EEM Options History — August 2016

In August 2016, EEM traded between $35.86 and $37.89. ATM implied volatility averaged 17.8%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 6.2% (HV 20d: 11.7%). Max pain ranged from $34.00 to $35.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.87.

Notable Days

2016-08-16: Highest Volume — 1,002,343 contracts
2016-08-05: Largest IV drop — 9.4% change
2016-08-31: Highest IV Rank — 17.3%
2016-08-31: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.00	$35.86	$37.89	$36.10	$36.60
Max Pain	$34.93	$34.00	$35.50	$34.00	$35.50
ATM IV	17.8%	16.0%	19.9%	17.7%	19.9%
Expected Move	5.0%	4.7%	5.5%	4.9%	5.5%
HV 20d	11.7%	10.3%	15.5%	15.5%	12.7%
HV 60d	21.4%	21.1%	22.0%	21.9%	21.3%
IV Rank	6.8%	0.0%	17.3%	1.6%	17.3%
IV Percentile	6.8%	0.0%	21.4%	0.4%	21.4%
Term Structure	0.3%	-0.3%	1.0%	0.1%	-0.2%
VWIV	18.8%	16.4%	22.3%	16.5%	22.3%
Skew 25d	3.9%	3.1%	4.6%	3.5%	4.6%
Skew 10d	8.4%	6.3%	10.4%	7.9%	9.6%
Call IV 25d	16.4%	14.9%	17.9%	16.4%	17.9%
Put IV 25d	20.2%	18.0%	22.5%	20.0%	22.5%
Bid-Ask Spread %	5.95	2.72	19.85	6.10	13.51
Gamma HHI	0.11	0.07	0.18	0.13	0.08
Net GEX	289.7M	130.1M	446.5M	345.2M	138.1M
Net DEX	-4.13B	-7.11B	-1.51B	-3.14B	-1.51B
Net VEX	-36.7M	-39.0M	-33.9M	-34.9M	-37.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.87	0.53	4.50	1.23	1.94
Total Volume	597,425.87	170,112	1,002,343	937,246	632,508
Total OI	9,683,628.696	8,685,434	10,822,116	8,685,434	9,674,607

