EEM Options History — May 2016

In May 2016, EEM traded between $31.93 and $34.32. ATM implied volatility averaged 21.8%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.3% (HV 20d: 18.4%). Max pain ranged from $33.50 to $34.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.81.

Notable Days

2016-05-20: Highest Volume — 854,108 contracts
2016-05-18: Largest IV spike — 7.3% change
2016-05-18: Highest IV Rank — 36.7%
2016-05-04: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.76	$31.93	$34.32	$34.32	$33.19
Max Pain	$33.86	$33.50	$34.00	$34.00	$33.50
ATM IV	21.8%	20.0%	23.7%	21.2%	20.8%
Expected Move	6.2%	5.4%	7.0%	6.2%	5.9%
HV 20d	18.4%	17.2%	20.9%	19.3%	18.5%
HV 60d	20.8%	18.8%	21.8%	20.9%	18.8%
IV Rank	29.3%	22.4%	36.7%	27.2%	25.5%
IV Percentile	45.6%	20.2%	65.5%	42.5%	28.6%
Term Structure	0.6%	-0.3%	2.1%	0.2%	0.1%
VWIV	22.8%	18.8%	25.4%	23.1%	21.1%
Skew 25d	4.4%	3.6%	5.7%	3.7%	5.3%
Skew 10d	8.5%	6.9%	10.9%	8.3%	9.6%
Call IV 25d	20.0%	18.0%	21.9%	19.9%	18.1%
Put IV 25d	24.3%	21.8%	26.3%	23.6%	23.4%
Bid-Ask Spread %	2.54	2.08	3.35	3.35	2.33
Gamma HHI	0.09	0.07	0.14	0.09	0.09
Net GEX	-126.1M	-278.6M	124.8M	124.8M	-54.3M
Net DEX	3.15B	-315.2M	5.34B	-315.2M	1.94B
Net VEX	-38.3M	-40.6M	-37.0M	-40.6M	-38.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.81	1.14	3.43	2.61	1.80
Total Volume	601,210.238	363,366	854,108	489,977	685,606
Total OI	9,663,307.571	9,036,546	10,610,618	9,036,546	9,618,469

Daily Data (21 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
2016-05-02	$34.32	$34.00	21.2%	6.2%	19.3%	27.2%	23.1%	3.7%	0.2%	124.8M	-315.2M	-40.6M	2.61	3.35	135,698	354,279	4,149,392	4,887,154
2016-05-03	$33.34	$34.00	22.5%	6.7%	20.7%	32.3%	24.3%	4.4%	0.2%	-9.5M	1.78B	-40.0M	2.29	3.05	214,620	490,672	4,169,400	4,886,996
2016-05-04	$32.81	$33.50	23.2%	7.0%	20.9%	35.0%	24.6%	4.3%	0.2%	-80.1M	2.94B	-39.4M	1.64	2.77	261,375	428,971	4,205,572	5,004,821
2016-05-05	$32.78	$34.00	22.1%	6.5%	19.7%	30.7%	24.1%	4.3%	0.5%	-103.5M	3.13B	-39.6M	2.01	2.37	186,141	374,193	4,294,459	5,135,033
2016-05-06	$32.82	$34.00	21.4%	6.3%	18.9%	27.8%	22.1%	3.9%	0.5%	-111.2M	3.14B	-39.7M	1.52	2.64	227,206	345,585	4,319,097	5,226,504
2016-05-09	$32.42	$34.00	22.8%	6.6%	18.4%	33.5%	23.8%	4.2%	0.1%	-162.9M	3.93B	-38.6M	1.20	2.21	273,572	327,594	4,245,405	5,267,886
2016-05-10	$33.03	$34.00	21.2%	6.3%	19.0%	27.1%	25.4%	3.9%	0.8%	-123.4M	2.84B	-38.9M	1.14	2.58	349,237	397,934	4,258,458	5,296,986
2016-05-11	$32.96	$34.00	20.9%	6.2%	17.3%	25.8%	23.7%	3.8%	0.7%	-124.3M	2.98B	-39.2M	1.14	2.20	217,875	249,424	4,386,388	5,408,516
2016-05-12	$32.85	$34.00	20.5%	6.0%	17.3%	24.4%	23.1%	4.0%	0.6%	-140.4M	3.15B	-38.4M	1.48	2.34	175,714	259,764	4,413,507	5,413,766
2016-05-13	$32.28	$34.00	21.6%	6.4%	18.1%	28.7%	22.4%	4.2%	0.9%	-198.1M	4.46B	-37.4M	1.30	2.08	270,949	353,259	4,420,776	5,416,470
2016-05-16	$32.63	$34.00	22.0%	6.4%	18.6%	30.3%	24.6%	4.9%	1.7%	-182.5M	3.66B	-37.2M	1.84	2.78	188,208	346,035	4,450,202	5,468,905
2016-05-17	$32.52	$34.00	22.1%	6.3%	17.2%	30.5%	23.5%	4.8%	1.5%	-203.9M	3.94B	-37.5M	1.54	2.82	142,869	220,497	4,517,196	5,610,948
2016-05-18	$32.17	$34.00	23.7%	6.8%	17.4%	36.7%	24.6%	4.6%	1.9%	-238.1M	4.66B	-37.4M	1.29	2.23	272,440	350,956	4,585,854	5,710,114
2016-05-19	$31.93	$34.00	23.5%	6.6%	17.2%	36.0%	24.7%	4.6%	2.1%	-278.6M	5.34B	-37.0M	1.93	2.33	228,876	442,308	4,655,124	5,766,122
2016-05-20	$32.22	$33.50	22.5%	6.3%	17.9%	32.1%	22.7%	3.6%	1.2%	-161.3M	4.56B	-37.5M	1.67	2.46	319,540	534,568	4,756,320	5,854,298
2016-05-23	$32.12	$34.00	22.5%	6.1%	17.8%	32.3%	21.9%	5.7%	-0.3%	-197.2M	4.13B	-37.2M	1.86	2.57	185,163	345,333	3,793,652	5,428,396
2016-05-24	$32.47	$34.00	21.5%	5.9%	17.8%	28.4%	21.6%	4.9%	0.8%	-166.1M	3.36B	-37.6M	2.12	2.56	205,802	436,937	3,851,230	5,484,280
2016-05-25	$32.87	$33.50	20.5%	5.6%	18.4%	24.5%	20.1%	4.7%	-0.3%	-111.1M	2.45B	-38.0M	1.17	2.36	247,889	289,978	3,904,717	5,507,301
2016-05-26	$33.08	$33.50	20.6%	5.5%	18.4%	24.9%	19.9%	4.1%	-0.2%	-55.4M	1.88B	-37.5M	3.43	2.63	155,803	534,484	3,998,047	5,500,164
2016-05-27	$33.07	$33.50	20.0%	5.4%	18.4%	22.4%	18.8%	3.8%	-0.0%	-70.3M	2.12B	-38.6M	2.95	2.64	151,553	446,508	4,002,758	5,658,776
2016-05-31	$33.19	$33.50	20.8%	5.9%	18.5%	25.5%	21.1%	5.3%	0.1%	-54.3M	1.94B	-38.0M	1.80	2.33	244,513	441,093	4,004,352	5,614,117