EEM Options History — October 2015

In October 2015, EEM traded between $32.84 and $36.33. ATM implied volatility averaged 23.6%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.5% (HV 20d: 25.0%). Max pain ranged from $34.50 to $36.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.97.

Notable Days

2015-10-07: Highest Volume — 1,130,602 contracts
2015-10-30: Largest IV drop — 8.7% change
2015-10-01: Highest IV Rank — 58.7%
2015-10-01: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.32	$32.84	$36.33	$32.84	$34.90
Max Pain	$35.48	$34.50	$36.00	$35.00	$36.00
ATM IV	23.6%	19.7%	29.3%	29.3%	19.7%
Expected Move	6.8%	5.7%	8.6%	8.6%	5.7%
HV 20d	25.0%	21.2%	28.3%	26.4%	21.2%
HV 60d	27.4%	26.6%	27.9%	26.6%	27.7%
IV Rank	36.3%	21.1%	58.7%	58.7%	21.1%
IV Percentile	81.8%	66.3%	92.9%	92.9%	66.3%
Term Structure	-0.0%	-0.6%	0.7%	-0.4%	0.7%
VWIV	24.6%	20.0%	31.8%	31.8%	20.0%
Skew 25d	5.4%	3.9%	8.0%	8.0%	3.9%
Skew 10d	11.2%	7.1%	15.9%	15.9%	7.1%
Call IV 25d	21.3%	17.9%	26.6%	26.6%	17.9%
Put IV 25d	26.7%	21.8%	34.6%	34.6%	21.8%
Bid-Ask Spread %	4.29	3.00	7.94	3.41	3.00
Gamma HHI	0.09	0.07	0.12	0.09	0.12
Net GEX	-12.1M	-186.4M	119.9M	-177.4M	-186.4M
Net DEX	4.57B	2.66B	8.50B	8.50B	6.10B
Net VEX	-41.3M	-45.0M	-36.5M	-37.4M	-36.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.45	1.85	0.61	1.01
Total Volume	572,835.5	335,702	1,130,602	409,458	511,685
Total OI	10,114,196.682	9,189,936	11,047,211	10,157,258	9,882,579

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
2015-10-01	$32.84	$35.00	29.3%	8.6%	26.4%	58.7%	31.8%	8.0%	-0.4%	-177.4M	8.50B	-37.4M	0.61	3.41	254,565	154,893	4,255,258	5,902,000
2015-10-02	$33.80	$35.00	27.3%	7.8%	28.3%	50.7%	29.3%	5.7%	-0.3%	-106.3M	6.94B	-39.4M	1.42	4.48	338,382	482,053	4,272,470	5,910,298
2015-10-05	$34.48	$34.50	25.9%	7.4%	26.2%	45.3%	24.9%	6.0%	0.0%	-31.1M	5.63B	-41.2M	1.85	7.94	239,838	444,619	4,248,959	5,921,044
2015-10-06	$34.49	$34.50	25.7%	7.3%	24.4%	44.6%	25.2%	5.3%	-0.1%	-25.4M	5.82B	-41.4M	0.97	4.11	274,858	265,926	4,326,077	6,032,046
2015-10-07	$35.40	$34.50	25.8%	7.3%	25.8%	44.7%	24.8%	5.5%	-0.2%	59.7M	3.91B	-43.3M	0.77	5.18	638,584	492,018	4,370,760	6,062,306
2015-10-08	$35.78	$35.00	24.2%	7.0%	25.8%	38.7%	23.8%	4.8%	0.0%	91.1M	3.06B	-44.6M	0.58	5.26	444,042	255,977	4,551,055	6,129,288
2015-10-09	$35.87	$35.00	24.4%	7.0%	25.8%	39.7%	27.6%	6.0%	0.1%	119.9M	2.85B	-45.0M	0.88	4.82	324,839	287,356	4,622,019	6,150,330
2015-10-12	$35.64	$35.00	24.2%	6.9%	26.0%	38.9%	24.6%	5.9%	-0.1%	106.6M	3.55B	-43.0M	0.70	4.08	349,664	243,957	4,519,338	6,121,665
2015-10-13	$35.09	$35.50	25.3%	7.3%	26.5%	43.2%	27.7%	6.1%	-0.0%	33.8M	5.01B	-42.1M	1.60	4.73	217,120	347,681	4,558,674	6,190,887
2015-10-14	$35.31	$35.50	24.6%	7.1%	25.5%	40.3%	25.6%	5.8%	0.1%	42.9M	4.61B	-42.7M	0.45	4.89	568,952	254,041	4,558,224	6,297,412
2015-10-15	$36.24	$35.50	23.8%	6.9%	27.0%	37.3%	25.1%	5.7%	0.0%	92.7M	2.66B	-43.6M	0.99	5.70	331,893	328,736	4,643,013	6,306,422
2015-10-16	$36.24	$35.50	22.6%	6.5%	25.4%	32.4%	21.6%	5.3%	-0.1%	6.9M	2.68B	-43.7M	0.58	3.36	494,777	285,670	4,695,600	6,351,611
2015-10-19	$35.81	$36.00	22.2%	6.4%	25.9%	30.9%	21.7%	5.2%	-0.2%	-8.6M	3.80B	-42.3M	0.96	4.66	186,142	178,400	3,997,258	5,192,678
2015-10-20	$35.75	$36.00	22.8%	6.5%	24.0%	33.2%	23.5%	5.3%	-0.0%	-12.5M	4.05B	-41.5M	0.98	3.70	207,098	202,832	4,060,036	5,258,556
2015-10-21	$35.34	$36.00	22.6%	6.5%	24.1%	32.7%	25.4%	5.2%	-0.4%	-48.2M	4.83B	-40.6M	0.90	3.76	193,845	174,540	4,092,245	5,302,525
2015-10-22	$36.12	$36.00	21.2%	6.1%	24.8%	27.0%	22.7%	5.1%	-0.3%	23.2M	3.37B	-41.5M	1.11	3.81	190,281	211,355	4,130,650	5,329,012
2015-10-23	$36.33	$36.00	20.1%	5.8%	24.5%	22.8%	20.8%	4.6%	-0.6%	35.7M	2.96B	-41.6M	0.70	3.72	319,269	224,035	4,157,085	5,360,476
2015-10-26	$35.97	$36.00	21.3%	6.2%	23.2%	27.5%	25.6%	4.9%	0.3%	-5.0M	3.82B	-40.5M	0.66	3.27	202,062	133,640	4,191,667	5,420,970
2015-10-27	$35.58	$36.00	21.8%	6.4%	24.0%	29.3%	22.7%	4.7%	0.3%	-51.0M	4.64B	-39.8M	1.36	3.21	178,976	242,992	4,165,078	5,432,042
2015-10-28	$35.19	$36.00	22.3%	6.6%	22.8%	31.5%	24.0%	4.7%	0.2%	-84.3M	5.43B	-38.9M	1.33	3.69	211,477	282,287	4,236,834	5,467,427
2015-10-29	$34.82	$36.00	21.5%	6.3%	23.3%	28.4%	22.1%	4.7%	0.1%	-142.0M	6.23B	-37.8M	1.01	3.60	214,471	216,553	4,273,885	5,564,568
2015-10-30	$34.90	$36.00	19.7%	5.7%	21.2%	21.1%	20.0%	3.9%	0.7%	-186.4M	6.10B	-36.5M	1.01	3.00	254,788	256,897	4,331,114	5,551,465