Daily Data (23 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
2016-08-01	$36.10	$34.00	17.7%	4.9%	15.5%	1.6%	16.5%	3.5%	0.1%	345.2M	-3.14B	-34.9M	1.23	6.10	420,745	516,501	3,848,212	4,837,222
2016-08-02	$35.86	$34.50	18.6%	5.2%	13.3%	5.6%	18.6%	4.5%	-0.2%	248.6M	-2.11B	-37.1M	1.92	6.11	261,307	502,069	3,851,475	5,165,163
2016-08-03	$36.01	$34.50	18.6%	5.1%	13.1%	5.5%	17.9%	4.0%	-0.2%	242.5M	-2.21B	-37.7M	1.09	6.65	303,763	330,548	3,846,651	5,401,295
2016-08-04	$36.23	$34.00	18.0%	5.3%	12.9%	3.2%	22.1%	4.3%	-0.3%	345.2M	-2.94B	-37.4M	1.96	4.31	187,562	367,236	3,976,769	5,442,336
2016-08-05	$36.64	$35.00	16.3%	4.9%	11.4%	0.0%	18.9%	3.4%	0.3%	446.5M	-4.23B	-35.7M	1.61	3.33	210,952	339,954	3,967,694	5,513,821
2016-08-08	$36.88	$35.00	16.2%	4.8%	11.1%	0.0%	22.1%	3.4%	0.5%	372.6M	-4.59B	-35.2M	2.33	3.20	148,786	346,042	3,896,229	5,581,661
2016-08-09	$37.15	$35.00	16.0%	4.7%	10.6%	0.0%	16.6%	3.1%	0.4%	358.1M	-5.23B	-34.6M	0.53	2.86	439,323	233,426	3,907,177	5,658,450
2016-08-10	$37.12	$35.00	16.8%	4.9%	10.6%	2.9%	17.6%	3.7%	0.4%	422.7M	-5.62B	-35.6M	1.73	3.69	274,009	474,157	4,210,681	5,731,756
2016-08-11	$37.63	$35.00	16.5%	4.9%	10.5%	2.0%	16.4%	3.5%	0.6%	379.7M	-6.75B	-34.7M	1.81	3.09	292,200	527,437	4,207,350	5,813,158
2016-08-12	$37.48	$35.00	16.5%	4.8%	10.6%	1.8%	18.8%	3.5%	0.5%	403.5M	-6.49B	-35.5M	2.17	2.72	234,295	508,425	4,299,481	5,872,374
2016-08-15	$37.89	$35.00	16.7%	4.8%	10.9%	2.9%	16.9%	3.1%	0.5%	383.9M	-7.11B	-33.9M	1.01	2.88	405,709	408,231	4,209,727	5,801,832
2016-08-16	$37.68	$35.00	18.0%	5.2%	10.3%	8.2%	18.2%	3.8%	1.0%	402.9M	-6.54B	-35.0M	1.75	3.10	365,068	637,275	4,296,423	5,828,736
2016-08-17	$37.46	$35.00	17.5%	5.0%	10.6%	6.0%	19.3%	3.8%	0.7%	385.3M	-5.94B	-38.3M	1.12	10.27	261,020	291,580	4,486,096	6,139,076
2016-08-18	$37.81	$35.00	16.6%	4.7%	10.7%	2.4%	17.3%	3.1%	1.0%	392.8M	-6.89B	-36.9M	0.53	6.64	160,611	85,673	4,446,439	6,314,715
2016-08-19	$37.58	$35.00	17.1%	4.8%	11.1%	4.3%	18.1%	3.4%	0.9%	195.2M	-6.26B	-37.3M	1.55	3.44	177,046	273,828	4,441,670	6,380,446
2016-08-22	$37.10	$35.00	18.4%	5.1%	11.6%	9.9%	17.3%	4.2%	0.2%	140.2M	-2.80B	-37.9M	1.30	4.06	231,755	301,496	3,623,192	5,308,894
2016-08-23	$36.95	$35.00	18.5%	5.0%	11.6%	10.3%	18.8%	3.2%	0.1%	159.8M	-2.54B	-38.4M	2.78	2.94	91,035	252,871	3,773,788	5,384,639
2016-08-24	$37.04	$35.00	19.4%	5.3%	11.6%	15.0%	18.5%	4.5%	0.1%	159.8M	-2.61B	-38.3M	2.12	19.85	54,449	115,663	3,813,518	5,451,851
2016-08-25	$37.01	$35.00	19.4%	5.3%	11.6%	15.0%	21.2%	4.3%	-0.2%	161.2M	-2.55B	-38.7M	3.45	2.94	94,783	326,751	3,859,106	5,534,374
2016-08-26	$36.71	$35.00	19.8%	5.4%	12.0%	17.0%	18.1%	4.5%	0.1%	130.1M	-1.51B	-39.0M	0.74	10.15	523,645	386,091	3,900,411	5,611,845
2016-08-29	$37.05	$35.50	18.9%	5.0%	12.3%	12.8%	19.8%	4.4%	-0.2%	239.6M	-2.79B	-37.6M	4.50	2.72	57,331	257,887	4,045,528	5,683,395
2016-08-30	$36.99	$35.50	19.1%	5.0%	12.0%	13.6%	20.0%	4.5%	-0.0%	209.2M	-2.55B	-37.5M	3.94	12.35	86,929	342,823	3,998,820	5,685,377
2016-08-31	$36.60	$35.50	19.9%	5.5%	12.7%	17.3%	22.3%	4.6%	-0.2%	138.1M	-1.51B	-37.4M	1.94	13.51	215,469	417,039	3,958,855	5,715,752