EEM Options History — December 2014

In December 2014, EEM traded between $37.75 and $40.97. ATM implied volatility averaged 18.0%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.5% (HV 20d: 17.5%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.50.

Notable Days

2014-12-12: Highest Volume — 630,947 contracts
2014-12-18: Largest IV drop — 11.8% change
2014-12-16: Highest IV Rank — 65.9%
2014-12-17: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.41	$37.75	$40.97	$40.84	$39.29
Max Pain	$41.75	$41.00	$42.00	$42.00	$41.00
ATM IV	18.0%	15.3%	21.9%	17.3%	18.6%
Expected Move	5.4%	4.8%	6.4%	4.9%	5.4%
HV 20d	17.5%	14.6%	19.8%	17.8%	14.7%
HV 60d	17.2%	16.5%	17.6%	17.4%	16.5%
IV Rank	39.9%	21.9%	65.9%	34.9%	44.0%
IV Percentile	55.9%	26.2%	88.5%	49.2%	64.7%
Term Structure	0.4%	-0.2%	1.5%	0.0%	0.2%
VWIV	20.4%	17.4%	26.4%	18.8%	20.2%
Skew 25d	3.9%	2.9%	5.6%	3.6%	3.9%
Skew 10d	7.8%	5.7%	11.2%	6.3%	8.8%
Call IV 25d	16.9%	14.2%	20.7%	15.7%	17.5%
Put IV 25d	20.8%	17.2%	26.4%	19.3%	21.4%
Bid-Ask Spread %	5.84	3.70	13.10	5.61	5.73
Gamma HHI	0.11	0.08	0.17	0.08	0.10
Net GEX	-287.6M	-408.1M	-160.9M	-232.6M	-170.1M
Net DEX	5.63B	3.67B	9.17B	3.67B	3.93B
Net VEX	-25.1M	-26.9M	-22.7M	-26.0M	-26.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.51	4.27	1.50	1.53
Total Volume	408,127.591	67,874	630,947	536,981	80,668
Total OI	6,979,357.818	5,704,553	8,339,289	6,914,299	6,057,971

Daily Data (22 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
2014-12-01	$40.84	$42.00	17.3%	4.9%	17.8%	34.9%	18.8%	3.6%	0.0%	-232.6M	3.67B	-26.0M	1.50	5.61	214,535	322,446	2,816,244	4,098,055
2014-12-02	$40.77	$42.00	17.0%	5.0%	17.6%	32.7%	19.9%	3.4%	0.2%	-279.5M	4.12B	-26.3M	1.26	5.60	174,728	219,476	2,841,224	4,210,022
2014-12-03	$40.90	$42.00	16.4%	4.9%	17.7%	28.8%	19.3%	3.6%	0.3%	-279.0M	3.92B	-26.1M	1.16	6.30	182,023	211,670	2,844,083	4,212,662
2014-12-04	$40.97	$42.00	16.7%	4.9%	17.5%	31.2%	17.4%	3.3%	0.1%	-312.0M	3.89B	-26.1M	4.27	13.10	39,950	170,555	2,885,076	4,264,802
2014-12-05	$40.89	$42.00	15.3%	4.8%	16.9%	21.9%	18.0%	2.9%	0.6%	-328.6M	4.20B	-24.9M	1.55	5.57	203,559	316,254	2,900,998	4,294,196
2014-12-08	$40.34	$42.00	16.6%	5.0%	17.3%	30.5%	18.4%	3.5%	0.3%	-353.8M	5.12B	-24.3M	1.93	4.53	146,147	281,496	2,889,074	4,308,836
2014-12-09	$39.91	$42.00	17.7%	5.3%	17.6%	37.9%	19.9%	4.5%	0.2%	-381.3M	5.99B	-24.5M	1.43	4.75	184,487	264,562	2,917,651	4,374,845
2014-12-10	$39.30	$42.00	19.1%	5.5%	18.2%	46.8%	20.2%	4.0%	0.4%	-394.5M	7.03B	-24.2M	0.88	5.10	260,832	228,355	2,949,538	4,429,817
2014-12-11	$38.93	$42.00	19.7%	5.7%	18.4%	51.3%	20.5%	4.3%	0.1%	-408.1M	7.62B	-24.6M	1.64	5.15	192,645	315,967	3,010,698	4,497,381
2014-12-12	$38.36	$42.00	20.7%	6.2%	18.9%	57.6%	20.7%	4.1%	0.3%	-365.2M	8.38B	-24.0M	2.44	5.33	183,275	447,672	3,078,980	4,501,394
2014-12-15	$37.83	$42.00	21.0%	6.2%	18.7%	59.6%	22.8%	4.9%	0.2%	-352.3M	8.82B	-22.7M	1.49	5.62	230,161	343,248	3,070,268	4,464,227
2014-12-16	$37.75	$42.00	21.9%	6.3%	18.4%	65.9%	23.7%	5.6%	1.5%	-359.1M	9.17B	-23.1M	1.34	7.21	247,202	332,178	3,156,043	4,621,088
2014-12-17	$38.19	$42.00	21.0%	6.4%	18.9%	59.9%	22.3%	4.9%	0.5%	-377.8M	8.55B	-24.2M	1.13	3.70	262,187	296,240	3,254,047	4,754,170
2014-12-18	$38.56	$42.00	18.5%	5.7%	19.5%	43.3%	26.4%	4.1%	1.0%	-347.3M	7.86B	-24.4M	1.84	5.20	221,057	405,656	3,402,490	4,728,003
2014-12-19	$38.82	$42.00	17.3%	5.6%	19.8%	35.3%	22.7%	3.4%	0.6%	-337.9M	7.49B	-24.6M	1.32	11.35	133,794	176,865	3,450,964	4,888,325
2014-12-22	$39.35	$42.00	17.2%	5.3%	16.9%	34.2%	19.3%	3.3%	-0.2%	-168.6M	4.09B	-24.8M	0.59	3.99	172,840	102,429	2,197,036	3,507,517
2014-12-23	$38.99	$41.50	16.3%	5.2%	17.0%	28.3%	18.5%	4.0%	0.6%	-192.5M	4.17B	-25.3M	0.51	4.67	237,737	121,232	2,317,842	3,501,228
2014-12-24	$39.11	$41.00	16.3%	5.1%	17.2%	28.4%	23.1%	3.7%	0.7%	-187.8M	4.10B	-25.9M	1.00	4.33	149,410	149,798	2,385,559	3,546,208
2014-12-26	$39.41	$41.00	16.3%	5.1%	16.6%	28.0%	18.8%	3.1%	0.9%	-160.9M	3.68B	-26.3M	0.83	5.15	159,455	132,677	2,400,417	3,562,833
2014-12-29	$39.21	$41.00	17.9%	5.4%	15.4%	38.9%	18.9%	3.9%	0.4%	-163.6M	3.92B	-25.4M	2.13	4.39	126,443	269,022	2,342,631	3,541,590
2014-12-30	$39.22	$41.00	17.9%	5.4%	14.6%	39.1%	18.0%	3.9%	0.6%	-175.9M	4.04B	-26.9M	1.30	6.09	29,516	38,358	2,372,514	3,697,325
2014-12-31	$39.29	$41.00	18.6%	5.4%	14.7%	44.0%	20.2%	3.9%	0.2%	-170.1M	3.93B	-26.4M	1.53	5.73	31,937	48,731	2,388,966	3,669,005