EEM Options History — June 2013

In June 2013, EEM traded between $36.61 and $41.81. ATM implied volatility averaged 23.6%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.1% (HV 20d: 19.5%). Max pain ranged from $36.00 to $42.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.31.

Notable Days

  • 2013-06-20: Highest Volume — 1,336,376 contracts
  • 2013-06-20: Largest IV spike — 29.8% change
  • 2013-06-24: Highest IV Rank — 87.6%
  • 2013-06-24: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.21$36.61$41.81$41.81$38.50
Max Pain$39.53$36.00$42.00$39.50$37.50
ATM IV23.6%19.7%32.5%19.7%24.2%
Expected Move6.8%5.5%9.2%5.5%6.9%
HV 20d19.5%12.4%28.8%12.4%28.6%
HV 60d17.3%14.7%20.9%14.7%20.9%
IV Rank48.8%31.7%87.6%31.7%51.2%
IV Percentile82.4%61.9%99.2%61.9%88.5%
Term Structure-0.6%-2.6%0.8%-0.9%-0.3%
VWIV24.7%21.0%31.9%21.1%23.9%
Skew 25d6.4%4.2%10.9%4.8%5.7%
Skew 10d13.1%7.9%23.2%8.5%12.0%
Call IV 25d21.3%17.7%29.2%17.7%22.1%
Put IV 25d27.7%22.5%39.3%22.5%27.8%
Bid-Ask Spread %19.507.2681.5110.2310.61
Gamma HHI0.090.080.120.110.08
Net GEX-351.1M-440.8M-207.5M-295.5M-207.5M
Net DEX8.17B3.82B13.08B3.82B6.57B
Net VEX-37.4M-42.9M-31.2M-37.3M-42.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.310.548.578.571.04
Total Volume605,460.1201,7861,336,376700,991360,319
Total OI8,330,973.26,861,91110,074,9296,861,9118,897,571

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$41.81$39.5019.7%5.5%12.4%31.7%21.1%4.8%-0.9%-295.5M3.82B-37.3M8.5710.2373,259627,7322,864,0103,997,901
2013-06-04$41.35$39.5020.2%5.7%12.8%33.8%22.0%5.2%-0.9%-372.4M5.03B-37.5M2.0010.9867,162134,6242,875,7064,269,126
2013-06-05$40.58$39.5021.6%6.2%13.6%40.2%22.1%6.1%-1.2%-397.1M6.55B-36.6M1.5711.95108,092169,4762,917,5334,319,193
2013-06-06$40.90$39.5021.2%6.1%13.5%38.2%23.7%5.8%-0.6%-387.8M5.90B-38.0M3.8510.24176,328678,4552,970,0874,383,058
2013-06-07$40.79$39.5020.0%5.7%13.4%33.1%22.7%5.1%-0.2%-404.8M6.39B-38.2M2.897.83102,260295,4163,085,2304,547,164
2013-06-10$40.12$40.0021.0%6.0%14.2%37.4%21.0%5.6%-1.1%-424.2M7.56B-36.3M4.018.5087,496350,7083,120,9524,602,119
2013-06-11$39.45$40.0021.6%6.2%14.8%40.1%21.5%7.2%-0.5%-440.8M9.06B-35.5M0.7412.03474,553351,6583,164,2974,829,974
2013-06-12$39.11$40.0024.6%7.0%14.6%53.0%24.9%7.0%-1.1%-408.9M9.19B-37.7M1.4316.12201,197288,5313,371,3184,961,479
2013-06-13$39.93$0.0021.7%6.2%17.2%40.3%26.7%6.4%-0.1%-373.4M7.60B-40.6M3.1320.62210,211657,7213,503,3875,075,942
2013-06-14$39.35$40.5022.5%6.5%17.6%43.8%24.1%6.5%-0.6%-356.6M8.70B-38.8M1.159.11154,596177,9723,614,3975,138,558
2013-06-17$39.69$42.0023.2%6.6%18.0%47.0%23.1%6.4%-0.4%-357.5M8.17B-39.2M1.7433.88105,729184,1603,631,9165,191,675
2013-06-18$39.78$42.0022.0%6.3%18.0%41.7%23.6%5.8%-0.2%-360.7M8.00B-39.3M1.207.26222,195267,5513,683,6365,250,400
2013-06-19$38.55$42.0022.4%6.4%20.3%43.6%22.9%6.6%-0.3%-414.4M10.51B-35.3M1.3539.83469,643632,1993,815,0495,328,744
2013-06-20$36.87$42.0029.1%8.3%24.5%72.7%30.4%10.9%-0.1%-352.4M12.91B-31.2M4.7042.41234,5481,101,8284,089,4095,449,917
2013-06-21$37.32$42.0027.8%8.0%25.5%66.9%27.9%7.8%0.8%-401.0M13.08B-34.2M1.0118.60421,238424,8924,207,0635,867,866
2013-06-24$36.61$36.0032.5%9.2%25.9%87.6%31.9%10.1%-2.6%-267.8M10.05B-35.0M2.9281.51196,450573,1103,292,5244,780,512
2013-06-25$37.45$36.0027.7%8.0%27.8%66.4%26.7%5.3%-1.2%-304.3M9.20B-36.3M1.6321.73173,734282,9973,416,2284,926,115
2013-06-26$37.87$36.0024.1%6.9%28.4%50.9%28.4%4.2%-0.0%-274.9M8.12B-36.9M0.549.24421,649226,4223,518,6354,926,243
2013-06-27$38.23$37.5025.4%7.3%28.8%56.4%24.4%5.9%-0.2%-219.8M7.08B-41.5M0.817.34233,691189,4003,697,4875,037,043
2013-06-28$38.50$37.5024.2%6.9%28.6%51.2%23.9%5.7%-0.3%-207.5M6.57B-42.9M1.0410.61176,445183,8743,791,0985,106,473