EEM Options History — March 2015

In March 2015, EEM traded between $38.30 and $40.70. ATM implied volatility averaged 16.9%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.4% (HV 20d: 15.5%). Max pain ranged from $40.00 to $40.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.38.

Notable Days

2015-03-26: Highest Volume — 779,926 contracts
2015-03-25: Largest IV spike — 19.1% change
2015-03-13: Highest IV Rank — 45.3%
2015-03-13: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.56	$38.30	$40.70	$40.70	$40.10
Max Pain	$40.18	$40.00	$40.50	$40.50	$40.00
ATM IV	16.9%	14.8%	18.8%	14.9%	16.9%
Expected Move	4.9%	4.2%	5.4%	4.4%	4.9%
HV 20d	15.5%	12.7%	19.0%	15.6%	18.8%
HV 60d	17.6%	17.1%	18.5%	17.2%	18.3%
IV Rank	32.7%	18.0%	45.3%	19.1%	32.2%
IV Percentile	51.8%	20.6%	75.0%	21.8%	53.6%
Term Structure	0.1%	-0.3%	0.8%	0.2%	0.3%
VWIV	17.9%	14.7%	22.0%	15.1%	17.7%
Skew 25d	4.0%	3.4%	4.8%	3.8%	3.8%
Skew 10d	8.4%	7.0%	10.1%	7.8%	9.5%
Call IV 25d	15.5%	13.2%	17.4%	13.2%	15.5%
Put IV 25d	19.4%	17.0%	22.2%	17.0%	19.3%
Bid-Ask Spread %	4.58	2.11	7.86	2.83	2.96
Gamma HHI	0.08	0.06	0.11	0.07	0.06
Net GEX	-188.9M	-375.6M	-32.5M	-32.5M	-66.9M
Net DEX	2.81B	921.2M	5.17B	977.5M	1.64B
Net VEX	-37.2M	-41.3M	-33.5M	-33.5M	-41.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.38	0.53	5.01	2.45	1.87
Total Volume	397,588.045	122,819	779,926	496,212	708,719
Total OI	6,438,758.818	5,647,122	7,406,366	5,963,182	6,349,826

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
2015-03-02	$40.70	$40.50	14.9%	4.4%	15.6%	19.1%	15.1%	3.8%	0.2%	-32.5M	977.5M	-33.5M	2.45	2.83	143,672	352,540	2,256,133	3,707,049
2015-03-03	$40.37	$40.50	14.8%	4.4%	14.9%	18.0%	14.7%	3.8%	-0.2%	-99.4M	1.53B	-33.8M	1.69	2.73	143,439	242,128	2,278,739	3,771,337
2015-03-04	$39.94	$40.50	16.0%	4.8%	13.9%	26.2%	16.8%	3.7%	-0.1%	-176.6M	2.37B	-34.3M	3.17	2.11	131,065	414,888	2,295,338	3,838,900
2015-03-05	$39.90	$40.50	16.1%	4.6%	13.7%	26.7%	16.6%	4.1%	-0.1%	-193.0M	2.45B	-34.9M	2.23	4.00	114,442	254,700	2,344,388	3,925,044
2015-03-06	$39.27	$40.50	16.8%	4.8%	14.5%	31.9%	18.0%	4.1%	0.0%	-241.2M	3.64B	-35.2M	3.59	3.07	104,030	373,690	2,405,943	3,969,420
2015-03-09	$39.11	$40.50	17.8%	5.1%	13.3%	38.2%	18.9%	4.4%	0.1%	-272.7M	3.76B	-35.4M	3.07	5.11	62,941	193,537	2,437,501	3,969,242
2015-03-10	$38.49	$40.50	18.5%	5.2%	14.3%	42.9%	18.9%	3.7%	-0.3%	-375.6M	5.15B	-34.0M	2.33	5.54	124,904	291,464	2,457,007	4,031,235
2015-03-11	$38.54	$40.50	18.4%	5.3%	14.4%	42.6%	18.2%	4.6%	-0.2%	-351.4M	4.94B	-35.8M	2.48	4.68	55,270	136,906	2,505,532	4,153,771
2015-03-12	$38.86	$40.00	17.4%	4.9%	14.6%	35.6%	18.1%	4.1%	-0.2%	-340.8M	4.36B	-35.9M	3.97	4.64	24,713	98,106	2,539,342	4,147,308
2015-03-13	$38.30	$40.00	18.8%	5.4%	12.7%	45.3%	21.9%	4.8%	0.1%	-341.9M	5.17B	-35.5M	4.45	4.88	84,910	377,688	2,548,442	4,148,727
2015-03-16	$38.76	$40.00	18.3%	5.3%	13.0%	41.9%	22.0%	4.6%	0.1%	-333.2M	4.51B	-35.9M	0.96	4.67	103,792	100,120	2,584,926	4,179,305
2015-03-17	$39.21	$40.00	18.8%	5.4%	13.9%	45.0%	17.9%	4.3%	0.2%	-261.7M	3.64B	-36.6M	0.71	5.00	340,719	241,047	2,662,248	4,199,617
2015-03-18	$40.00	$40.00	16.8%	4.8%	15.9%	31.4%	19.6%	4.2%	-0.1%	-49.5M	1.51B	-38.1M	1.65	7.74	200,487	331,216	2,850,518	4,342,203
2015-03-19	$39.50	$40.00	17.7%	5.1%	16.5%	37.8%	19.5%	4.0%	0.1%	-178.8M	2.99B	-38.3M	2.05	5.25	132,819	272,340	2,870,934	4,383,102
2015-03-20	$40.00	$40.00	15.6%	4.4%	17.0%	23.6%	15.8%	3.4%	0.6%	-163.0M	1.85B	-38.4M	0.53	7.26	246,568	130,874	2,929,389	4,476,977
2015-03-23	$40.12	$40.00	15.8%	4.4%	16.8%	25.2%	15.8%	3.5%	0.4%	-66.2M	1.28B	-38.7M	1.41	7.86	92,243	130,171	2,085,133	3,561,989
2015-03-24	$40.36	$40.00	14.8%	4.2%	16.4%	18.0%	15.3%	3.5%	0.8%	-40.0M	921.2M	-38.6M	5.01	5.26	56,872	284,863	2,106,107	3,667,721
2015-03-25	$39.72	$40.00	17.6%	5.0%	17.3%	36.9%	17.3%	3.8%	0.2%	-146.2M	2.14B	-40.7M	0.94	6.00	124,819	117,322	2,141,173	3,865,705
2015-03-26	$39.39	$40.00	17.6%	5.0%	17.4%	36.9%	20.0%	3.8%	0.3%	-190.7M	2.74B	-41.0M	2.47	2.79	224,770	555,156	2,187,791	3,905,349
2015-03-27	$39.46	$40.00	16.9%	4.8%	17.5%	32.4%	17.6%	3.5%	0.5%	-185.6M	2.78B	-41.3M	2.61	4.11	39,544	103,298	2,281,521	4,029,010
2015-03-30	$40.24	$40.00	16.7%	4.7%	19.0%	31.1%	17.9%	3.8%	0.3%	-50.0M	1.36B	-40.9M	2.61	2.26	134,081	350,064	2,280,939	3,980,813
2015-03-31	$40.10	$40.00	16.9%	4.9%	18.8%	32.2%	17.7%	3.8%	0.3%	-66.9M	1.64B	-41.1M	1.87	2.96	246,675	462,044	2,308,991	4,040,835