EEM Options History — June 2016

In June 2016, EEM traded between $32.23 and $34.79. ATM implied volatility averaged 22.1%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.5% (HV 20d: 19.6%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.37.

Notable Days

2016-06-21: Highest Volume — 1,152,268 contracts
2016-06-22: Largest IV spike — 17.0% change
2016-06-27: Highest IV Rank — 47.1%
2016-06-22: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.66	$32.23	$34.79	$33.06	$34.31
Max Pain	$33.66	$33.00	$34.00	$33.50	$34.00
ATM IV	22.1%	17.9%	27.1%	20.0%	20.8%
Expected Move	6.4%	5.1%	7.9%	5.5%	5.8%
HV 20d	19.6%	14.0%	32.0%	15.5%	32.0%
HV 60d	19.5%	18.1%	23.3%	18.8%	23.3%
IV Rank	29.5%	14.2%	47.1%	22.2%	21.6%
IV Percentile	44.4%	9.1%	77.8%	19.4%	23.4%
Term Structure	-0.2%	-1.0%	0.5%	0.2%	0.5%
VWIV	22.7%	18.1%	27.7%	21.0%	21.8%
Skew 25d	5.5%	4.2%	7.4%	5.0%	4.4%
Skew 10d	11.5%	8.7%	15.6%	10.2%	10.3%
Call IV 25d	20.1%	16.5%	23.9%	18.1%	19.4%
Put IV 25d	25.6%	21.0%	30.9%	23.1%	23.8%
Bid-Ask Spread %	4.04	3.12	5.95	3.12	4.11
Gamma HHI	0.08	0.07	0.11	0.09	0.07
Net GEX	41.6M	-160.7M	242.6M	-71.7M	208.0M
Net DEX	1.05B	-1.63B	3.56B	2.15B	-665.2M
Net VEX	-37.8M	-40.5M	-36.1M	-37.7M	-40.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.41	3.31	3.31	1.84
Total Volume	731,737.636	534,135	1,152,268	684,702	581,821
Total OI	9,592,166.682	7,567,912	10,698,721	9,746,912	9,239,842

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
2016-06-01	$33.06	$33.50	20.0%	5.5%	15.5%	22.2%	21.0%	5.0%	0.2%	-71.7M	2.15B	-37.7M	3.31	3.12	158,800	525,902	4,046,093	5,700,819
2016-06-02	$33.34	$33.00	18.5%	5.2%	14.6%	16.6%	20.3%	5.0%	-0.2%	-26.5M	1.53B	-37.9M	2.13	3.52	193,539	411,437	4,084,844	5,813,975
2016-06-03	$33.84	$33.00	17.9%	5.1%	15.4%	14.5%	18.4%	4.6%	-0.7%	73.4M	306.9M	-37.1M	1.65	3.91	225,502	372,413	4,130,886	5,820,201
2016-06-06	$34.24	$33.00	19.0%	5.4%	15.8%	18.5%	18.1%	4.4%	-0.5%	137.2M	-630.5M	-36.7M	1.18	3.94	298,377	353,071	4,142,792	5,783,903
2016-06-07	$34.55	$33.00	18.7%	5.2%	15.1%	17.3%	20.3%	4.3%	-0.4%	201.6M	-1.49B	-36.3M	1.33	3.82	322,733	427,990	4,217,430	5,810,025
2016-06-08	$34.79	$33.00	17.9%	5.1%	14.0%	14.2%	18.9%	4.2%	-0.1%	177.1M	-1.63B	-36.1M	1.41	3.65	247,903	348,662	4,171,634	5,901,225
2016-06-09	$34.43	$33.50	18.4%	5.3%	14.7%	16.1%	20.1%	4.5%	0.2%	122.9M	-640.7M	-37.0M	1.48	3.47	301,745	445,623	4,233,297	5,991,543
2016-06-10	$33.55	$33.50	21.5%	6.2%	17.7%	28.3%	23.3%	5.5%	-0.3%	-26.4M	1.77B	-38.0M	2.01	3.74	216,361	435,402	4,256,948	6,135,580
2016-06-13	$33.03	$33.50	24.7%	7.1%	17.4%	40.8%	23.9%	7.4%	-0.1%	-136.0M	3.19B	-38.0M	1.60	3.93	230,319	368,241	4,240,383	6,181,557
2016-06-14	$32.91	$33.50	24.4%	7.0%	17.1%	39.5%	24.6%	6.6%	-0.1%	-160.7M	3.45B	-36.8M	1.04	3.46	327,171	341,242	4,248,878	6,215,991
2016-06-15	$33.28	$34.00	23.3%	6.7%	17.4%	35.4%	23.9%	6.2%	-0.3%	-57.7M	2.44B	-37.3M	0.91	3.83	279,676	254,459	4,381,160	6,291,626
2016-06-16	$33.19	$34.00	23.9%	6.9%	16.9%	37.5%	25.2%	6.0%	-0.2%	-82.9M	2.76B	-36.8M	1.42	3.50	292,590	416,873	4,393,201	6,305,520
2016-06-17	$33.24	$34.00	24.1%	7.0%	16.6%	38.6%	24.5%	5.8%	-0.5%	-43.3M	2.46B	-36.4M	1.27	3.76	327,779	414,967	4,389,946	6,305,468
2016-06-20	$33.83	$34.00	22.7%	6.8%	17.3%	33.1%	24.1%	5.7%	-0.4%	33.5M	888.8M	-37.2M	1.08	5.06	372,769	402,154	3,114,922	4,452,990
2016-06-21	$34.12	$34.00	22.5%	6.7%	17.3%	32.0%	23.1%	5.1%	-0.2%	87.2M	86.0M	-36.5M	0.90	4.34	607,233	545,035	3,251,200	4,552,368
2016-06-22	$33.96	$34.00	26.3%	7.9%	17.3%	46.9%	26.5%	6.8%	-1.0%	104.2M	345.0M	-40.0M	0.84	4.77	440,878	370,585	3,656,786	4,733,472
2016-06-23	$34.74	$34.00	23.2%	6.9%	18.5%	31.4%	22.7%	5.3%	-0.6%	242.6M	-1.62B	-39.5M	0.41	5.95	748,093	309,397	3,823,390	4,740,911
2016-06-24	$32.77	$34.00	25.8%	7.6%	28.4%	41.9%	26.1%	7.1%	-0.2%	7.2M	2.73B	-38.9M	0.58	4.80	717,668	415,450	4,225,545	4,834,298
2016-06-27	$32.23	$34.00	27.1%	7.8%	29.0%	47.1%	27.7%	7.0%	-0.2%	-89.5M	3.56B	-37.7M	1.07	4.49	382,986	408,767	4,214,143	4,757,359
2016-06-28	$33.16	$34.00	23.2%	6.5%	30.8%	31.2%	23.9%	4.7%	0.3%	25.7M	1.90B	-39.1M	1.53	3.90	240,257	366,409	4,160,363	4,921,218
2016-06-29	$33.98	$34.00	21.7%	6.3%	32.0%	25.1%	21.2%	4.7%	0.2%	189.1M	270.3M	-40.3M	1.13	3.74	305,563	344,386	4,067,362	5,086,573
2016-06-30	$34.31	$34.00	20.8%	5.8%	32.0%	21.6%	21.8%	4.4%	0.5%	208.0M	-665.2M	-40.5M	1.84	4.11	204,601	377,220	4,089,253	5,150,589