EEM Options History — February 2015

In February 2015, EEM traded between $39.35 and $40.81. ATM implied volatility averaged 17.5%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 2.6% (HV 20d: 20.1%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 2.74.

Notable Days

2015-02-13: Highest Volume — 725,159 contracts
2015-02-03: Largest IV drop — 11.7% change
2015-02-02: Highest IV Rank — 61.3%
2015-02-02: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.31	$39.35	$40.81	$39.75	$40.75
Max Pain	$40.47	$40.00	$41.00	$40.00	$40.50
ATM IV	17.5%	14.8%	21.2%	21.2%	15.0%
Expected Move	5.0%	4.2%	6.1%	6.1%	4.3%
HV 20d	20.1%	18.6%	21.4%	21.4%	18.6%
HV 60d	18.4%	17.2%	19.1%	18.1%	17.2%
IV Rank	36.4%	18.5%	61.3%	61.3%	19.5%
IV Percentile	50.9%	21.4%	84.9%	84.9%	22.2%
Term Structure	0.2%	-0.1%	0.9%	0.3%	0.0%
VWIV	18.8%	14.4%	24.6%	24.6%	14.4%
Skew 25d	4.6%	3.3%	6.0%	6.0%	3.3%
Skew 10d	10.5%	6.4%	13.2%	13.2%	6.4%
Call IV 25d	15.6%	13.3%	18.8%	18.8%	13.3%
Put IV 25d	20.3%	16.6%	24.8%	24.8%	16.6%
Bid-Ask Spread %	3.62	2.30	9.29	6.52	2.74
Gamma HHI	0.07	0.06	0.08	0.07	0.08
Net GEX	-96.3M	-249.7M	-15.6M	-137.4M	-15.6M
Net DEX	1.54B	782.4M	3.13B	2.24B	782.4M
Net VEX	-32.1M	-32.7M	-31.1M	-32.4M	-32.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.74	1.11	5.42	5.42	1.63
Total Volume	392,782.421	171,849	725,159	171,849	655,766
Total OI	5,773,319.789	5,208,643	6,313,634	5,208,643	5,881,866

Daily Data (19 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
2015-02-02	$39.75	$40.00	21.2%	6.1%	21.4%	61.3%	24.6%	6.0%	0.3%	-137.4M	2.24B	-32.4M	5.42	6.52	26,748	145,101	1,929,502	3,279,141
2015-02-03	$40.49	$40.00	18.7%	5.3%	20.9%	44.7%	20.9%	5.1%	0.3%	-79.6M	1.28B	-32.6M	3.27	2.30	82,381	269,092	1,944,073	3,351,367
2015-02-04	$40.24	$40.00	20.4%	5.7%	21.0%	55.6%	20.2%	5.1%	0.0%	-119.7M	1.65B	-32.4M	2.65	2.34	107,940	286,053	1,950,052	3,455,272
2015-02-05	$40.51	$40.50	19.1%	5.5%	19.9%	47.3%	21.3%	5.1%	0.0%	-110.7M	1.40B	-32.7M	3.17	3.54	96,564	306,246	1,962,078	3,527,718
2015-02-06	$39.82	$40.50	18.9%	5.5%	20.1%	45.9%	21.3%	4.9%	-0.1%	-154.4M	2.39B	-32.4M	3.37	3.82	106,177	357,952	1,959,755	3,637,709
2015-02-09	$39.74	$40.50	20.0%	5.7%	20.1%	53.2%	22.0%	5.7%	-0.1%	-193.2M	2.57B	-32.3M	2.44	3.56	111,970	272,785	1,961,359	3,633,016
2015-02-10	$39.61	$40.50	19.0%	5.5%	19.8%	46.5%	19.2%	5.4%	0.1%	-210.1M	2.71B	-32.0M	2.39	3.18	153,096	365,746	1,985,008	3,655,983
2015-02-11	$39.35	$40.50	18.9%	5.4%	19.8%	45.8%	21.2%	5.5%	0.1%	-249.7M	3.13B	-32.2M	2.90	4.33	110,858	321,492	2,056,174	3,772,362
2015-02-12	$40.23	$40.50	17.2%	5.0%	21.2%	34.3%	16.9%	4.7%	0.3%	-122.4M	1.70B	-32.1M	1.52	3.31	178,259	271,320	2,080,403	3,836,470
2015-02-13	$40.62	$40.50	16.3%	4.8%	21.4%	28.5%	17.7%	4.2%	0.9%	-29.9M	860.2M	-31.8M	2.62	3.10	200,235	524,924	2,157,035	3,838,733
2015-02-17	$40.55	$40.50	17.5%	5.0%	21.2%	36.5%	19.2%	5.2%	0.0%	-53.7M	1.13B	-32.3M	4.17	3.02	85,636	356,948	2,228,617	4,020,368
2015-02-18	$40.51	$40.50	17.2%	4.9%	21.2%	34.5%	20.0%	4.7%	-0.1%	-69.9M	1.16B	-32.5M	2.97	3.36	95,552	283,637	2,240,444	4,018,546
2015-02-19	$40.40	$40.50	16.7%	4.8%	19.8%	31.0%	18.3%	4.3%	0.3%	-74.0M	1.32B	-31.7M	2.45	4.21	50,317	123,333	2,234,010	4,007,557
2015-02-20	$40.62	$40.50	15.6%	4.4%	18.7%	23.8%	17.0%	3.8%	0.6%	-45.3M	797.7M	-31.1M	1.11	9.29	125,098	138,310	2,258,425	4,055,209
2015-02-23	$40.29	$40.50	15.7%	4.5%	18.7%	24.2%	16.8%	4.2%	0.2%	-89.3M	1.54B	-31.4M	3.96	2.57	67,101	265,789	2,033,432	3,466,067
2015-02-24	$40.78	$40.50	15.1%	4.3%	19.3%	20.3%	15.0%	3.6%	0.2%	-31.1M	838.0M	-31.6M	1.35	2.40	161,401	217,849	2,055,057	3,610,011
2015-02-25	$40.81	$41.00	14.8%	4.2%	19.2%	18.5%	15.2%	3.4%	0.2%	-20.5M	830.5M	-32.1M	3.33	2.61	54,940	182,904	2,140,279	3,650,800
2015-02-26	$40.76	$41.00	15.0%	4.4%	18.6%	19.9%	16.1%	3.6%	0.0%	-23.7M	909.2M	-32.2M	1.44	2.57	124,240	179,106	2,152,556	3,666,622
2015-02-27	$40.75	$40.50	15.0%	4.3%	18.6%	19.5%	14.4%	3.3%	0.0%	-15.6M	782.4M	-32.1M	1.63	2.74	249,675	406,091	2,204,506	3,677,360