EEM Options History — December 2015

In December 2015, EEM traded between $31.53 and $34.20. ATM implied volatility averaged 21.7%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.3% (HV 20d: 19.4%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.78.

Notable Days

2015-12-18: Highest Volume — 1,027,716 contracts
2015-12-11: Largest IV spike — 11.5% change
2015-12-11: Highest IV Rank — 45.5%
2015-12-11: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.87	$31.53	$34.20	$34.20	$32.25
Max Pain	$37.36	$37.00	$38.00	$37.00	$37.00
ATM IV	21.7%	18.5%	25.9%	22.2%	20.3%
Expected Move	6.2%	5.3%	7.3%	6.2%	5.8%
HV 20d	19.4%	17.4%	21.0%	19.2%	19.7%
HV 60d	21.5%	19.9%	22.2%	22.2%	19.9%
IV Rank	29.0%	16.8%	45.5%	31.1%	23.6%
IV Percentile	68.9%	43.7%	87.7%	77.8%	58.3%
Term Structure	0.2%	-1.3%	0.9%	-0.1%	0.2%
VWIV	23.0%	19.3%	27.6%	23.0%	19.7%
Skew 25d	4.5%	3.4%	6.6%	4.6%	4.3%
Skew 10d	8.2%	5.4%	11.9%	8.6%	7.9%
Call IV 25d	20.0%	17.1%	24.1%	19.4%	18.2%
Put IV 25d	24.5%	20.9%	30.7%	24.0%	22.4%
Bid-Ask Spread %	4.06	2.66	8.25	4.78	3.73
Gamma HHI	0.12	0.09	0.18	0.09	0.12
Net GEX	-243.0M	-384.3M	-109.5M	-188.1M	-189.5M
Net DEX	8.43B	5.61B	11.90B	7.57B	6.82B
Net VEX	-26.9M	-30.3M	-24.9M	-30.3M	-26.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.68	3.02	0.91	2.61
Total Volume	563,021.091	225,277	1,027,716	353,826	598,297
Total OI	9,994,937.409	7,575,058	11,924,829	10,666,425	8,107,329

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
2015-12-01	$34.20	$37.00	22.2%	6.2%	19.2%	31.1%	23.0%	4.6%	-0.1%	-188.1M	7.57B	-30.3M	0.91	4.78	184,879	168,947	4,758,601	5,907,824
2015-12-02	$33.82	$37.00	21.7%	6.2%	18.2%	29.0%	26.0%	4.9%	-0.3%	-240.4M	8.34B	-29.3M	1.87	2.66	154,650	288,594	4,863,951	5,991,608
2015-12-03	$33.65	$38.00	22.6%	6.2%	17.9%	32.6%	23.0%	5.4%	-0.8%	-250.7M	8.69B	-30.0M	1.62	3.48	158,942	256,858	4,949,661	6,050,716
2015-12-04	$33.88	$38.00	20.9%	5.9%	18.1%	25.9%	25.3%	4.6%	-0.2%	-249.0M	8.34B	-29.6M	2.02	2.73	172,198	348,260	4,960,941	6,094,449
2015-12-07	$33.41	$38.00	21.5%	6.3%	18.1%	28.4%	23.6%	4.5%	0.8%	-323.4M	9.30B	-27.3M	0.68	8.25	134,106	91,171	4,925,739	6,084,941
2015-12-08	$32.96	$38.00	23.1%	6.6%	18.0%	34.6%	24.8%	5.2%	-0.0%	-335.4M	10.04B	-27.1M	2.69	3.22	154,620	415,507	4,929,136	6,094,178
2015-12-09	$32.71	$38.00	24.7%	6.8%	17.5%	40.8%	26.0%	5.8%	-1.3%	-353.8M	10.34B	-27.1M	1.66	2.98	160,737	266,137	4,943,228	6,171,518
2015-12-10	$32.40	$38.00	23.3%	6.8%	17.4%	35.1%	23.0%	5.8%	0.7%	-384.3M	10.84B	-25.8M	2.47	2.72	197,984	488,053	4,963,637	6,145,074
2015-12-11	$31.53	$38.00	25.9%	7.3%	18.9%	45.5%	27.6%	6.6%	-0.3%	-334.4M	11.90B	-24.9M	2.43	4.12	188,853	458,990	5,032,184	6,101,832
2015-12-14	$32.05	$38.00	25.2%	7.2%	19.8%	42.6%	26.2%	5.1%	-0.4%	-359.1M	11.20B	-24.9M	1.72	3.88	225,184	386,902	5,094,732	6,162,075
2015-12-15	$32.56	$37.00	24.1%	6.9%	19.5%	38.3%	25.3%	4.3%	0.3%	-351.1M	10.31B	-26.4M	0.94	3.42	406,139	382,528	5,182,856	6,250,345
2015-12-16	$33.22	$37.00	21.9%	6.3%	21.0%	29.8%	22.1%	3.4%	-0.2%	-244.3M	8.79B	-27.5M	1.56	5.32	322,475	503,834	5,356,625	6,295,125
2015-12-17	$32.83	$37.00	20.5%	5.9%	21.0%	24.5%	22.4%	3.6%	0.3%	-331.1M	9.74B	-26.2M	1.26	3.74	314,652	396,064	5,421,033	6,342,269
2015-12-18	$32.67	$37.00	21.5%	6.2%	20.5%	28.1%	25.1%	3.9%	0.2%	-162.5M	10.27B	-25.8M	1.74	3.91	375,553	652,163	5,532,242	6,392,587
2015-12-21	$32.42	$37.00	21.2%	6.0%	20.0%	26.9%	22.7%	3.9%	0.5%	-154.0M	6.42B	-25.8M	1.30	4.64	203,439	264,438	3,250,082	4,324,976
2015-12-22	$32.66	$37.00	20.2%	5.8%	20.3%	23.3%	21.2%	3.6%	0.5%	-150.5M	6.24B	-27.0M	1.53	5.06	184,251	282,144	3,306,063	4,407,175
2015-12-23	$33.12	$37.00	19.1%	5.5%	21.0%	19.0%	19.8%	3.4%	0.8%	-109.5M	5.61B	-27.1M	1.32	4.41	193,927	255,712	3,328,709	4,518,932
2015-12-24	$33.00	$37.00	18.5%	5.3%	21.0%	16.8%	19.3%	3.9%	0.9%	-111.4M	5.80B	-26.9M	2.07	4.67	120,689	250,021	3,353,890	4,522,874
2015-12-28	$32.76	$37.00	19.9%	5.6%	19.6%	21.9%	19.8%	4.2%	0.8%	-156.4M	6.10B	-25.8M	1.61	3.72	172,269	277,057	3,314,482	4,492,625
2015-12-29	$32.80	$37.00	19.4%	5.5%	19.6%	19.9%	20.0%	3.8%	0.5%	-163.2M	6.14B	-25.9M	2.06	3.84	203,335	419,270	3,382,688	4,549,862
2015-12-30	$32.30	$37.00	19.5%	5.5%	19.9%	20.6%	20.0%	4.1%	0.7%	-203.7M	6.62B	-25.5M	3.02	4.04	175,720	530,915	3,432,462	4,597,367
2015-12-31	$32.25	$37.00	20.3%	5.8%	19.7%	23.6%	19.7%	4.3%	0.2%	-189.5M	6.82B	-26.1M	2.61	3.73	165,751	432,546	3,463,970	4,643,359