EEM Options History — July 2016

In July 2016, EEM traded between $33.76 and $36.20. ATM implied volatility averaged 19.0%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 9.3% (HV 20d: 28.3%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.63.

Notable Days

2016-07-14: Highest Volume — 887,946 contracts
2016-07-08: Largest IV drop — 9.7% change
2016-07-05: Highest IV Rank — 25.9%
2016-07-05: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.33	$33.76	$36.20	$34.72	$36.20
Max Pain	$33.58	$33.00	$34.00	$34.00	$34.00
ATM IV	19.0%	17.3%	21.9%	20.1%	17.3%
Expected Move	5.4%	4.8%	6.3%	5.5%	4.8%
HV 20d	28.3%	15.8%	33.1%	31.9%	15.8%
HV 60d	23.0%	21.9%	23.3%	23.0%	21.9%
IV Rank	11.4%	0.0%	25.9%	18.8%	0.0%
IV Percentile	9.9%	0.0%	42.5%	15.5%	0.0%
Term Structure	0.3%	-0.3%	0.8%	0.5%	0.7%
VWIV	20.0%	17.3%	27.1%	18.7%	17.3%
Skew 25d	3.8%	3.1%	5.3%	4.1%	3.8%
Skew 10d	8.2%	6.3%	11.6%	10.0%	7.6%
Call IV 25d	17.6%	15.5%	19.9%	18.3%	15.5%
Put IV 25d	21.4%	19.2%	25.2%	22.3%	19.2%
Bid-Ask Spread %	5.58	3.81	9.00	3.90	9.00
Gamma HHI	0.10	0.07	0.14	0.08	0.13
Net GEX	293.3M	106.2M	489.5M	252.2M	323.6M
Net DEX	-2.31B	-4.36B	793.4M	-1.47B	-3.51B
Net VEX	-37.5M	-40.2M	-35.9M	-40.2M	-35.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	0.60	3.24	1.20	0.67
Total Volume	520,932.95	224,829	887,946	439,254	552,088
Total OI	8,798,394.55	7,974,029	9,872,904	8,954,213	8,678,093

Daily Data (20 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
2016-07-01	$34.72	$34.00	20.1%	5.5%	31.9%	18.8%	18.7%	4.1%	0.5%	252.2M	-1.47B	-40.2M	1.20	3.90	199,262	239,992	3,931,329	5,022,884
2016-07-05	$33.99	$33.00	21.9%	6.3%	32.6%	25.9%	24.2%	5.3%	0.3%	149.4M	287.5M	-39.6M	1.24	3.96	170,515	210,603	3,944,733	4,985,746
2016-07-06	$33.85	$33.00	21.4%	6.1%	32.4%	24.1%	22.9%	4.9%	-0.2%	129.3M	650.9M	-39.1M	1.09	4.54	256,886	280,830	3,955,500	5,021,210
2016-07-07	$33.76	$33.00	20.8%	6.0%	32.3%	21.6%	27.1%	4.8%	-0.3%	106.2M	793.4M	-38.8M	1.70	4.17	199,648	339,696	4,072,812	5,065,049
2016-07-08	$34.51	$33.00	18.8%	5.5%	33.1%	13.3%	20.4%	3.8%	0.3%	255.7M	-921.2M	-37.9M	3.03	5.00	166,835	505,866	4,036,426	5,145,448
2016-07-11	$34.87	$33.50	18.5%	5.4%	31.8%	12.3%	19.4%	3.9%	0.3%	324.5M	-1.84B	-37.2M	1.60	4.00	229,692	368,112	4,010,010	5,190,700
2016-07-12	$35.33	$33.50	18.7%	5.5%	31.3%	13.1%	19.0%	3.3%	0.8%	414.9M	-2.98B	-37.1M	2.25	3.81	165,109	371,705	4,058,253	5,265,036
2016-07-13	$35.28	$33.50	18.1%	5.3%	31.3%	10.7%	18.5%	3.6%	0.3%	413.2M	-2.87B	-37.0M	1.07	3.87	398,087	427,182	4,092,403	5,343,055
2016-07-14	$35.79	$33.50	18.4%	5.4%	31.4%	11.5%	19.4%	3.1%	0.3%	489.5M	-4.36B	-37.7M	0.91	4.41	464,786	423,160	4,320,179	5,405,515
2016-07-15	$35.71	$33.50	19.1%	5.5%	31.4%	14.4%	18.5%	3.2%	0.1%	260.2M	-4.10B	-37.8M	1.13	5.97	338,852	383,979	4,373,385	5,499,519
2016-07-18	$35.98	$33.50	18.7%	5.4%	31.4%	11.3%	19.5%	3.5%	0.1%	290.1M	-3.24B	-37.4M	2.34	6.03	166,680	390,677	3,607,270	4,366,759
2016-07-19	$35.62	$33.50	18.9%	5.4%	31.4%	11.9%	19.3%	3.4%	0.2%	269.8M	-2.51B	-37.5M	3.24	4.53	93,285	302,239	3,651,026	4,409,553
2016-07-20	$35.84	$33.50	18.1%	5.2%	31.3%	8.8%	18.6%	3.3%	0.2%	298.1M	-2.92B	-37.0M	2.53	5.22	151,094	382,842	3,659,152	4,432,065
2016-07-21	$35.72	$33.50	18.9%	5.4%	31.3%	11.4%	21.8%	3.5%	0.2%	285.9M	-2.64B	-37.3M	2.74	5.96	118,011	323,302	3,713,130	4,569,970
2016-07-22	$35.95	$34.00	17.9%	5.1%	30.4%	4.3%	18.7%	3.6%	0.5%	353.6M	-3.12B	-36.5M	1.17	7.24	103,602	121,227	3,711,913	4,643,859
2016-07-25	$35.62	$34.00	19.5%	5.6%	21.1%	7.5%	20.1%	3.9%	0.3%	264.8M	-2.34B	-37.2M	1.61	6.16	122,588	197,205	3,701,651	4,639,153
2016-07-26	$35.91	$34.00	18.6%	5.3%	19.6%	3.6%	19.5%	4.1%	0.6%	298.0M	-2.85B	-36.8M	1.29	7.15	158,951	205,113	3,735,853	4,718,144
2016-07-27	$35.99	$34.00	18.5%	5.2%	17.7%	3.0%	18.4%	3.6%	0.5%	325.8M	-3.13B	-36.1M	0.60	8.66	302,199	182,034	3,726,312	4,720,164
2016-07-28	$36.02	$34.00	17.7%	5.0%	16.0%	0.0%	17.9%	4.0%	0.5%	360.4M	-3.12B	-36.4M	1.13	7.95	189,935	214,790	3,788,544	4,756,088
2016-07-29	$36.20	$34.00	17.3%	4.8%	15.8%	0.0%	17.3%	3.8%	0.7%	323.6M	-3.51B	-35.9M	0.67	9.00	329,835	222,253	3,834,051	4,844,042