EEM Options History — April 2014

In April 2014, EEM traded between $40.83 and $42.23. ATM implied volatility averaged 18.8%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.6% (HV 20d: 14.2%). Max pain ranged from $36.50 to $37.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.07.

Notable Days

2014-04-25: Highest Volume — 626,813 contracts
2014-04-15: Largest IV spike — 8.6% change
2014-04-15: Highest IV Rank — 35.4%
2014-04-11: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.54	$40.83	$42.23	$41.49	$41.37
Max Pain	$37.36	$36.50	$37.50	$36.50	$37.50
ATM IV	18.8%	16.4%	20.9%	18.6%	16.4%
Expected Move	5.9%	5.8%	6.2%	5.9%	5.8%
HV 20d	14.2%	12.1%	17.4%	17.4%	12.1%
HV 60d	18.0%	16.2%	18.8%	18.8%	16.2%
IV Rank	23.8%	9.9%	35.4%	23.6%	9.9%
IV Percentile	26.4%	6.0%	53.6%	25.4%	6.0%
Term Structure	0.1%	-0.3%	0.6%	0.6%	0.3%
VWIV	22.3%	18.6%	25.6%	22.5%	22.5%
Skew 25d	4.2%	3.3%	4.9%	3.8%	3.6%
Skew 10d	9.1%	7.4%	11.6%	7.8%	8.8%
Call IV 25d	17.3%	15.2%	19.4%	17.4%	15.2%
Put IV 25d	21.5%	18.8%	23.7%	21.2%	18.8%
Bid-Ask Spread %	7.60	5.56	17.85	6.78	9.43
Gamma HHI	0.06	0.05	0.09	0.07	0.06
Net GEX	51.3M	-102.9M	177.7M	177.7M	-9.8M
Net DEX	-1.10B	-2.88B	1.40B	-2.31B	-335.6M
Net VEX	-40.5M	-42.8M	-38.7M	-39.3M	-38.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.07	1.01	4.00	2.56	1.23
Total Volume	305,888.762	143,675	626,813	459,391	226,684
Total OI	7,919,167.381	7,100,245	8,734,155	7,523,790	7,840,177

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
2014-04-01	$41.49	$36.50	18.6%	5.9%	17.4%	23.6%	22.5%	3.8%	0.6%	177.7M	-2.31B	-39.3M	2.56	6.78	129,007	330,384	3,023,574	4,500,216
2014-04-02	$41.54	$36.50	18.4%	5.8%	17.4%	22.5%	21.2%	3.8%	0.0%	160.9M	-2.16B	-40.0M	1.01	5.56	111,771	113,317	3,004,480	4,650,356
2014-04-03	$41.39	$36.50	18.1%	5.8%	17.1%	20.7%	23.6%	3.3%	0.1%	145.8M	-1.72B	-39.8M	3.02	7.50	70,007	211,297	3,031,119	4,716,163
2014-04-04	$41.32	$37.50	19.1%	6.0%	16.4%	26.3%	25.2%	3.7%	-0.2%	85.9M	-1.32B	-41.2M	3.93	8.05	99,765	391,775	3,040,814	4,833,229
2014-04-07	$41.46	$37.50	19.4%	6.0%	15.9%	27.8%	21.8%	3.9%	0.0%	82.2M	-1.30B	-41.6M	3.02	6.87	43,370	130,981	3,029,945	4,905,233
2014-04-08	$41.96	$37.50	19.6%	5.9%	15.5%	29.2%	20.4%	3.7%	-0.1%	135.5M	-2.39B	-40.7M	2.11	7.26	94,041	198,334	3,056,078	4,978,165
2014-04-09	$42.23	$37.50	19.4%	5.9%	15.5%	28.2%	23.4%	4.0%	-0.3%	134.3M	-2.88B	-40.1M	4.00	6.53	71,963	287,877	3,074,441	5,104,381
2014-04-10	$41.83	$37.50	20.7%	6.1%	14.1%	34.8%	19.2%	4.3%	-0.2%	59.8M	-1.74B	-42.7M	1.81	6.89	86,653	156,620	3,114,440	5,239,782
2014-04-11	$41.80	$37.50	20.2%	6.2%	14.2%	31.4%	21.9%	4.4%	0.4%	79.4M	-1.70B	-42.8M	1.52	17.85	123,687	188,275	3,153,997	5,336,174
2014-04-14	$41.77	$37.50	19.3%	6.0%	14.0%	26.1%	22.4%	4.2%	0.5%	85.3M	-1.78B	-40.8M	1.78	6.35	77,781	138,336	3,176,801	5,376,867
2014-04-15	$41.16	$37.50	20.9%	6.1%	14.9%	35.4%	21.6%	4.9%	0.3%	223.2K	-27.3M	-40.9M	1.92	7.39	150,738	289,361	3,156,814	5,384,647
2014-04-16	$41.62	$37.50	19.1%	6.0%	12.3%	25.3%	18.6%	4.6%	0.6%	38.6M	-1.25B	-41.0M	1.55	7.40	160,664	248,713	3,183,390	5,423,399
2014-04-17	$41.99	$37.50	18.4%	5.9%	12.4%	21.0%	25.6%	4.9%	0.3%	127.3M	-2.22B	-40.0M	1.23	8.49	165,908	203,994	3,220,572	5,513,583
2014-04-21	$41.79	$37.50	18.2%	5.9%	12.7%	20.2%	25.3%	4.8%	-0.3%	37.5M	-1.01B	-39.6M	2.17	6.49	57,998	126,067	2,772,482	4,327,763
2014-04-22	$41.65	$37.50	18.9%	6.0%	12.7%	23.7%	25.6%	4.5%	-0.3%	24.8M	-863.5M	-39.3M	2.32	5.66	83,804	194,438	2,825,334	4,418,541
2014-04-23	$41.37	$37.50	18.2%	5.9%	12.7%	19.9%	20.9%	4.1%	-0.1%	-36.7M	3.3M	-40.4M	2.32	7.42	60,030	139,115	2,880,452	4,531,875
2014-04-24	$41.39	$37.50	17.6%	5.9%	12.6%	17.0%	22.0%	4.0%	-0.1%	-45.7M	-17.3M	-40.2M	1.34	6.06	93,930	125,842	2,890,335	4,580,257
2014-04-25	$40.83	$37.50	18.2%	5.9%	12.8%	20.0%	23.2%	4.7%	-0.2%	-89.3M	1.40B	-40.5M	1.48	6.71	252,631	374,182	2,941,619	4,645,674
2014-04-28	$41.05	$37.50	18.4%	6.0%	12.6%	21.2%	21.4%	4.6%	0.3%	-102.9M	814.6M	-40.5M	1.28	7.33	62,946	80,729	2,960,954	4,728,719
2014-04-29	$41.43	$37.50	17.3%	5.8%	12.9%	14.8%	20.4%	3.9%	0.3%	-14.2M	-325.0M	-39.7M	1.82	7.60	95,981	174,668	3,006,070	4,723,603
2014-04-30	$41.37	$37.50	16.4%	5.8%	12.1%	9.9%	22.5%	3.6%	0.3%	-9.8M	-335.6M	-38.7M	1.23	9.43	101,520	125,164	3,072,320	4,767,857