EEM Options History — July 2015

In July 2015, EEM traded between $36.34 and $39.81. ATM implied volatility averaged 19.0%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 4.2% (HV 20d: 23.3%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.49.

Notable Days

2015-07-07: Highest Volume — 608,010 contracts
2015-07-08: Largest IV spike — 27.0% change
2015-07-08: Highest IV Rank — 99.5%
2015-07-08: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.01	$36.34	$39.81	$39.60	$37.08
Max Pain	$39.36	$39.00	$41.00	$41.00	$39.00
ATM IV	19.0%	15.5%	26.9%	19.4%	18.8%
Expected Move	5.4%	4.5%	7.5%	6.0%	5.3%
HV 20d	23.3%	15.1%	25.4%	15.7%	25.2%
HV 60d	17.1%	13.9%	18.2%	14.5%	18.2%
IV Rank	46.3%	23.2%	99.5%	49.2%	44.3%
IV Percentile	68.2%	20.6%	99.6%	86.9%	78.6%
Term Structure	-0.0%	-1.0%	0.5%	-0.0%	0.2%
VWIV	19.6%	15.3%	27.6%	20.9%	18.0%
Skew 25d	3.9%	3.1%	5.4%	3.7%	3.6%
Skew 10d	8.4%	5.9%	10.8%	7.7%	8.1%
Call IV 25d	17.6%	14.5%	25.1%	17.8%	17.4%
Put IV 25d	21.5%	17.9%	30.5%	21.5%	21.0%
Bid-Ask Spread %	3.82	2.80	5.87	2.80	3.20
Gamma HHI	0.08	0.06	0.10	0.07	0.09
Net GEX	-207.7M	-297.9M	-65.7M	-117.2M	-297.9M
Net DEX	5.11B	2.99B	6.82B	3.35B	6.13B
Net VEX	-34.7M	-38.0M	-32.0M	-37.6M	-33.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.49	0.54	3.45	0.59	0.54
Total Volume	430,468.136	273,269	608,010	465,342	555,495
Total OI	7,056,831.455	6,516,267	7,868,147	6,789,122	7,195,709

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
2015-07-01	$39.60	$41.00	19.4%	6.0%	15.7%	49.2%	20.9%	3.7%	-0.0%	-117.2M	3.35B	-37.6M	0.59	2.80	292,573	172,769	2,826,867	3,962,255
2015-07-02	$39.81	$41.00	18.6%	5.7%	15.1%	43.7%	21.0%	3.3%	-0.3%	-65.7M	2.99B	-38.0M	1.05	2.86	191,091	199,893	2,875,800	3,975,390
2015-07-06	$38.65	$40.00	20.8%	5.8%	18.2%	58.1%	22.3%	4.0%	-0.1%	-215.5M	4.79B	-35.9M	1.20	5.19	190,820	228,329	2,853,955	3,970,241
2015-07-07	$38.11	$40.00	21.2%	6.0%	18.7%	61.2%	21.2%	4.3%	-0.2%	-237.0M	5.51B	-34.7M	1.26	4.77	268,584	339,426	2,909,271	3,990,297
2015-07-08	$36.81	$40.00	26.9%	7.5%	21.9%	99.5%	27.6%	5.4%	-1.0%	-209.7M	6.70B	-34.1M	1.33	5.87	201,768	267,809	3,014,231	4,081,943
2015-07-09	$37.57	$39.00	25.4%	7.0%	22.7%	89.2%	24.2%	4.9%	-1.0%	-202.3M	5.77B	-35.8M	0.78	5.07	218,814	170,165	3,084,314	4,130,029
2015-07-10	$38.49	$39.00	21.6%	6.1%	24.7%	63.9%	22.0%	4.6%	-0.3%	-173.1M	4.54B	-36.9M	1.63	4.59	160,343	260,902	3,178,188	4,181,598
2015-07-13	$38.76	$39.00	18.8%	5.4%	25.0%	45.1%	20.3%	4.0%	0.1%	-198.0M	4.39B	-35.8M	3.45	4.06	91,456	315,705	3,186,173	4,252,500
2015-07-14	$38.78	$39.00	17.1%	4.9%	24.7%	33.7%	18.2%	3.9%	-0.0%	-201.5M	4.38B	-35.3M	1.84	3.73	96,206	177,063	3,205,872	4,346,998
2015-07-15	$38.31	$39.00	17.2%	4.9%	25.0%	34.5%	18.9%	3.8%	-0.1%	-238.0M	5.19B	-34.7M	2.78	4.10	103,727	288,227	3,223,830	4,349,993
2015-07-16	$38.81	$39.00	15.5%	4.5%	25.4%	23.2%	15.3%	3.5%	0.2%	-199.8M	4.38B	-35.3M	0.90	3.75	273,103	246,992	3,250,069	4,431,491
2015-07-17	$38.75	$39.00	16.4%	4.7%	25.2%	27.8%	16.7%	3.2%	-0.2%	-111.4M	4.39B	-35.6M	1.21	3.78	181,025	219,034	3,428,801	4,439,346
2015-07-20	$38.52	$39.50	16.4%	4.7%	25.2%	28.2%	17.3%	3.7%	0.4%	-145.8M	3.93B	-35.0M	0.91	3.81	152,476	138,079	2,579,869	3,936,398
2015-07-21	$38.55	$39.50	16.0%	4.6%	24.6%	25.5%	16.4%	3.2%	0.2%	-149.2M	3.87B	-34.6M	1.82	3.24	101,794	184,849	2,583,536	3,970,018
2015-07-22	$37.96	$39.00	16.2%	4.6%	24.6%	26.4%	15.9%	3.2%	0.2%	-210.6M	4.73B	-33.5M	1.46	2.92	150,671	220,465	2,593,408	3,981,305
2015-07-23	$37.60	$39.00	16.9%	4.8%	24.7%	31.3%	17.1%	3.1%	0.5%	-252.1M	5.36B	-33.3M	2.23	3.02	136,311	303,836	2,608,915	4,034,693
2015-07-24	$37.10	$39.00	18.5%	5.3%	24.7%	42.1%	18.3%	3.8%	0.5%	-265.8M	6.08B	-33.2M	1.86	3.62	193,191	359,866	2,693,495	4,081,448
2015-07-27	$36.34	$39.00	21.5%	6.2%	25.4%	62.9%	21.9%	4.8%	-0.0%	-253.5M	6.82B	-32.0M	2.31	3.35	144,033	333,216	2,719,263	4,094,245
2015-07-28	$36.72	$39.00	19.6%	5.6%	25.1%	49.5%	20.7%	4.3%	0.3%	-267.2M	6.44B	-32.2M	1.94	3.66	123,825	240,582	2,745,526	4,126,541
2015-07-29	$37.14	$39.00	17.8%	5.1%	24.9%	37.4%	17.0%	3.9%	0.2%	-273.6M	5.93B	-33.1M	0.78	3.42	299,638	235,165	2,793,226	4,190,901
2015-07-30	$36.76	$39.00	18.4%	5.2%	25.0%	41.7%	20.0%	3.9%	0.1%	-284.8M	6.65B	-32.8M	0.85	3.22	237,793	203,190	2,867,455	4,304,889
2015-07-31	$37.08	$39.00	18.8%	5.3%	25.2%	44.3%	18.0%	3.6%	0.2%	-297.9M	6.13B	-33.9M	0.54	3.20	361,586	193,909	2,831,050	4,364,659