EEM Options History — March 2014

In March 2014, EEM traded between $38.19 and $40.97. ATM implied volatility averaged 21.8%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.3% (HV 20d: 18.6%). Max pain ranged from $36.50 to $40.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.03.

Notable Days

2014-03-14: Highest Volume — 777,638 contracts
2014-03-04: Largest IV drop — 11.1% change
2014-03-13: Highest IV Rank — 61.1%
2014-03-13: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.35	$38.19	$40.97	$38.80	$40.97
Max Pain	$37.50	$36.50	$40.00	$40.00	$36.50
ATM IV	21.8%	19.8%	25.0%	24.5%	20.0%
Expected Move	6.4%	6.0%	7.9%	6.4%	6.0%
HV 20d	18.6%	16.2%	20.9%	20.9%	17.7%
HV 60d	19.9%	18.6%	20.2%	19.8%	18.6%
IV Rank	44.5%	31.5%	61.1%	60.2%	31.5%
IV Percentile	65.4%	37.7%	92.5%	91.7%	40.5%
Term Structure	-0.0%	-1.0%	0.7%	-0.5%	-1.0%
VWIV	23.0%	17.7%	27.6%	23.5%	22.8%
Skew 25d	5.1%	4.0%	6.5%	6.2%	4.5%
Skew 10d	11.2%	7.4%	14.7%	13.9%	9.5%
Call IV 25d	19.9%	18.2%	22.6%	22.2%	18.2%
Put IV 25d	25.0%	22.7%	28.8%	28.5%	22.7%
Bid-Ask Spread %	15.44	3.86	109.72	22.30	6.82
Gamma HHI	0.09	0.06	0.35	0.06	0.07
Net GEX	-208.0M	-676.4M	114.7M	-226.7M	114.7M
Net DEX	2.28B	-1.34B	5.17B	3.34B	-1.34B
Net VEX	-38.3M	-40.5M	-36.8M	-38.6M	-38.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.03	0.74	5.38	5.38	0.94
Total Volume	393,474.81	141,108	777,638	487,800	506,479
Total OI	8,126,924.19	6,638,195	9,397,727	7,934,912	7,196,148

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
2014-03-03	$38.80	$40.00	24.5%	6.4%	20.9%	60.2%	23.5%	6.2%	-0.5%	-226.7M	3.34B	-38.6M	5.38	22.30	76,449	411,351	2,998,845	4,936,067
2014-03-04	$39.41	$40.00	21.8%	6.3%	18.7%	46.5%	21.1%	5.4%	0.1%	-188.5M	2.07B	-38.7M	1.78	4.95	54,270	96,671	3,015,974	5,109,855
2014-03-05	$39.50	$40.00	21.3%	6.3%	18.0%	44.0%	25.4%	5.2%	0.0%	-177.6M	1.83B	-38.6M	2.35	4.84	61,189	143,862	3,034,207	5,085,251
2014-03-06	$40.01	$40.00	21.3%	6.3%	18.2%	43.8%	27.4%	4.5%	0.1%	-83.2M	531.2M	-39.0M	2.54	4.98	121,414	308,258	3,081,267	5,128,477
2014-03-07	$39.52	$40.00	22.7%	6.2%	17.7%	50.8%	22.6%	5.0%	0.2%	-174.0M	1.88B	-39.7M	1.35	21.16	128,893	174,432	3,139,465	5,220,579
2014-03-10	$39.21	$40.00	23.7%	6.5%	17.9%	55.9%	23.8%	5.1%	-0.8%	-217.4M	2.57B	-38.9M	1.18	5.42	64,609	76,499	3,151,722	5,200,960
2014-03-11	$38.83	$36.50	23.5%	6.5%	17.9%	54.5%	22.5%	5.2%	-0.8%	-288.0M	3.62B	-38.4M	4.66	4.77	45,502	212,066	3,186,537	5,226,544
2014-03-12	$38.89	$36.50	22.8%	6.5%	16.2%	49.5%	25.5%	5.4%	-0.8%	-310.6M	3.55B	-37.6M	3.09	7.16	80,067	247,159	3,200,155	5,309,330
2014-03-13	$38.19	$36.50	25.0%	7.9%	17.4%	61.1%	17.7%	6.1%	-0.8%	-390.0M	5.17B	-38.0M	2.51	109.72	113,197	283,585	3,244,796	5,382,124
2014-03-14	$38.41	$36.50	24.4%	6.6%	17.6%	58.2%	27.6%	6.5%	-0.9%	-401.9M	5.02B	-38.6M	3.76	6.90	163,433	614,205	3,307,671	5,531,522
2014-03-17	$38.87	$36.50	22.1%	6.5%	17.5%	46.0%	22.2%	6.2%	0.5%	-311.3M	3.62B	-37.9M	1.34	4.48	138,512	184,983	3,307,888	5,540,259
2014-03-18	$39.41	$36.50	20.4%	6.4%	18.1%	36.0%	21.9%	5.2%	0.5%	-216.8M	2.25B	-37.6M	1.83	3.86	125,797	229,605	3,370,608	5,539,507
2014-03-19	$38.57	$36.50	21.6%	6.5%	19.5%	42.2%	22.0%	5.7%	0.7%	-381.6M	4.44B	-36.8M	0.86	8.56	341,367	293,553	3,401,590	5,628,034
2014-03-20	$38.70	$36.50	20.6%	6.4%	19.5%	36.9%	18.2%	5.1%	0.6%	-428.4M	4.37B	-37.0M	2.22	7.98	137,111	304,685	3,454,905	5,813,221
2014-03-21	$38.97	$36.50	21.0%	6.4%	19.4%	39.1%	24.2%	4.5%	0.5%	-676.4M	3.49B	-37.3M	1.08	6.55	296,254	320,102	3,511,758	5,885,969
2014-03-24	$39.37	$36.50	20.5%	6.3%	19.8%	36.6%	24.6%	5.2%	0.2%	-102.7M	1.62B	-37.2M	1.50	6.24	87,854	131,899	2,509,723	4,153,141
2014-03-25	$39.84	$36.50	19.8%	6.2%	19.9%	32.6%	20.6%	4.6%	0.4%	-30.8M	609.6M	-37.3M	0.74	7.64	238,786	177,547	2,569,225	4,068,970
2014-03-26	$39.81	$36.50	20.7%	6.3%	19.9%	37.4%	22.0%	4.3%	0.2%	-19.6M	702.1M	-38.7M	1.02	68.29	264,500	270,296	2,689,507	4,165,276
2014-03-27	$40.40	$36.50	20.2%	6.1%	19.1%	34.9%	25.8%	4.1%	0.3%	52.0M	-385.6M	-38.7M	1.22	5.99	202,847	246,655	2,811,800	4,244,450
2014-03-28	$40.74	$36.50	20.6%	6.1%	19.0%	36.5%	21.5%	4.0%	0.2%	89.9M	-989.7M	-40.5M	1.38	5.59	120,434	166,594	2,943,194	4,368,887
2014-03-31	$40.97	$36.50	20.0%	6.0%	17.7%	31.5%	22.8%	4.5%	-1.0%	114.7M	-1.34B	-38.6M	0.94	6.82	261,172	245,307	2,886,158	4,309,990