	0.11	0.07	0.46	0.07	0.08
Net GEX	-169.6M	-780.4M	966.1K	-99.5M	-44.3M
Net DEX	2.59B	588.5M	5.37B	1.55B	673.6M
Net VEX	-30.8M	-35.9M	-26.5M	-34.7M	-26.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.80	0.50	4.48	1.03	1.30
Total Volume	315,625.81	44,272	930,473	161,033	198,756
Total OI	8,853,459.619	5,987,173	10,532,787	9,432,540	6,002,124

Daily Data (21 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
2013-12-02	$41.46	$41.00	21.3%	6.8%	18.1%	44.2%	23.8%	4.7%	0.3%	-99.5M	1.55B	-34.7M	1.03	3.89	79,336	81,697	4,254,212	5,178,328
2013-12-03	$41.31	$41.00	22.2%	6.8%	17.8%	48.5%	24.1%	4.5%	-0.1%	-124.7M	2.14B	-34.3M	3.93	11.92	95,672	376,456	4,260,723	5,202,124
2013-12-04	$41.30	$41.00	21.9%	6.9%	16.4%	46.9%	25.3%	4.3%	0.5%	-181.5M	2.55B	-34.9M	3.79	13.83	194,210	736,263	4,277,520	5,409,982
2013-12-05	$41.08	$41.00	22.8%	6.9%	16.4%	51.7%	26.0%	4.7%	0.0%	-209.6M	3.33B	-35.5M	1.04	7.59	61,022	63,214	4,392,437	5,536,121
2013-12-06	$41.97	$41.00	21.2%	7.4%	17.4%	43.7%	25.6%	4.4%	0.8%	-28.6M	893.9M	-35.9M	4.48	35.24	80,688	361,177	4,414,230	5,557,460
2013-12-09	$42.07	$41.00	20.3%	6.8%	17.3%	39.1%	24.0%	4.3%	1.4%	966.1K	588.5M	-33.9M	2.07	8.06	77,449	160,653	4,399,306	5,397,584
2013-12-10	$42.00	$41.00	19.8%	6.7%	17.1%	36.6%	24.3%	4.5%	1.1%	-14.8M	736.6M	-33.7M	1.87	8.37	118,564	221,411	4,411,521	5,436,507
2013-12-11	$41.11	$41.00	21.7%	6.9%	18.9%	46.2%	24.4%	4.4%	1.0%	-162.5M	3.07B	-32.8M	1.23	8.55	162,298	198,944	4,454,123	5,470,683
2013-12-12	$40.85	$41.00	21.5%	6.9%	19.0%	45.0%	23.8%	4.0%	0.3%	-256.8M	4.11B	-32.1M	1.21	7.92	130,865	158,749	4,480,044	5,571,145
2013-12-13	$40.89	$41.00	21.4%	6.8%	18.3%	44.5%	23.6%	4.1%	-0.1%	-259.4M	4.10B	-31.5M	0.74	12.04	278,233	205,935	4,471,244	5,594,052
2013-12-16	$41.23	$41.00	21.9%	6.8%	17.1%	47.4%	24.0%	3.8%	0.0%	-152.2M	3.04B	-31.1M	1.14	7.77	159,356	181,673	4,606,054	5,643,380
2013-12-17	$40.86	$41.00	20.7%	6.8%	16.8%	41.3%	27.7%	2.8%	-0.0%	-223.4M	3.64B	-29.4M	0.50	12.70	359,638	180,753	4,646,066	5,647,338
2013-12-18	$41.31	$41.00	18.2%	6.6%	17.4%	28.5%	23.5%	2.2%	1.2%	-78.0M	2.66B	-29.8M	1.74	10.19	130,591	227,526	4,598,019	5,685,214
2013-12-19	$40.52	$41.00	17.9%	6.6%	18.0%	27.3%	23.4%	2.1%	0.3%	-320.9M	5.17B	-28.0M	2.94	8.41	111,277	326,953	4,614,587	5,701,639
2013-12-20	$40.47	$41.00	17.4%	6.7%	18.0%	24.9%	23.3%	2.6%	0.5%	-780.4M	5.37B	-27.8M	1.20	21.30	147,908	178,078	4,644,845	5,887,942
2013-12-23	$40.83	$41.00	16.4%	6.5%	18.2%	19.6%	21.9%	2.8%	1.0%	-153.3M	2.63B	-27.5M	0.53	8.23	167,424	88,071	2,531,383	3,480,610
2013-12-24	$41.02	$41.00	16.4%	6.5%	17.7%	20.0%	24.3%	2.8%	1.1%	-133.5M	2.30B	-27.2M	1.38	6.96	21,425	29,626	2,523,017	3,477,374
2013-12-26	$40.65	$41.00	17.0%	6.5%	17.9%	22.7%	24.2%	2.6%	0.6%	-180.1M	2.99B	-26.5M	1.16	6.89	20,487	23,785	2,530,470	3,498,559
2013-12-27	$41.26	$41.00	17.0%	6.4%	18.7%	22.5%	22.6%	2.2%	0.6%	-95.7M	1.75B	-27.0M	0.71	7.37	48,960	34,823	2,538,188	3,509,324
2013-12-30	$41.48	$41.00	17.8%	6.5%	18.3%	26.7%	23.2%	2.9%	0.1%	-63.1M	1.12B	-26.5M	3.85	6.67	30,534	117,662	2,548,395	3,438,778
2013-12-31	$41.79	$41.00	18.4%	6.3%	16.8%	29.5%	24.8%	3.1%	-0.5%	-44.3M	673.6M	-26.5M	1.30	9.25	86,509	112,247	2,509,116	3,493,008