EEM Options History — June 2015

In June 2015, EEM traded between $39.09 and $41.07. ATM implied volatility averaged 16.9%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.4% (HV 20d: 12.5%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.78.

Notable Days

2015-06-18: Highest Volume — 858,251 contracts
2015-06-29: Largest IV spike — 19.4% change
2015-06-29: Highest IV Rank — 54.1%
2015-06-29: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.27	$39.09	$41.07	$40.97	$39.62
Max Pain	$41.32	$41.00	$42.00	$42.00	$41.00
ATM IV	16.9%	14.2%	20.2%	18.0%	19.6%
Expected Move	4.9%	4.1%	6.1%	5.1%	5.9%
HV 20d	12.5%	10.9%	15.7%	12.6%	15.7%
HV 60d	15.1%	14.2%	16.3%	16.3%	14.5%
IV Rank	32.1%	14.4%	54.1%	39.9%	50.5%
IV Percentile	50.9%	15.5%	90.9%	73.8%	88.5%
Term Structure	0.0%	-0.5%	0.9%	-0.4%	-0.2%
VWIV	17.8%	14.4%	21.2%	18.5%	20.4%
Skew 25d	4.1%	1.5%	5.3%	5.1%	3.8%
Skew 10d	7.7%	3.1%	9.7%	8.8%	7.1%
Call IV 25d	15.3%	13.3%	18.5%	15.8%	17.8%
Put IV 25d	19.5%	16.6%	22.2%	20.9%	21.7%
Bid-Ask Spread %	3.16	1.99	4.48	2.54	2.34
Gamma HHI	0.08	0.06	0.12	0.06	0.07
Net GEX	-209.1M	-338.3M	11.0M	-227.2M	-130.2M
Net DEX	3.59B	1.47B	5.11B	2.82B	3.37B
Net VEX	-37.3M	-40.3M	-35.1M	-40.3M	-37.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.92	3.24	1.89	1.74
Total Volume	469,597.136	189,821	858,251	410,165	333,380
Total OI	7,440,008	5,896,620	8,600,839	7,441,190	6,701,617

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
2015-06-01	$40.97	$42.00	18.0%	5.1%	12.6%	39.9%	18.5%	5.1%	-0.4%	-227.2M	2.82B	-40.3M	1.89	2.54	141,774	268,391	2,817,914	4,623,276
2015-06-02	$41.07	$42.00	17.1%	5.0%	12.5%	34.0%	17.4%	5.3%	-0.2%	-215.0M	2.48B	-39.8M	0.96	3.64	96,889	92,932	2,819,194	4,650,177
2015-06-03	$40.90	$42.00	16.8%	4.8%	12.2%	31.9%	17.5%	4.7%	-0.5%	-234.3M	3.04B	-39.4M	2.01	2.53	151,728	305,004	2,874,390	4,703,047
2015-06-04	$40.29	$41.50	17.8%	5.0%	12.4%	38.7%	17.7%	5.1%	-0.4%	-296.2M	4.24B	-38.6M	1.50	3.56	202,171	304,220	2,904,699	4,720,690
2015-06-05	$40.14	$41.50	17.9%	5.1%	12.4%	38.9%	20.0%	5.1%	-0.2%	-331.4M	4.78B	-38.7M	2.07	4.26	156,562	324,747	3,001,533	4,819,167
2015-06-08	$40.14	$41.50	18.6%	5.2%	11.1%	43.4%	19.4%	4.8%	-0.4%	-283.7M	4.50B	-37.9M	1.62	4.22	177,512	288,018	3,037,997	4,726,871
2015-06-09	$39.85	$41.50	17.7%	5.1%	10.9%	37.7%	18.3%	4.4%	0.2%	-334.5M	5.01B	-37.7M	1.81	3.83	173,087	313,274	3,112,553	4,790,580
2015-06-10	$40.41	$41.50	15.4%	4.5%	12.5%	22.4%	16.0%	4.1%	0.3%	-284.7M	3.85B	-37.3M	2.14	3.27	134,644	288,447	3,169,758	4,821,667
2015-06-11	$40.24	$41.50	15.7%	4.6%	12.4%	24.0%	19.1%	4.5%	0.4%	-324.9M	4.02B	-37.2M	3.24	3.65	96,685	313,233	3,190,593	4,795,100
2015-06-12	$40.26	$41.50	15.8%	4.7%	11.6%	25.2%	18.9%	4.5%	0.9%	-293.0M	4.18B	-36.9M	1.63	4.48	168,809	275,865	3,199,234	4,926,633
2015-06-15	$39.82	$41.50	17.5%	5.0%	11.3%	36.6%	18.7%	4.3%	-0.0%	-337.4M	5.08B	-36.2M	1.29	4.13	225,586	291,821	3,209,972	4,869,269
2015-06-16	$39.80	$41.00	17.4%	5.0%	11.2%	35.9%	17.8%	4.6%	0.2%	-338.3M	5.11B	-36.4M	1.33	3.88	185,226	246,501	3,282,153	4,945,614
2015-06-17	$40.06	$41.00	16.5%	4.7%	11.6%	29.7%	17.8%	4.4%	0.1%	-330.4M	4.65B	-36.1M	0.92	3.14	338,007	310,962	3,316,057	4,936,603
2015-06-18	$40.37	$41.00	15.8%	4.5%	12.2%	25.2%	16.7%	4.2%	0.4%	-152.9M	3.60B	-35.8M	2.30	3.32	259,998	598,253	3,455,067	4,907,628
2015-06-19	$40.15	$41.00	15.4%	4.4%	12.3%	22.7%	16.4%	3.9%	0.2%	-114.6M	4.16B	-35.6M	2.35	3.20	172,140	404,472	3,573,142	5,027,697
2015-06-22	$40.66	$41.00	14.8%	4.3%	13.3%	18.3%	15.6%	3.7%	0.2%	-57.3M	1.97B	-35.1M	1.90	2.50	146,586	278,920	2,320,945	3,575,675
2015-06-23	$41.03	$41.00	14.2%	4.1%	12.9%	14.4%	14.4%	3.3%	0.3%	11.0M	1.47B	-35.4M	1.16	2.49	190,967	220,792	2,412,407	3,608,476
2015-06-24	$40.80	$41.00	15.5%	4.6%	13.0%	22.8%	16.2%	1.5%	-0.1%	-16.1M	1.56B	-35.7M	0.93	2.39	369,018	341,600	2,477,791	3,686,074
2015-06-25	$40.30	$41.00	16.3%	4.8%	13.1%	28.2%	16.7%	2.7%	0.2%	-51.4M	2.25B	-37.9M	1.37	2.10	127,391	174,186	2,685,150	3,818,645
2015-06-26	$39.95	$41.00	16.9%	4.9%	12.9%	32.2%	17.3%	2.6%	0.0%	-106.3M	2.78B	-37.6M	2.21	2.19	127,153	281,073	2,757,362	3,821,621
2015-06-29	$39.09	$41.00	20.2%	6.1%	14.8%	54.1%	21.2%	3.6%	0.1%	-151.4M	4.02B	-36.8M	2.76	1.99	115,130	317,983	2,764,853	3,821,285
2015-06-30	$39.62	$41.00	19.6%	5.9%	15.7%	50.5%	20.4%	3.8%	-0.2%	-130.2M	3.37B	-37.7M	1.74	2.34	121,667	211,713	2,775,717	3,925,900