EEM Options History — January 2014

In January 2014, EEM traded between $37.83 and $40.22. ATM implied volatility averaged 20.8%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.3% (HV 20d: 20.4%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.35.

Notable Days

2014-01-14: Highest Volume — 807,735 contracts
2014-01-24: Largest IV spike — 27.9% change
2014-01-29: Highest IV Rank — 63.4%
2014-01-29: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.40	$37.83	$40.22	$40.22	$38.15
Max Pain	$40.81	$40.00	$41.00	$41.00	$40.00
ATM IV	20.8%	17.3%	25.2%	21.7%	24.2%
Expected Move	6.5%	6.3%	6.7%	6.5%	6.7%
HV 20d	20.4%	17.0%	22.0%	21.7%	17.0%
HV 60d	17.9%	17.1%	18.7%	18.0%	18.7%
IV Rank	41.5%	24.3%	63.4%	46.1%	58.5%
IV Percentile	63.4%	36.1%	94.0%	77.4%	90.5%
Term Structure	0.0%	-0.4%	1.4%	-0.3%	0.2%
VWIV	23.2%	21.2%	25.3%	23.0%	22.7%
Skew 25d	4.7%	3.4%	7.2%	4.4%	6.2%
Skew 10d	9.9%	6.6%	16.7%	10.4%	12.2%
Call IV 25d	19.1%	15.9%	22.9%	20.2%	21.9%
Put IV 25d	23.8%	19.5%	30.0%	24.6%	28.1%
Bid-Ask Spread %	7.53	4.23	18.31	7.83	6.05
Gamma HHI	0.13	0.09	0.26	0.10	0.09
Net GEX	-315.8M	-479.9M	-156.1M	-233.2M	-300.3M
Net DEX	4.35B	1.71B	5.50B	3.65B	5.05B
Net VEX	-26.9M	-30.0M	-24.7M	-25.8M	-30.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.35	0.51	3.98	2.29	2.16
Total Volume	429,013.143	231,764	807,735	421,908	544,918
Total OI	6,445,184.095	4,749,448	7,684,498	6,120,120	6,714,056

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
2014-01-02	$40.22	$41.00	21.7%	6.5%	21.7%	46.1%	23.0%	4.4%	-0.3%	-233.2M	3.65B	-25.8M	2.29	7.83	128,436	293,472	2,567,135	3,552,985
2014-01-03	$40.15	$41.00	20.7%	6.6%	21.7%	41.3%	23.1%	3.8%	-0.3%	-254.0M	3.83B	-26.0M	1.28	6.81	148,760	190,289	2,629,383	3,668,573
2014-01-06	$39.74	$41.00	21.0%	6.5%	21.9%	42.7%	23.9%	4.3%	-0.4%	-296.2M	4.61B	-24.9M	3.51	5.94	53,881	188,899	2,692,574	3,741,575
2014-01-07	$39.86	$41.00	19.8%	6.4%	20.2%	36.7%	21.8%	3.8%	-0.4%	-319.6M	4.45B	-24.7M	1.77	6.24	223,561	394,913	2,708,359	3,845,944
2014-01-08	$39.79	$41.00	19.6%	6.4%	20.2%	35.9%	22.4%	4.2%	-0.2%	-334.7M	4.70B	-25.6M	1.89	9.78	90,782	171,555	2,862,535	4,039,022
2014-01-09	$39.57	$41.00	20.4%	6.4%	20.2%	39.9%	22.7%	3.5%	-0.3%	-368.2M	5.27B	-25.7M	2.66	4.42	163,056	433,658	2,914,770	4,132,902
2014-01-10	$40.21	$41.00	19.1%	6.3%	20.0%	33.0%	23.8%	3.9%	0.1%	-357.5M	3.90B	-27.5M	1.27	9.18	137,834	174,463	2,992,334	4,373,810
2014-01-13	$39.80	$41.00	19.5%	6.4%	20.2%	35.1%	22.6%	4.0%	-0.2%	-386.8M	5.15B	-26.1M	3.09	5.63	62,280	192,595	2,957,501	4,320,174
2014-01-14	$40.20	$41.00	19.2%	6.3%	20.6%	33.8%	22.6%	4.0%	-0.2%	-367.2M	4.29B	-26.1M	3.80	7.63	168,139	639,596	2,977,774	4,347,211
2014-01-15	$40.19	$41.00	18.9%	6.3%	20.3%	32.4%	21.2%	3.8%	-0.4%	-346.5M	3.94B	-27.4M	3.73	5.80	61,074	227,693	3,017,453	4,435,974
2014-01-16	$39.99	$41.00	18.5%	6.4%	20.2%	30.3%	24.9%	3.9%	-0.3%	-457.4M	4.53B	-27.3M	2.07	7.29	75,614	156,150	3,041,512	4,551,074
2014-01-17	$39.79	$41.00	17.7%	6.3%	19.7%	26.1%	24.9%	4.2%	-0.3%	-479.9M	5.06B	-26.9M	2.02	4.55	93,308	188,414	3,083,781	4,600,717
2014-01-21	$39.81	$41.00	17.3%	6.3%	18.6%	24.3%	23.6%	4.2%	1.4%	-214.9M	2.49B	-26.5M	1.90	7.78	82,876	157,819	1,716,239	3,033,209
2014-01-22	$40.21	$41.00	17.9%	6.3%	19.0%	27.1%	23.5%	3.4%	1.3%	-156.1M	1.71B	-27.1M	0.51	4.23	239,962	121,368	1,777,021	3,112,322
2014-01-23	$39.30	$41.00	18.8%	6.4%	20.2%	31.6%	22.8%	4.8%	0.9%	-236.8M	3.19B	-27.3M	2.32	9.14	123,901	287,288	1,976,261	3,182,517
2014-01-24	$38.24	$41.00	24.0%	6.7%	22.0%	57.7%	22.4%	6.2%	0.3%	-250.6M	4.68B	-26.6M	3.98	18.31	149,339	593,899	2,041,691	3,318,389
2014-01-27	$38.08	$41.00	24.2%	6.7%	21.9%	58.6%	23.4%	7.2%	-0.1%	-304.9M	5.16B	-27.3M	2.94	8.63	144,698	425,992	2,089,801	3,634,572
2014-01-28	$38.33	$40.00	24.4%	6.7%	21.2%	59.6%	23.2%	6.4%	-0.4%	-311.1M	4.73B	-29.0M	1.67	8.75	167,547	280,462	2,151,820	3,844,159
2014-01-29	$37.83	$40.00	25.2%	6.7%	21.1%	63.4%	22.6%	7.1%	-0.2%	-320.3M	5.50B	-28.5M	3.04	8.20	148,055	449,683	2,254,754	3,970,685
2014-01-30	$37.94	$40.00	24.0%	6.6%	20.8%	57.4%	25.3%	6.2%	0.1%	-336.1M	5.40B	-28.9M	1.37	5.85	182,461	250,586	2,328,422	4,147,876
2014-01-31	$38.15	$40.00	24.2%	6.7%	17.0%	58.5%	22.7%	6.2%	0.2%	-300.3M	5.05B	-30.0M	2.16	6.05	172,225	372,693	2,470,938	4,243,118