EEM Options History — August 2014

In August 2014, EEM traded between $43.34 and $45.55. ATM implied volatility averaged 14.8%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.2% (HV 20d: 13.6%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.62.

Notable Days

2014-08-07: Highest Volume — 496,775 contracts
2014-08-18: Largest IV drop — 10.9% change
2014-08-07: Highest IV Rank — 43.7%
2014-08-07: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.58	$43.34	$45.55	$44.09	$45.06
Max Pain	$44.95	$44.00	$45.00	$44.00	$45.00
ATM IV	14.8%	12.3%	18.3%	17.2%	13.1%
Expected Move	5.2%	4.6%	5.8%	5.5%	4.8%
HV 20d	13.6%	11.7%	15.6%	12.9%	11.7%
HV 60d	11.5%	11.0%	12.0%	11.4%	11.0%
IV Rank	19.1%	1.4%	43.7%	36.2%	7.5%
IV Percentile	15.3%	0.4%	37.3%	28.2%	8.7%
Term Structure	0.2%	-0.4%	1.0%	-0.1%	0.5%
VWIV	19.8%	15.5%	25.0%	25.0%	20.2%
Skew 25d	4.0%	3.0%	5.5%	4.7%	3.2%
Skew 10d	9.0%	6.2%	12.2%	10.4%	7.3%
Call IV 25d	13.3%	11.0%	16.8%	15.7%	11.8%
Put IV 25d	17.4%	14.3%	22.3%	20.4%	15.0%
Bid-Ask Spread %	8.86	6.43	11.52	6.96	9.62
Gamma HHI	0.08	0.06	0.18	0.07	0.07
Net GEX	116.7M	-247.4M	421.5M	-27.8M	43.9M
Net DEX	-1.47B	-3.45B	1.80B	-585.7M	-2.20B
Net VEX	-44.0M	-50.3M	-38.8M	-50.3M	-39.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.62	0.54	4.16	0.94	2.60
Total Volume	248,838.81	110,547	496,775	470,677	110,547
Total OI	8,686,278.667	7,945,883	9,291,601	8,767,601	8,557,200

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
2014-08-01	$44.09	$44.00	17.2%	5.5%	12.9%	36.2%	25.0%	4.7%	-0.1%	-27.8M	-585.7M	-50.3M	0.94	6.96	242,390	228,287	3,460,966	5,306,635
2014-08-04	$44.47	$45.00	16.0%	5.4%	13.3%	27.4%	16.6%	4.6%	0.1%	140.8M	-1.81B	-49.7M	1.43	7.62	50,907	72,720	3,611,329	5,375,007
2014-08-05	$43.78	$45.00	17.2%	5.4%	14.4%	35.7%	20.6%	4.5%	-0.0%	-69.8M	79.0M	-50.1M	4.16	11.38	50,025	208,082	3,589,420	5,388,640
2014-08-06	$43.51	$45.00	18.3%	5.6%	14.5%	43.5%	23.1%	5.5%	-0.0%	-170.1M	991.3M	-50.1M	0.91	6.43	233,909	212,477	3,596,121	5,458,388
2014-08-07	$43.34	$45.00	18.3%	5.8%	14.4%	43.7%	23.2%	5.5%	-0.4%	-247.4M	1.80B	-49.3M	1.23	8.02	223,214	273,561	3,523,845	5,552,299
2014-08-08	$43.54	$45.00	17.2%	5.5%	14.5%	36.0%	22.2%	5.3%	0.3%	-176.0M	972.9M	-48.2M	1.83	7.17	89,597	164,059	3,513,060	5,658,104
2014-08-11	$44.28	$45.00	16.4%	5.6%	15.5%	30.5%	20.2%	4.7%	-0.3%	154.7M	-1.12B	-45.7M	1.52	8.73	75,681	114,807	3,489,001	5,604,431
2014-08-12	$44.33	$45.00	15.8%	5.5%	15.5%	26.0%	18.6%	4.7%	0.1%	169.2M	-1.17B	-45.6M	0.89	7.04	59,277	53,000	3,487,571	5,621,905
2014-08-13	$44.64	$45.00	15.9%	5.4%	15.6%	27.0%	19.1%	3.6%	-0.2%	335.0M	-2.26B	-44.1M	0.54	8.14	117,670	63,891	3,508,419	5,649,756
2014-08-14	$44.64	$45.00	15.1%	5.3%	13.7%	21.1%	0.0%	4.0%	-0.2%	389.9M	-2.35B	-43.6M	1.47	9.08	127,820	188,059	3,492,883	5,645,631
2014-08-15	$44.54	$45.00	15.0%	5.2%	13.1%	20.4%	19.5%	4.5%	-0.3%	421.5M	-2.16B	-44.0M	1.75	11.52	149,287	261,850	3,557,824	5,733,777
2014-08-18	$44.93	$45.00	13.4%	5.1%	13.3%	9.1%	19.1%	3.4%	0.5%	106.3M	-1.93B	-41.9M	1.69	10.39	73,840	124,705	3,049,503	4,896,380
2014-08-19	$45.14	$45.00	12.7%	5.0%	13.0%	4.1%	19.5%	3.3%	1.0%	188.5M	-2.57B	-40.3M	1.22	9.82	122,630	149,418	3,097,414	4,906,935
2014-08-20	$45.07	$45.00	12.8%	5.0%	13.1%	5.5%	17.4%	3.8%	0.6%	146.2M	-2.26B	-41.0M	2.52	10.25	59,033	148,661	3,145,833	4,926,112
2014-08-21	$44.91	$45.00	12.8%	4.9%	13.1%	5.0%	20.1%	3.3%	0.6%	98.6M	-1.86B	-41.0M	2.77	9.83	50,278	139,050	3,180,563	5,004,925
2014-08-22	$44.75	$45.00	13.3%	4.9%	13.1%	8.3%	20.0%	3.0%	0.6%	102.6M	-1.44B	-41.4M	1.74	8.67	93,769	162,898	3,182,303	5,081,369
2014-08-25	$45.08	$45.00	12.5%	4.8%	13.2%	2.9%	19.6%	3.0%	0.6%	170.2M	-2.28B	-39.2M	1.48	8.24	69,540	103,259	3,165,828	5,080,752
2014-08-26	$45.35	$45.00	12.3%	4.8%	13.1%	1.6%	15.5%	3.2%	0.2%	238.5M	-2.90B	-39.5M	1.24	9.33	123,673	153,327	3,219,653	5,164,023
2014-08-27	$45.55	$45.00	12.3%	4.6%	13.1%	1.4%	16.1%	3.3%	0.5%	277.5M	-3.45B	-38.8M	0.98	8.13	57,791	56,776	3,254,219	5,207,129
2014-08-28	$45.14	$45.00	13.2%	4.8%	11.7%	8.1%	19.5%	3.3%	0.3%	158.0M	-2.32B	-39.6M	1.17	9.76	76,457	89,393	3,252,534	5,214,165
2014-08-29	$45.06	$45.00	13.1%	4.8%	11.7%	7.5%	20.2%	3.2%	0.5%	43.9M	-2.20B	-39.5M	2.60	9.62	30,695	79,852	3,268,772	5,288,428