EEM Options History — January 2015

In January 2015, EEM traded between $37.92 and $41.07. ATM implied volatility averaged 19.3%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.7% (HV 20d: 17.6%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.27.

Notable Days

2015-01-22: Highest Volume — 666,340 contracts
2015-01-05: Largest IV spike — 13.8% change
2015-01-15: Highest IV Rank — 65.9%
2015-01-06: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.53	$37.92	$41.07	$38.81	$39.07
Max Pain	$40.33	$40.00	$41.00	$41.00	$40.00
ATM IV	19.3%	15.8%	21.9%	18.9%	21.3%
Expected Move	5.5%	4.5%	6.2%	5.4%	6.1%
HV 20d	17.6%	15.0%	21.1%	15.0%	21.1%
HV 60d	17.0%	16.4%	17.7%	16.6%	17.7%
IV Rank	48.4%	24.8%	65.9%	45.5%	62.0%
IV Percentile	68.0%	31.0%	88.5%	65.5%	86.1%
Term Structure	-0.1%	-0.7%	0.4%	0.4%	-0.1%
VWIV	20.5%	17.2%	23.8%	22.3%	22.8%
Skew 25d	4.4%	3.0%	5.2%	4.2%	5.1%
Skew 10d	9.4%	6.1%	12.2%	7.9%	9.6%
Call IV 25d	17.6%	14.8%	20.1%	17.5%	19.2%
Put IV 25d	22.0%	18.0%	25.0%	21.7%	24.3%
Bid-Ask Spread %	5.31	2.59	17.93	3.90	3.14
Gamma HHI	0.09	0.07	0.13	0.12	0.08
Net GEX	-134.9M	-245.6M	29.9M	-204.8M	-119.9M
Net DEX	3.01B	21.6M	5.64B	4.59B	2.91B
Net VEX	-28.0M	-31.9M	-24.7M	-25.6M	-31.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.27	1.03	7.22	1.34	3.36
Total Volume	383,105.05	116,495	666,340	319,642	570,223
Total OI	5,699,578.65	4,361,200	6,943,181	6,108,501	5,162,002

Daily Data (20 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
2015-01-02	$38.81	$41.00	18.9%	5.4%	15.0%	45.5%	22.3%	4.2%	0.4%	-204.8M	4.59B	-25.6M	1.34	3.90	136,773	182,869	2,413,669	3,694,832
2015-01-05	$38.08	$41.00	21.5%	6.1%	16.0%	62.9%	22.9%	5.2%	0.0%	-242.5M	5.42B	-24.8M	4.42	7.47	45,931	203,093	2,400,023	3,675,900
2015-01-06	$37.92	$41.00	21.4%	6.2%	16.0%	62.6%	23.8%	5.0%	0.3%	-245.6M	5.64B	-24.7M	7.22	5.90	26,378	190,478	2,401,159	3,692,510
2015-01-07	$38.74	$41.00	20.7%	5.8%	17.8%	57.6%	23.0%	4.7%	0.3%	-217.0M	4.68B	-25.8M	1.97	6.56	72,556	143,045	2,410,504	3,811,680
2015-01-08	$39.45	$41.00	18.6%	5.4%	18.9%	43.8%	23.0%	4.0%	0.4%	-167.4M	3.61B	-26.3M	1.56	3.16	205,754	320,085	2,453,362	3,869,420
2015-01-09	$39.37	$41.00	18.1%	5.1%	18.1%	40.1%	20.5%	4.3%	0.2%	-161.7M	3.84B	-26.8M	1.76	2.93	153,204	269,900	2,529,680	3,975,008
2015-01-12	$38.99	$40.50	20.4%	5.7%	18.1%	55.7%	20.8%	4.6%	-0.5%	-194.3M	4.42B	-26.9M	1.53	5.02	151,292	232,141	2,486,342	3,999,446
2015-01-13	$39.26	$40.00	19.8%	5.5%	17.4%	51.8%	19.5%	4.5%	-0.6%	-178.2M	4.13B	-27.0M	1.72	3.33	213,031	365,980	2,525,243	4,053,563
2015-01-14	$39.12	$40.00	21.4%	6.0%	16.5%	62.8%	21.1%	5.2%	-0.5%	-180.5M	4.33B	-27.5M	1.35	4.93	185,218	249,369	2,580,078	4,080,809
2015-01-15	$39.11	$40.00	21.9%	6.1%	16.5%	65.9%	21.7%	4.9%	-0.6%	-181.3M	4.28B	-28.0M	1.85	4.06	150,672	279,282	2,632,287	4,167,028
2015-01-16	$39.50	$40.00	19.5%	5.4%	16.4%	49.7%	20.3%	4.4%	-0.7%	-86.1M	3.77B	-28.4M	1.74	17.93	89,161	155,084	2,666,999	4,276,182
2015-01-20	$39.44	$40.00	19.3%	5.5%	16.1%	48.2%	20.1%	4.0%	0.0%	-118.0M	1.89B	-27.8M	2.27	5.42	60,907	138,323	1,612,598	2,748,602
2015-01-21	$40.33	$40.00	18.3%	5.2%	17.7%	41.6%	18.4%	3.6%	-0.4%	-60.2M	913.2M	-28.3M	1.03	7.38	164,565	169,095	1,666,140	2,833,513
2015-01-22	$41.07	$40.00	17.3%	5.0%	18.2%	34.8%	18.1%	4.0%	-0.0%	29.9M	21.6M	-28.3M	2.19	3.73	208,988	457,352	1,743,559	2,884,235
2015-01-23	$40.78	$40.00	15.8%	4.5%	18.0%	24.8%	17.3%	3.0%	0.2%	-46.3M	565.1M	-29.3M	2.74	4.75	154,919	424,548	1,797,844	3,090,664
2015-01-26	$40.71	$40.00	16.7%	4.8%	18.1%	31.1%	17.2%	3.9%	0.4%	-53.7M	781.9M	-29.4M	2.29	4.22	35,376	81,119	1,766,546	3,017,529
2015-01-27	$40.61	$40.00	17.2%	4.9%	18.0%	34.3%	17.8%	3.6%	-0.2%	-74.4M	1.06B	-30.0M	1.78	6.72	51,123	91,181	1,788,247	3,082,786
2015-01-28	$40.09	$40.00	18.7%	5.6%	18.6%	44.3%	19.7%	4.1%	0.3%	-98.4M	1.73B	-31.0M	1.24	2.99	215,081	267,323	1,826,153	3,128,417
2015-01-29	$40.13	$40.00	19.4%	5.4%	18.6%	48.9%	19.4%	4.7%	0.1%	-96.6M	1.69B	-31.8M	2.04	2.59	181,349	369,333	1,880,785	3,166,229
2015-01-30	$39.07	$40.00	21.3%	6.1%	21.1%	62.0%	22.8%	5.1%	-0.1%	-119.9M	2.91B	-31.9M	3.36	3.14	130,898	439,325	1,941,422	3,220,580