EEM Options History — June 2014

In June 2014, EEM traded between $42.68 and $43.96. ATM implied volatility averaged 14.5%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.3% (HV 20d: 11.2%). Max pain ranged from $38.00 to $40.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.94.

Notable Days

2014-06-18: Highest Volume — 365,438 contracts
2014-06-18: Largest IV drop — 8.3% change
2014-06-02: Highest IV Rank — 17.5%
2014-06-02: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.41	$42.68	$43.96	$42.68	$43.27
Max Pain	$39.24	$38.00	$40.50	$38.00	$40.50
ATM IV	14.5%	12.6%	16.9%	16.9%	12.9%
Expected Move	5.1%	4.9%	5.3%	5.3%	4.9%
HV 20d	11.2%	9.0%	12.8%	12.4%	9.0%
HV 60d	12.3%	11.1%	13.9%	13.9%	11.1%
IV Rank	6.6%	0.0%	17.5%	17.5%	2.3%
IV Percentile	3.2%	0.0%	9.9%	9.9%	0.8%
Term Structure	0.2%	-0.7%	1.2%	-0.5%	0.3%
VWIV	19.3%	15.9%	25.8%	23.2%	17.4%
Skew 25d	3.7%	2.8%	4.3%	4.0%	3.1%
Skew 10d	7.6%	5.8%	10.3%	8.5%	6.1%
Call IV 25d	13.0%	11.6%	14.5%	14.5%	12.1%
Put IV 25d	16.8%	14.5%	18.7%	18.5%	15.3%
Bid-Ask Spread %	8.75	7.12	12.50	8.14	10.00
Gamma HHI	0.09	0.06	0.17	0.08	0.07
Net GEX	142.2M	-45.5M	410.8M	17.1M	-7.7M
Net DEX	-2.71B	-5.36B	-387.2M	-1.35B	-576.2M
Net VEX	-41.5M	-44.2M	-39.1M	-44.0M	-39.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.94	0.46	5.93	1.31	5.08
Total Volume	216,226.143	54,185	365,438	135,229	100,599
Total OI	8,817,532.476	6,494,955	10,165,291	9,043,111	6,903,357

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
2014-06-02	$42.68	$38.00	16.9%	5.3%	12.4%	17.5%	23.2%	4.0%	-0.5%	17.1M	-1.35B	-44.0M	1.31	8.14	58,501	76,728	3,496,470	5,546,641
2014-06-03	$42.91	$38.00	16.1%	5.3%	12.0%	12.8%	0.0%	4.3%	-0.3%	54.6M	-1.88B	-44.2M	0.78	7.12	196,126	152,810	3,482,703	5,590,731
2014-06-04	$42.69	$38.00	16.6%	5.3%	12.2%	15.9%	20.1%	4.2%	-0.3%	978.5K	-1.24B	-44.0M	1.83	7.24	68,906	125,912	3,584,074	5,687,186
2014-06-05	$43.18	$38.00	16.3%	5.2%	12.6%	14.0%	0.0%	4.2%	-0.7%	144.8M	-2.77B	-43.8M	0.96	10.53	112,835	108,289	3,634,200	5,746,836
2014-06-06	$43.57	$38.00	15.0%	5.1%	12.8%	7.0%	25.8%	3.4%	-0.3%	267.6M	-4.29B	-43.1M	1.58	10.11	73,224	115,748	3,702,231	5,783,277
2014-06-09	$43.72	$38.00	15.2%	5.1%	12.7%	8.2%	21.0%	4.2%	-0.3%	298.4M	-4.57B	-41.8M	2.56	7.68	45,082	115,416	3,717,015	5,731,807
2014-06-10	$43.96	$38.00	14.6%	5.0%	11.6%	5.3%	19.4%	4.2%	0.1%	338.3M	-5.36B	-41.3M	1.70	8.65	93,943	159,235	3,741,825	5,806,026
2014-06-11	$43.81	$38.00	14.7%	5.1%	11.8%	5.5%	18.6%	3.9%	0.0%	263.5M	-4.37B	-42.2M	0.49	7.66	164,668	81,255	3,756,023	5,938,894
2014-06-12	$43.59	$38.00	15.5%	5.2%	11.9%	9.8%	19.1%	4.0%	0.0%	195.1M	-3.88B	-42.6M	0.58	7.27	165,240	95,313	3,769,331	5,995,476
2014-06-13	$43.66	$40.00	15.2%	5.2%	11.3%	8.1%	21.7%	3.9%	-0.1%	240.5M	-4.15B	-42.2M	0.83	7.86	105,738	87,629	3,811,138	6,030,393
2014-06-16	$43.43	$40.00	15.4%	5.2%	11.0%	9.5%	18.5%	4.0%	0.2%	144.8M	-3.19B	-41.7M	1.29	7.57	69,720	90,252	3,801,881	6,031,409
2014-06-17	$43.37	$40.00	15.0%	5.1%	11.0%	7.3%	15.9%	4.1%	0.5%	151.5M	-3.22B	-41.1M	1.38	7.31	92,909	128,384	3,805,705	6,032,933
2014-06-18	$43.90	$40.00	13.8%	5.0%	10.9%	0.7%	18.5%	3.8%	0.5%	410.8M	-5.08B	-39.2M	2.61	9.59	101,345	264,093	3,828,905	6,115,927
2014-06-19	$43.65	$40.00	13.3%	5.0%	11.0%	0.0%	18.5%	3.6%	1.2%	313.2M	-4.18B	-40.1M	0.46	12.50	180,064	82,090	3,836,975	6,276,299
2014-06-20	$43.54	$40.00	12.7%	5.0%	10.7%	0.0%	16.7%	3.2%	0.8%	296.6M	-3.83B	-39.4M	0.60	10.72	162,674	98,083	3,869,105	6,296,186
2014-06-23	$43.45	$40.00	13.1%	4.9%	10.7%	2.0%	18.3%	3.6%	0.4%	-6.0M	-886.4M	-39.1M	2.79	9.01	67,855	189,271	2,733,588	3,761,367
2014-06-24	$43.44	$40.00	13.1%	4.9%	10.3%	1.7%	20.4%	3.3%	0.5%	-40.8M	-583.3M	-39.7M	0.81	8.87	178,590	144,586	2,776,851	3,908,822
2014-06-25	$43.17	$40.50	13.4%	5.0%	10.4%	4.6%	20.5%	3.3%	0.2%	-45.5M	-387.2M	-40.7M	2.92	8.97	50,435	147,227	2,802,797	3,990,001
2014-06-26	$43.22	$40.50	13.6%	5.0%	10.4%	6.0%	16.4%	3.1%	0.4%	-42.5M	-474.7M	-40.6M	4.25	8.48	25,855	109,934	2,825,820	4,071,262
2014-06-27	$43.35	$40.50	12.6%	4.9%	9.0%	0.0%	16.9%	2.8%	0.5%	-9.4M	-647.0M	-41.0M	5.93	8.52	7,822	46,363	2,844,849	4,101,866
2014-06-30	$43.27	$40.50	12.9%	4.9%	9.0%	2.3%	17.4%	3.1%	0.3%	-7.7M	-576.2M	-39.7M	5.08	10.00	16,555	84,044	2,832,523	4,070,834