EEM Options History — January 2016

In January 2016, EEM traded between $28.23 and $31.43. ATM implied volatility averaged 27.8%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 3.1% (HV 20d: 24.7%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.50.

Notable Days

2016-01-07: Highest Volume — 1,122,498 contracts
2016-01-07: Largest IV spike — 18.9% change
2016-01-20: Highest IV Rank — 71.7%
2016-01-20: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.54	$28.23	$31.43	$31.30	$30.16
Max Pain	$32.18	$31.00	$33.00	$33.00	$31.00
ATM IV	27.8%	22.1%	32.7%	23.4%	25.6%
Expected Move	7.9%	6.3%	9.4%	6.6%	7.3%
HV 20d	24.7%	21.0%	30.1%	22.0%	30.1%
HV 60d	21.4%	19.9%	23.3%	20.0%	23.3%
IV Rank	52.7%	30.6%	71.7%	35.6%	44.2%
IV Percentile	87.3%	73.4%	96.8%	81.0%	79.8%
Term Structure	-0.3%	-1.1%	0.2%	-0.2%	0.2%
VWIV	28.7%	21.7%	35.2%	23.0%	25.9%
Skew 25d	6.9%	5.2%	8.8%	5.6%	5.8%
Skew 10d	14.4%	9.4%	18.8%	11.5%	12.7%
Call IV 25d	25.0%	20.3%	28.2%	21.4%	22.7%
Put IV 25d	31.9%	25.5%	37.0%	27.0%	28.5%
Bid-Ask Spread %	3.49	2.67	4.59	3.20	4.43
Gamma HHI	0.11	0.09	0.14	0.13	0.09
Net GEX	-178.2M	-251.0M	-98.7M	-226.4M	-98.7M
Net DEX	7.66B	4.90B	10.35B	7.86B	4.90B
Net VEX	-25.9M	-30.2M	-23.8M	-24.2M	-30.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.62	3.21	2.71	0.62
Total Volume	592,216.947	302,455	1,122,498	804,654	302,455
Total OI	8,056,331.947	6,684,688	9,612,672	7,986,154	7,709,233

Daily Data (19 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
2016-01-04	$31.30	$33.00	23.4%	6.6%	22.0%	35.6%	23.0%	5.6%	-0.2%	-226.4M	7.86B	-24.2M	2.71	3.20	216,597	588,057	3,344,319	4,641,835
2016-01-05	$31.43	$33.00	22.1%	6.3%	21.8%	30.6%	21.7%	5.2%	0.1%	-241.0M	7.86B	-25.4M	1.59	2.67	193,775	307,162	3,450,188	4,818,939
2016-01-06	$30.75	$33.00	24.2%	6.8%	22.5%	38.9%	24.2%	5.5%	-0.2%	-251.0M	8.56B	-24.2M	2.19	2.71	254,376	557,622	3,503,594	4,813,059
2016-01-07	$29.90	$33.00	28.8%	7.9%	23.8%	56.7%	29.2%	6.5%	-1.0%	-209.5M	9.14B	-24.5M	3.21	4.24	266,473	856,025	3,550,572	4,890,594
2016-01-08	$29.53	$32.50	30.6%	8.4%	24.0%	63.5%	31.0%	7.3%	-1.1%	-208.9M	9.50B	-25.2M	1.91	3.67	266,193	507,541	3,660,827	5,128,901
2016-01-11	$29.55	$32.00	29.2%	8.1%	24.0%	58.2%	27.4%	7.0%	-0.6%	-212.2M	9.45B	-24.6M	1.39	3.36	244,285	339,910	3,757,900	5,165,086
2016-01-12	$29.60	$32.50	27.1%	7.7%	22.5%	50.2%	25.3%	6.7%	-0.3%	-209.9M	9.48B	-24.6M	1.27	3.36	290,056	369,134	3,845,567	5,195,482
2016-01-13	$29.27	$32.00	27.7%	7.7%	21.5%	52.3%	28.1%	7.0%	-0.9%	-193.6M	9.74B	-24.3M	1.34	3.82	322,390	433,077	3,968,365	5,287,990
2016-01-14	$29.61	$32.00	26.9%	7.6%	21.0%	49.1%	26.1%	7.0%	-0.5%	-221.4M	9.54B	-26.0M	1.08	3.55	284,508	308,308	4,065,371	5,425,387
2016-01-15	$28.47	$32.00	31.2%	8.8%	22.2%	65.9%	31.5%	8.6%	-1.1%	-143.3M	10.35B	-23.8M	1.87	4.59	307,511	574,706	4,138,288	5,474,384
2016-01-19	$28.93	$32.00	29.1%	8.3%	23.7%	57.7%	31.4%	8.1%	-0.2%	-151.8M	6.18B	-25.7M	1.03	3.14	168,750	174,072	2,486,469	4,198,219
2016-01-20	$28.23	$32.00	32.7%	9.4%	24.5%	71.7%	35.2%	8.8%	-0.4%	-153.2M	6.70B	-24.4M	2.53	3.35	172,429	436,836	2,530,665	4,239,275
2016-01-21	$28.41	$32.00	31.2%	8.9%	25.0%	65.8%	32.0%	8.5%	-0.2%	-156.5M	6.59B	-26.0M	1.16	3.49	212,194	246,805	2,595,705	4,430,530
2016-01-22	$29.32	$32.00	27.6%	7.9%	28.1%	51.9%	32.3%	6.4%	-0.1%	-144.3M	5.85B	-27.9M	0.83	3.41	264,943	221,002	2,658,622	4,494,193
2016-01-25	$28.84	$32.00	28.4%	8.2%	27.4%	54.9%	32.2%	7.4%	0.2%	-146.1M	6.23B	-26.7M	1.21	3.03	170,812	207,517	2,737,244	4,442,088
2016-01-26	$29.20	$32.00	28.4%	8.2%	28.2%	55.0%	34.7%	6.9%	0.0%	-138.9M	5.91B	-27.4M	1.21	3.45	196,756	238,464	2,803,742	4,494,231
2016-01-27	$29.12	$32.00	27.4%	7.9%	28.2%	51.2%	27.2%	7.0%	0.0%	-149.1M	6.10B	-27.8M	0.77	3.59	204,529	157,202	2,866,621	4,634,287
2016-01-28	$29.59	$31.50	26.7%	7.8%	29.2%	48.5%	26.4%	5.8%	0.1%	-130.1M	5.62B	-29.1M	0.63	3.33	238,686	150,964	2,949,979	4,672,556
2016-01-29	$30.16	$31.00	25.6%	7.3%	30.1%	44.2%	25.9%	5.8%	0.2%	-98.7M	4.90B	-30.2M	0.62	4.43	186,816	115,639	3,013,432	4,695,801