EEM Options History — May 2014 In May 2014, EEM traded between $41.30 and $43.22. ATM implied volatility averaged 15.4%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.5% (HV 20d: 11.9%). Max pain ranged from $37.50 to $38.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.61.
Notable Days 2014-05-15 : Highest Volume — 797,682 contracts2014-05-27 : Largest IV spike — 12.7% change2014-05-30 : Highest IV Rank — 15.8%2014-05-01 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $42.39 $41.30 $43.22 $41.43 $42.54 Max Pain $37.76 $37.50 $38.00 $37.50 $38.00 ATM IV 15.4% 13.6% 16.6% 16.3% 16.6% Expected Move 5.4% 5.2% 5.8% 5.8% 5.3% HV 20d 11.9% 10.8% 12.8% 12.1% 12.4% HV 60d 14.9% 13.7% 15.9% 15.9% 14.1% IV Rank 6.7% 0.0% 15.8% 9.2% 15.8% IV Percentile 3.0% 0.0% 8.7% 5.2% 8.7% Term Structure 0.4% -0.6% 1.6% 0.3% -0.6% VWIV 22.1% 17.7% 32.6% 22.3% 19.7% Skew 25d 3.1% 2.5% 4.1% 3.4% 2.9% Skew 10d 6.9% 4.6% 10.5% 8.1% 5.1% Call IV 25d 14.1% 12.1% 15.4% 15.0% 15.0% Put IV 25d 17.2% 15.1% 19.0% 18.4% 17.9% Bid-Ask Spread % 8.04 6.76 15.52 7.63 6.76 Gamma HHI 0.08 0.06 0.22 0.06 0.07 Net GEX 166.2M -44.6M 483.9M -16.0M -44.6M Net DEX -2.49B -4.88B -256.6M -474.6M -1.05B Net VEX -41.0M -45.1M -37.1M -39.6M -45.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.61 0.59 3.24 1.25 3.01 Total Volume 330,848.381 116,929 797,682 162,102 425,746 Total OI 8,461,393.048 7,932,997 9,601,360 7,963,316 8,962,921
Daily Data (21 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 2014-05-01 $41.43 $37.50 16.3% 5.8% 12.1% 9.2% 22.3% 3.4% 0.3% -16.0M -474.6M -39.6M 1.25 7.63 71,907 90,195 3,142,099 4,821,217 2014-05-02 $41.61 $37.50 15.9% 5.7% 12.1% 7.2% 24.7% 3.0% 0.5% 37.7M -1.04B -39.5M 1.38 7.72 114,273 157,671 3,176,894 4,878,100 2014-05-05 $41.30 $37.50 16.4% 5.7% 12.4% 10.1% 25.0% 3.6% 0.3% -8.3M -256.6M -39.1M 2.29 7.62 35,539 81,390 3,202,523 4,847,719 2014-05-06 $41.57 $37.50 16.6% 5.7% 12.6% 11.3% 20.9% 3.1% -0.0% 66.3M -1.12B -38.7M 1.03 7.22 110,842 114,449 3,211,699 4,872,050 2014-05-07 $41.81 $37.50 16.0% 5.6% 12.0% 7.5% 20.1% 2.9% 0.3% 131.5M -1.82B -38.2M 1.80 7.25 84,911 153,071 3,286,280 4,899,835 2014-05-08 $41.73 $37.50 16.2% 5.6% 11.7% 8.9% 18.1% 3.1% 0.4% 111.8M -1.48B -38.5M 1.31 13.15 116,309 152,861 3,336,812 4,956,716 2014-05-09 $41.65 $37.50 15.8% 5.6% 11.3% 6.4% 23.3% 3.1% 0.3% 98.1M -1.39B -38.5M 0.89 6.82 157,016 139,607 3,388,586 5,009,672 2014-05-12 $42.34 $37.50 14.5% 5.4% 12.7% 0.0% 21.1% 2.9% 0.3% 267.6M -3.43B -38.2M 0.91 7.16 132,931 120,709 3,445,435 5,023,027 2014-05-13 $42.48 $37.50 14.3% 5.3% 12.8% 0.0% 21.4% 2.5% 0.1% 304.9M -3.90B -37.1M 0.70 7.45 281,142 197,557 3,491,686 5,036,060 2014-05-14 $42.75 $37.50 15.7% 5.3% 11.5% 7.9% 22.7% 2.5% 0.1% 365.6M -4.88B -38.4M 1.51 7.52 230,780 349,512 3,676,440 5,192,821 2014-05-15 $42.40 $38.00 15.4% 5.4% 11.5% 6.5% 22.9% 3.0% 0.2% 269.3M -3.45B -42.1M 0.59 8.30 501,438 296,244 3,771,742 5,404,661 2014-05-16 $42.88 $38.00 15.3% 5.2% 11.7% 5.5% 20.2% 2.8% 0.0% 483.9M -4.61B -43.3M 3.24 15.52 143,065 463,450 4,036,632 5,564,728 2014-05-19 $42.99 $38.00 13.9% 5.2% 11.5% 0.0% 20.1% 3.2% 1.1% 195.6M -3.12B -43.7M 0.85 7.33 116,909 99,088 3,212,635 4,720,362 2014-05-20 $42.55 $38.00 15.5% 5.3% 12.1% 8.9% 19.4% 4.1% 1.1% 142.9M -2.22B -43.1M 2.69 7.37 125,444 338,055 3,271,472 4,767,460 2014-05-21 $42.84 $38.00 14.4% 5.2% 11.9% 3.0% 19.2% 3.5% 1.3% 126.7M -2.70B -44.3M 2.03 7.51 82,879 168,278 3,330,952 5,033,676 2014-05-22 $43.22 $38.00 13.9% 5.2% 12.2% 0.1% 17.7% 3.0% 1.6% 232.3M -3.78B -42.9M 1.59 6.97 104,289 165,469 3,366,380 5,003,030 2014-05-23 $43.12 $38.00 13.6% 5.2% 10.8% 0.0% 32.6% 3.1% 1.6% 234.6M -3.44B -43.3M 1.67 7.70 71,065 118,786 3,417,527 5,081,556 2014-05-27 $42.80 $38.00 15.4% 5.2% 11.4% 9.2% 26.6% 3.1% -0.3% 165.6M -2.43B -42.1M 0.95 7.08 98,250 92,950 3,405,466 5,052,733 2014-05-28 $43.02 $38.00 16.0% 5.2% 11.1% 12.8% 24.6% 3.2% -0.5% 176.9M -2.88B -43.1M 3.21 6.80 108,078 346,454 3,427,933 5,102,675 2014-05-29 $43.14 $38.00 15.7% 5.2% 11.0% 11.1% 0.0% 3.2% 0.0% 147.2M -2.86B -43.2M 0.99 7.91 95,201 94,006 3,448,902 5,410,140 2014-05-30 $42.54 $38.00 16.6% 5.3% 12.4% 15.8% 19.7% 2.9% -0.6% -44.6M -1.05B -45.1M 3.01 6.76 106,284 319,462 3,501,162 5,461,759
« Apr 2014 | All History | Jun 2014 » Home EEM History May 2014