EEM Options History — November 2013

In November 2013, EEM traded between $40.79 and $42.77. ATM implied volatility averaged 19.8%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.4% (HV 20d: 15.4%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.72.

Notable Days

  • 2013-11-11: Highest Volume — 796,289 contracts
  • 2013-11-18: Largest IV spike — 12.6% change
  • 2013-11-25: Highest IV Rank — 45.2%
  • 2013-11-25: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.80$40.79$42.77$42.50$42.35
Max Pain$42.08$40.00$50.00$43.50$41.00
ATM IV19.8%17.6%21.5%18.0%19.9%
Expected Move6.3%5.1%6.8%5.1%6.7%
HV 20d15.4%14.0%16.9%14.6%16.4%
HV 60d19.0%18.2%19.9%19.2%18.3%
IV Rank36.7%25.9%45.2%27.9%37.0%
IV Percentile62.7%42.9%78.2%46.0%61.1%
Term Structure0.3%-0.4%1.1%0.5%0.0%
VWIV22.6%17.5%28.3%19.3%23.0%
Skew 25d4.3%3.0%5.0%3.7%4.2%
Skew 10d8.7%6.1%11.2%7.4%8.5%
Call IV 25d18.2%16.5%19.8%16.5%18.3%
Put IV 25d22.5%20.1%24.4%20.1%22.5%
Bid-Ask Spread %5.653.0614.449.6914.44
Gamma HHI0.070.060.100.080.07
Net GEX-118.4M-340.1M76.3M25.0M12.7M
Net DEX1.20B-1.50B4.55B-725.8M-550.0M
Net VEX-38.0M-39.7M-35.7M-38.4M-36.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.334.810.504.81
Total Volume327,027.184,335796,289385,942102,554
Total OI9,483,030.958,975,81310,239,1819,112,7089,513,282

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$42.50$43.5018.0%5.1%14.6%27.9%19.3%3.7%0.5%25.0M-725.8M-38.4M0.509.69257,821128,1214,157,8914,954,817
2013-11-04$42.77$44.0017.6%5.1%14.2%25.9%17.5%4.0%0.6%46.1M-1.34B-36.6M2.126.4252,760111,8824,017,5844,958,229
2013-11-05$41.89$43.0019.4%5.6%16.1%34.6%19.1%4.4%0.7%-151.2M1.23B-37.1M0.486.58369,490176,2354,012,5605,028,080
2013-11-06$41.95$43.0019.2%5.5%15.9%33.7%19.2%4.5%1.0%-156.3M996.4M-38.9M1.475.94158,863233,0484,199,9325,112,660
2013-11-07$41.32$43.0020.2%5.8%14.8%38.5%20.0%4.4%0.7%-223.8M2.83B-39.0M3.016.85153,087461,1044,257,0075,212,988
2013-11-08$41.18$43.0020.0%5.7%14.5%37.5%19.3%4.3%0.7%-248.8M3.40B-39.4M1.846.37108,779200,3034,363,7275,404,084
2013-11-11$40.91$0.0019.7%6.6%14.4%36.3%19.5%4.2%0.6%-280.6M3.91B-37.4M4.1010.41156,204640,0854,330,3925,412,212
2013-11-12$40.79$50.0018.8%6.7%14.2%31.5%21.7%4.5%1.1%-340.1M4.55B-37.9M2.283.22134,286305,7944,352,3365,576,298
2013-11-13$40.91$48.0019.1%6.7%14.0%33.2%23.9%4.4%0.7%-320.7M4.08B-38.5M1.973.8096,759190,4664,384,8595,664,466
2013-11-14$41.46$40.0018.4%6.6%14.7%30.0%25.5%3.4%0.0%-208.0M2.28B-38.1M0.783.88244,300191,4774,405,8395,685,780
2013-11-15$42.26$40.0018.4%6.5%16.5%29.9%24.2%3.0%0.1%-72.5M-460.6M-38.9M0.814.10211,474170,4804,520,0205,719,161
2013-11-18$42.67$40.0020.8%6.5%16.9%41.4%23.1%4.6%-0.4%76.3M-1.50B-39.3M0.333.34270,69888,6154,058,8314,993,705
2013-11-19$42.38$40.0020.6%6.6%16.6%40.7%25.2%5.0%0.5%31.3M-769.4M-39.7M1.723.1984,800146,0804,112,6935,036,671
2013-11-20$41.79$40.0021.4%6.7%15.6%44.9%22.7%4.6%-0.1%-77.7M864.1M-38.9M2.243.8853,026118,7414,115,6635,108,082
2013-11-21$41.82$40.0021.4%6.7%15.6%44.6%28.3%4.6%-0.3%-86.8M846.9M-38.1M1.283.69126,344162,0944,129,3755,169,238
2013-11-22$42.05$40.0021.1%6.7%15.6%43.0%26.2%4.2%-0.4%-69.7M448.7M-38.7M0.833.34123,636102,4354,177,4645,249,409
2013-11-25$41.50$40.0021.5%6.8%16.0%45.2%26.7%4.8%-0.2%-132.1M1.78B-37.0M1.963.0658,402114,5224,196,3415,208,549
2013-11-26$41.70$40.0021.0%6.6%16.1%42.5%23.8%4.5%-0.2%-125.6M1.38B-36.1M1.175.6838,84045,4954,217,9055,198,439
2013-11-27$41.85$41.0019.7%6.6%16.2%36.4%24.5%4.8%-0.0%-64.4M730.5M-35.7M0.735.2087,46563,9774,231,5515,212,499
2013-11-29$42.35$41.0019.9%6.7%16.4%37.0%23.0%4.2%0.0%12.7M-550.0M-36.2M4.8114.4417,65584,8994,274,4415,238,841