EEM Options History — February 2014

In February 2014, EEM traded between $37.13 and $39.79. ATM implied volatility averaged 22.2%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.2% (HV 20d: 21.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 2.29.

Notable Days

  • 2014-02-19: Highest Volume — 1,011,147 contracts
  • 2014-02-28: Largest IV spike — 7.1% change
  • 2014-02-03: Highest IV Rank — 69.4%
  • 2014-02-21: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.88$37.13$39.79$37.13$39.48
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV22.2%20.4%26.4%26.4%21.8%
Expected Move6.4%6.2%6.9%6.8%6.3%
HV 20d21.0%18.6%22.9%19.0%19.8%
HV 60d19.6%19.0%20.3%19.0%19.5%
IV Rank48.4%39.4%69.4%69.4%46.6%
IV Percentile72.8%52.8%98.0%98.0%72.6%
Term Structure0.1%-0.5%0.8%-0.5%0.2%
VWIV23.1%21.0%26.3%24.1%26.3%
Skew 25d5.6%4.6%7.5%7.5%5.0%
Skew 10d12.2%10.2%17.1%17.1%11.6%
Call IV 25d20.0%18.3%23.3%23.3%19.9%
Put IV 25d25.6%23.2%30.8%30.8%24.9%
Bid-Ask Spread %7.634.1744.335.945.43
Gamma HHI0.080.060.140.090.06
Net GEX-146.9M-322.5M89.9M-322.5M-130.0M
Net DEX2.83B814.8M6.61B6.61B1.68B
Net VEX-33.9M-39.5M-28.0M-28.0M-39.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.290.626.354.633.55
Total Volume476,739.421152,5181,011,147638,905323,601
Total OI7,622,462.5266,706,1208,790,8516,706,1207,868,660

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-02-03$37.13$40.0026.4%6.8%19.0%69.4%24.1%7.5%-0.5%-322.5M6.61B-28.0M4.635.94113,414525,4912,443,3414,262,779
2014-02-04$37.76$40.0024.5%6.6%20.2%60.2%23.1%7.0%0.4%-315.1M5.55B-30.1M2.026.67210,031424,7962,501,8824,402,233
2014-02-05$37.67$40.0025.2%6.6%20.1%63.8%24.5%7.0%-0.1%-300.3M5.36B-30.0M0.864.69286,584245,2162,630,2844,354,178
2014-02-06$38.46$40.0023.6%6.6%21.8%55.7%23.2%5.7%0.8%-207.3M3.64B-32.3M0.627.61436,614270,9682,796,0644,428,273
2014-02-07$38.71$40.0023.2%6.4%21.9%53.4%22.0%5.8%-0.0%-139.9M2.86B-33.5M1.714.71134,329230,1503,100,2024,557,846
2014-02-10$38.32$40.0022.3%6.5%21.2%49.3%22.1%6.3%-0.2%-189.1M4.01B-31.5M1.556.6459,79392,7253,059,1174,452,063
2014-02-11$39.13$40.0022.0%6.3%22.5%47.5%22.4%5.2%-0.4%-90.1M2.00B-32.3M2.474.37175,332432,9493,067,4844,478,599
2014-02-12$39.13$40.0021.9%6.4%22.1%47.3%22.0%5.2%0.1%-69.4M1.99B-32.7M0.995.78250,912247,8943,120,3814,549,971
2014-02-13$39.15$40.0021.3%6.3%22.1%44.2%22.0%5.0%-0.2%-75.9M2.06B-32.7M2.464.41105,968261,0823,209,7684,652,174
2014-02-14$39.64$40.0020.5%6.2%22.6%40.2%21.6%5.0%-0.3%-46.4M814.8M-33.3M1.504.45135,280202,8623,220,0154,756,569
2014-02-18$39.32$40.0020.8%6.3%22.7%41.9%24.1%5.5%0.5%-108.2M1.97B-31.9M1.068.53218,550232,0913,101,2904,646,223
2014-02-19$39.01$40.0021.9%6.4%22.9%47.2%21.0%5.5%0.3%-162.3M2.81B-32.6M1.886.26350,833660,3143,236,4144,761,824
2014-02-20$39.13$40.0021.1%6.3%22.6%43.2%25.3%5.5%0.4%-160.8M2.42B-34.8M6.356.5795,529606,1473,374,3084,994,709
2014-02-21$39.44$40.0020.4%6.9%21.3%39.7%22.7%4.6%0.5%89.9M1.85B-37.4M1.3244.33141,028186,4153,402,1425,388,709
2014-02-24$39.45$0.0020.5%6.2%18.6%39.9%21.3%4.9%0.0%-119.2M1.65B-36.3M1.074.17246,060263,2342,720,9634,402,368
2014-02-25$39.07$40.0021.7%6.4%18.9%45.8%21.6%5.0%0.0%-148.4M2.46B-38.0M3.724.8462,364232,2752,909,5564,559,846
2014-02-26$38.96$40.0021.6%6.3%18.9%45.3%25.7%5.3%-0.0%-188.4M2.79B-38.3M4.404.6765,969289,9402,938,3334,693,534
2014-02-27$39.79$40.0020.4%6.2%19.4%39.4%23.0%4.7%0.3%-106.9M1.18B-39.5M1.404.98100,752140,5572,954,4734,830,213
2014-02-28$39.48$40.0021.8%6.3%19.8%46.6%26.3%5.0%0.2%-130.0M1.68B-39.5M3.555.4371,152252,4493,019,7044,848,956