EEM Options History — October 2014

In October 2014, EEM traded between $40.27 and $42.12. ATM implied volatility averaged 20.2%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.1% (HV 20d: 18.1%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 2.23.

Notable Days

2014-10-15: Highest Volume — 865,851 contracts
2014-10-15: Largest IV spike — 23.2% change
2014-10-15: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.16	$40.27	$42.12	$40.71	$42.12
Max Pain	$44.61	$44.00	$45.00	$45.00	$44.00
ATM IV	20.2%	16.9%	27.0%	20.7%	16.9%
Expected Move	5.5%	5.0%	6.4%	5.7%	5.0%
HV 20d	18.1%	15.4%	19.9%	15.4%	17.8%
HV 60d	15.1%	14.3%	15.9%	14.3%	15.7%
IV Rank	55.6%	32.5%	100.0%	60.6%	32.5%
IV Percentile	67.8%	38.5%	100.0%	75.4%	38.5%
Term Structure	-0.3%	-2.6%	0.4%	-0.2%	0.1%
VWIV	21.9%	19.1%	29.0%	29.0%	20.9%
Skew 25d	4.9%	2.5%	9.0%	5.5%	2.5%
Skew 10d	10.6%	5.0%	19.0%	10.3%	5.0%
Call IV 25d	18.3%	15.6%	23.6%	18.1%	15.9%
Put IV 25d	23.3%	18.4%	32.7%	23.6%	18.4%
Bid-Ask Spread %	8.09	5.75	14.01	7.17	6.14
Gamma HHI	0.11	0.06	0.16	0.12	0.06
Net GEX	-411.8M	-635.7M	-46.6M	-572.2M	-46.6M
Net DEX	5.39B	524.6M	8.80B	8.35B	524.6M
Net VEX	-34.6M	-37.4M	-30.0M	-35.4M	-32.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.23	0.66	5.81	4.44	1.07
Total Volume	463,080.739	198,452	865,851	519,265	595,653
Total OI	8,143,649.261	7,199,719	9,099,230	8,108,522	7,811,104

Daily Data (23 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
2014-10-01	$40.71	$45.00	20.7%	5.7%	15.4%	60.6%	29.0%	5.5%	-0.2%	-572.2M	8.35B	-35.4M	4.44	7.17	95,437	423,828	2,775,768	5,332,754
2014-10-02	$40.93	$45.00	19.5%	5.6%	15.9%	51.7%	22.4%	5.5%	0.1%	-582.8M	8.00B	-35.9M	5.81	6.28	81,464	473,186	2,837,423	5,412,584
2014-10-03	$41.28	$45.00	18.4%	5.5%	15.9%	44.4%	22.7%	4.7%	0.4%	-527.1M	6.82B	-36.0M	4.58	5.75	59,320	271,697	2,871,658	5,472,901
2014-10-06	$41.78	$45.00	18.5%	5.3%	16.8%	44.9%	20.5%	4.0%	-0.1%	-492.3M	5.25B	-36.1M	2.71	7.42	102,388	277,306	2,801,112	5,455,569
2014-10-07	$41.49	$45.00	19.9%	5.7%	16.7%	54.8%	19.7%	4.5%	-0.1%	-512.9M	6.03B	-36.3M	2.52	9.00	56,315	142,137	2,882,882	5,526,534
2014-10-08	$42.10	$45.00	19.3%	5.4%	17.9%	50.2%	21.7%	4.2%	-0.2%	-476.1M	4.50B	-36.7M	1.98	6.62	171,414	339,356	2,926,346	5,578,972
2014-10-09	$41.41	$45.00	20.5%	5.7%	18.5%	59.1%	21.4%	4.4%	-0.2%	-510.6M	6.10B	-36.2M	2.39	6.26	181,402	433,300	2,975,920	5,587,607
2014-10-10	$40.78	$45.00	21.7%	5.8%	18.9%	67.5%	20.5%	5.1%	-0.4%	-607.1M	8.06B	-36.6M	1.90	14.01	144,967	274,778	3,117,493	5,783,321
2014-10-13	$40.98	$45.00	23.5%	6.1%	19.1%	80.2%	21.8%	5.4%	-0.1%	-547.6M	7.54B	-36.7M	4.10	9.62	164,422	673,515	3,084,403	5,776,443
2014-10-14	$41.36	$45.00	21.9%	6.0%	18.7%	69.0%	22.2%	5.4%	0.1%	-532.1M	6.40B	-37.0M	0.99	7.11	204,517	203,392	3,129,459	5,733,411
2014-10-15	$40.70	$45.00	27.0%	6.4%	19.2%	100.0%	23.5%	9.0%	-2.6%	-541.0M	7.98B	-37.4M	4.73	12.15	151,199	714,652	3,251,074	5,767,374
2014-10-16	$40.27	$45.00	25.0%	6.3%	19.2%	86.9%	23.6%	7.3%	-0.4%	-635.7M	8.80B	-35.8M	2.05	12.29	158,619	324,616	3,260,893	5,838,337
2014-10-17	$40.72	$45.00	22.7%	5.8%	19.9%	71.0%	21.4%	6.0%	-1.2%	-467.9M	7.37B	-35.1M	2.04	9.54	125,358	255,301	3,337,574	5,750,956
2014-10-20	$40.85	$45.00	21.0%	5.7%	19.4%	59.6%	21.6%	6.1%	-0.3%	-297.5M	4.31B	-34.6M	1.20	9.08	181,310	216,923	2,774,036	4,425,683
2014-10-21	$41.00	$44.00	19.6%	5.5%	19.5%	50.4%	21.3%	5.3%	-0.0%	-283.4M	4.00B	-33.6M	1.35	8.30	136,601	185,014	2,832,942	4,474,560
2014-10-22	$40.75	$44.00	20.3%	5.4%	19.1%	54.8%	21.1%	4.2%	-0.4%	-329.5M	4.54B	-33.2M	0.75	8.09	268,680	202,068	2,845,392	4,515,969
2014-10-23	$40.70	$44.00	20.1%	5.3%	18.4%	53.9%	24.1%	4.9%	-0.8%	-350.8M	4.69B	-33.0M	0.91	8.05	151,814	138,123	2,846,767	4,622,330
2014-10-24	$41.05	$44.00	18.6%	5.2%	18.6%	43.6%	24.3%	3.8%	-0.3%	-336.7M	3.78B	-32.8M	0.66	7.35	286,567	190,123	2,897,930	4,618,664
2014-10-27	$40.60	$44.00	17.3%	5.1%	17.4%	35.2%	19.1%	4.1%	0.2%	-338.3M	4.96B	-30.0M	1.72	5.76	121,119	207,986	2,946,530	4,513,539
2014-10-28	$41.54	$44.00	17.5%	5.0%	19.4%	36.1%	20.3%	3.8%	0.3%	-203.5M	2.46B	-32.3M	0.95	6.54	186,784	177,910	2,985,939	4,569,968
2014-10-29	$41.56	$44.00	17.8%	5.0%	17.8%	38.4%	21.4%	3.9%	-0.3%	-178.0M	2.30B	-31.8M	1.37	6.13	204,969	281,500	3,075,998	4,556,582
2014-10-30	$41.99	$44.00	17.1%	5.0%	18.0%	33.7%	19.7%	3.7%	-0.0%	-102.6M	1.18B	-32.2M	1.00	7.41	207,217	206,610	3,113,662	4,607,570
2014-10-31	$42.12	$44.00	16.9%	5.0%	17.8%	32.5%	20.9%	2.5%	0.1%	-46.6M	524.6M	-32.2M	1.07	6.14	287,790	307,863	3,146,661	4,664,443