EEM Options History — March 2016

In March 2016, EEM traded between $31.39 and $34.30. ATM implied volatility averaged 22.4%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 1.1% (HV 20d: 23.4%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.00.

Notable Days

2016-03-18: Highest Volume — 1,268,836 contracts
2016-03-02: Largest IV drop — 7.6% change
2016-03-08: Highest IV Rank — 40.9%
2016-03-01: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.12	$31.39	$34.30	$31.39	$34.21
Max Pain	$31.23	$30.00	$32.50	$32.00	$32.50
ATM IV	22.4%	21.0%	24.8%	24.4%	21.1%
Expected Move	6.4%	5.9%	7.2%	7.2%	6.0%
HV 20d	23.4%	19.9%	28.2%	28.2%	19.9%
HV 60d	26.4%	25.8%	26.7%	26.2%	25.8%
IV Rank	31.6%	26.2%	40.9%	39.5%	26.7%
IV Percentile	56.2%	43.3%	70.2%	68.7%	43.3%
Term Structure	0.1%	-0.7%	0.5%	-0.7%	0.1%
VWIV	22.6%	19.8%	25.4%	25.4%	19.8%
Skew 25d	4.2%	3.1%	5.0%	4.7%	3.7%
Skew 10d	9.0%	7.3%	10.8%	10.0%	8.5%
Call IV 25d	20.7%	19.2%	22.6%	21.9%	19.2%
Put IV 25d	24.9%	22.9%	27.6%	26.6%	22.9%
Bid-Ask Spread %	3.88	2.81	5.67	3.16	2.87
Gamma HHI	0.10	0.07	0.14	0.09	0.12
Net GEX	151.6M	54.5M	300.5M	54.5M	300.5M
Net DEX	-15.4M	-2.63B	2.67B	2.67B	-1.97B
Net VEX	-34.6M	-37.5M	-32.1M	-32.1M	-36.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.53	1.57	0.62	1.51
Total Volume	593,764.182	376,075	1,268,836	638,634	1,071,767
Total OI	8,802,705.364	7,587,645	10,483,670	8,578,424	8,384,806

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
2016-03-01	$31.39	$32.00	24.4%	7.2%	28.2%	39.5%	25.4%	4.7%	-0.7%	54.5M	2.67B	-32.1M	0.62	3.16	394,832	243,802	3,698,613	4,879,811
2016-03-02	$31.81	$32.00	22.5%	6.8%	25.1%	32.3%	24.2%	4.5%	0.1%	119.2M	1.96B	-33.0M	0.60	3.35	335,064	199,512	3,842,704	4,893,945
2016-03-03	$32.18	$30.00	22.3%	6.4%	23.8%	31.4%	23.2%	4.0%	-0.1%	137.9M	1.35B	-32.9M	0.53	4.72	345,266	184,685	3,838,708	4,892,460
2016-03-04	$32.86	$30.00	22.3%	6.4%	24.6%	31.4%	21.9%	4.2%	-0.1%	125.7M	-39.2M	-33.1M	0.67	4.63	570,291	380,811	3,828,125	4,932,206
2016-03-07	$32.74	$30.00	23.3%	6.7%	23.9%	35.4%	23.6%	4.6%	0.2%	101.6M	722.3M	-33.9M	0.96	3.84	221,834	213,603	3,825,643	5,083,475
2016-03-08	$32.20	$30.50	24.8%	7.1%	24.5%	40.9%	23.5%	5.0%	-0.1%	56.9M	1.68B	-33.3M	1.50	4.07	150,483	225,592	3,805,071	5,137,973
2016-03-09	$32.38	$30.50	24.1%	6.9%	23.6%	38.2%	23.2%	4.8%	0.1%	66.1M	1.53B	-33.6M	0.72	4.11	264,920	191,534	3,846,819	5,269,293
2016-03-10	$32.40	$30.50	23.1%	6.6%	23.7%	34.3%	23.9%	4.9%	0.2%	105.9M	1.44B	-33.3M	0.96	3.78	223,109	214,856	3,970,850	5,308,354
2016-03-11	$33.17	$30.50	22.0%	6.3%	23.4%	30.2%	22.4%	3.8%	0.3%	151.4M	-275.2M	-33.2M	1.47	3.84	252,857	371,446	4,003,370	5,392,392
2016-03-14	$33.05	$31.00	22.5%	6.5%	23.5%	32.2%	22.9%	4.2%	0.4%	142.7M	232.1M	-33.0M	1.57	4.13	200,369	314,021	3,983,740	5,457,977
2016-03-15	$32.48	$31.00	23.3%	6.7%	24.1%	35.4%	25.2%	4.4%	0.1%	100.2M	1.55B	-33.4M	0.80	3.47	293,766	236,329	4,115,922	5,518,683
2016-03-16	$33.17	$31.00	22.3%	6.4%	24.1%	31.4%	22.8%	3.5%	0.2%	182.0M	-204.3M	-33.3M	0.64	5.67	470,676	298,964	4,163,053	5,627,480
2016-03-17	$33.82	$31.00	22.1%	6.3%	24.2%	30.5%	22.3%	3.1%	-0.3%	213.6M	-2.06B	-34.6M	0.57	3.71	381,753	215,928	4,380,704	5,745,683
2016-03-18	$34.00	$31.00	21.3%	6.1%	24.0%	27.7%	21.5%	3.4%	0.2%	131.9M	-2.63B	-34.6M	0.78	3.87	711,939	556,897	4,613,922	5,869,748
2016-03-21	$34.15	$31.00	21.6%	6.3%	23.1%	28.5%	20.8%	4.2%	0.4%	193.7M	-1.56B	-36.4M	1.26	3.72	254,923	320,082	3,428,640	4,178,342
2016-03-22	$34.03	$31.50	21.0%	6.0%	21.4%	26.2%	20.7%	4.2%	0.4%	195.7M	-1.25B	-36.4M	1.31	3.52	229,087	299,987	3,465,155	4,122,490
2016-03-23	$33.46	$32.00	21.2%	6.1%	22.6%	27.1%	20.6%	4.3%	0.5%	149.0M	-182.4M	-36.3M	1.13	4.15	211,371	239,779	3,553,136	4,250,920
2016-03-24	$33.35	$32.00	21.2%	5.9%	22.8%	27.2%	22.7%	4.0%	0.4%	137.6M	148.1M	-36.8M	1.06	3.84	195,772	206,565	3,598,048	4,331,620
2016-03-28	$33.47	$32.50	22.1%	6.3%	22.2%	30.7%	21.6%	4.3%	0.1%	161.1M	-191.8M	-35.9M	1.19	3.96	200,555	239,440	3,637,882	4,308,522
2016-03-29	$33.92	$32.00	22.3%	6.5%	22.2%	31.3%	22.9%	4.0%	-0.2%	214.2M	-1.14B	-37.1M	0.56	4.08	324,233	183,002	3,729,367	4,402,442
2016-03-30	$34.30	$32.50	21.1%	6.0%	20.1%	26.8%	21.7%	4.2%	0.1%	294.0M	-2.11B	-37.5M	1.55	2.81	164,997	256,113	3,897,727	4,443,697
2016-03-31	$34.21	$32.50	21.1%	6.0%	19.9%	26.7%	19.8%	3.7%	0.1%	300.5M	-1.97B	-36.7M	1.51	2.87	426,482	645,285	3,924,932	4,459,874