EEM Options History — November 2015

In November 2015, EEM traded between $33.54 and $36.12. ATM implied volatility averaged 21.3%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.2% (HV 20d: 20.2%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.26.

Notable Days

2015-11-20: Highest Volume — 734,530 contracts
2015-11-18: Largest IV drop — 7.2% change
2015-11-13: Highest IV Rank — 36.0%
2015-11-13: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.73	$33.54	$36.12	$35.53	$33.99
Max Pain	$36.85	$36.00	$37.00	$36.00	$37.00
ATM IV	21.3%	19.2%	23.5%	19.2%	22.7%
Expected Move	6.1%	5.4%	6.9%	5.6%	6.4%
HV 20d	20.2%	18.9%	21.6%	21.0%	20.3%
HV 60d	26.2%	22.9%	28.0%	28.0%	23.2%
IV Rank	27.7%	19.3%	36.0%	19.3%	33.1%
IV Percentile	74.0%	63.5%	82.9%	63.5%	81.7%
Term Structure	0.3%	-1.4%	1.8%	0.1%	-0.4%
VWIV	21.7%	19.0%	24.7%	19.0%	22.1%
Skew 25d	4.1%	3.0%	5.1%	4.0%	4.7%
Skew 10d	8.3%	6.0%	10.7%	8.0%	9.1%
Call IV 25d	19.5%	17.5%	21.1%	17.5%	20.0%
Put IV 25d	23.6%	21.0%	26.0%	21.5%	24.7%
Bid-Ask Spread %	5.42	2.21	31.56	3.08	4.83
Gamma HHI	0.09	0.08	0.16	0.08	0.10
Net GEX	-166.8M	-341.0M	43.8M	-28.6M	-216.3M
Net DEX	6.86B	3.53B	9.71B	4.91B	7.95B
Net VEX	-33.9M	-38.2M	-30.0M	-36.9M	-30.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.56	2.81	0.99	1.15
Total Volume	446,801.35	133,170	734,530	403,503	199,025
Total OI	10,670,035.15	9,821,573	11,527,993	9,821,573	10,586,027

Daily Data (20 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
2015-11-02	$35.53	$36.00	19.2%	5.6%	21.0%	19.3%	19.0%	4.0%	0.1%	-28.6M	4.91B	-36.9M	0.99	3.08	202,662	200,841	4,328,064	5,493,509
2015-11-03	$36.12	$36.00	19.3%	5.7%	21.6%	19.7%	20.4%	3.5%	-0.1%	43.8M	3.53B	-38.2M	0.99	2.81	332,618	328,458	4,364,361	5,599,839
2015-11-04	$35.68	$36.00	20.7%	5.9%	20.3%	25.1%	20.9%	3.7%	-0.2%	-2.3M	4.51B	-38.1M	1.03	3.18	267,031	274,988	4,495,639	5,708,630
2015-11-05	$35.81	$37.00	20.1%	5.9%	20.0%	22.9%	22.7%	3.7%	-0.0%	3.8M	4.35B	-38.0M	1.47	3.37	205,521	302,627	4,551,351	5,780,342
2015-11-06	$35.29	$37.00	20.8%	6.1%	20.6%	25.7%	23.0%	3.7%	0.5%	-59.1M	5.74B	-37.0M	1.35	31.56	166,465	224,765	4,593,094	5,864,973
2015-11-09	$34.81	$37.00	21.0%	6.2%	21.0%	26.3%	21.9%	3.5%	0.3%	-234.3M	7.20B	-33.0M	1.14	5.83	151,143	171,898	4,600,012	5,880,053
2015-11-10	$34.28	$37.00	21.4%	6.4%	21.0%	27.8%	23.5%	4.4%	0.8%	-225.1M	7.95B	-34.0M	1.52	3.29	182,097	277,145	4,665,676	5,965,114
2015-11-11	$34.51	$37.00	21.7%	6.4%	21.0%	29.0%	23.7%	4.6%	0.6%	-211.1M	7.59B	-34.4M	1.45	4.43	180,269	261,718	4,674,206	6,001,817
2015-11-12	$33.99	$37.00	22.4%	6.6%	18.9%	31.7%	23.8%	5.0%	0.8%	-265.4M	8.65B	-33.6M	1.68	3.24	165,611	278,347	4,713,648	6,108,129
2015-11-13	$33.54	$37.00	23.5%	6.9%	19.2%	36.0%	24.7%	4.9%	1.0%	-341.0M	9.71B	-32.7M	2.35	2.78	191,828	451,140	4,750,363	6,230,621
2015-11-16	$34.17	$37.00	22.7%	6.6%	20.5%	32.9%	23.0%	5.1%	1.3%	-280.4M	8.53B	-32.9M	1.68	5.69	49,629	83,541	4,708,506	6,265,523
2015-11-17	$34.16	$37.00	22.5%	6.5%	20.6%	32.2%	23.8%	4.7%	1.1%	-278.7M	8.51B	-32.4M	0.78	2.21	293,675	228,396	4,736,131	6,255,568
2015-11-18	$34.48	$37.00	20.9%	6.0%	20.6%	25.9%	20.7%	4.0%	1.8%	-273.4M	7.95B	-32.7M	0.71	3.15	366,477	258,613	4,851,371	6,299,224
2015-11-19	$34.78	$37.00	20.9%	5.9%	19.2%	25.9%	20.0%	3.8%	1.2%	-225.9M	7.13B	-33.7M	0.56	3.06	430,858	239,296	4,946,709	6,339,441
2015-11-20	$35.13	$37.00	20.4%	5.6%	19.5%	24.2%	19.2%	3.0%	1.6%	-111.4M	5.99B	-34.1M	0.57	2.73	468,342	266,188	5,157,610	6,370,383
2015-11-23	$34.79	$37.00	20.8%	5.4%	19.4%	25.7%	19.8%	4.7%	-0.4%	-97.1M	6.24B	-32.4M	2.81	13.03	71,243	200,091	4,702,785	5,746,122
2015-11-24	$34.96	$37.00	21.7%	5.6%	19.3%	28.9%	20.0%	3.8%	-1.4%	-83.8M	6.03B	-32.7M	0.71	4.94	134,406	95,286	4,751,213	5,935,297
2015-11-25	$34.73	$37.00	21.8%	5.8%	19.0%	29.3%	19.6%	3.9%	-0.9%	-122.8M	6.49B	-32.0M	0.98	2.56	186,662	183,614	4,739,440	5,925,618
2015-11-27	$33.94	$37.00	22.4%	6.1%	20.3%	31.6%	23.1%	4.2%	-1.0%	-327.1M	8.21B	-30.3M	1.32	2.58	156,644	206,869	4,760,908	5,953,386
2015-11-30	$33.99	$37.00	22.7%	6.4%	20.3%	33.1%	22.1%	4.7%	-0.4%	-216.3M	7.95B	-30.0M	1.15	4.83	92,450	106,575	4,722,102	5,863,925