EEM Options History — July 2014

In July 2014, EEM traded between $43.47 and $45.06. ATM implied volatility averaged 13.5%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.7% (HV 20d: 9.8%). Max pain ranged from $40.50 to $45.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.16.

Notable Days

  • 2014-07-15: Highest Volume — 673,877 contracts
  • 2014-07-17: Largest IV spike — 22.5% change
  • 2014-07-31: Highest IV Rank — 36.6%
  • 2014-07-31: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.26$43.47$45.06$43.58$43.83
Max Pain$42.21$40.50$45.00$40.50$45.00
ATM IV13.5%12.1%17.3%12.6%17.3%
Expected Move4.9%4.7%5.4%4.8%5.4%
HV 20d9.8%8.0%12.9%9.1%12.9%
HV 60d10.8%10.2%11.4%11.2%11.4%
IV Rank8.6%0.0%36.6%0.0%36.6%
IV Percentile6.5%0.0%28.6%0.0%28.6%
Term Structure0.2%-0.2%0.6%0.5%-0.2%
VWIV18.5%15.0%23.4%17.7%18.6%
Skew 25d3.2%2.5%4.1%3.0%4.0%
Skew 10d7.1%4.1%9.4%6.4%8.5%
Call IV 25d12.2%10.9%16.2%11.6%16.2%
Put IV 25d15.5%13.6%20.2%14.6%20.2%
Bid-Ask Spread %9.226.8314.819.238.02
Gamma HHI0.080.060.090.070.06
Net GEX157.2M-62.0M266.9M47.7M-62.0M
Net DEX-2.23B-3.55B-224.2M-1.11B-224.2M
Net VEX-42.1M-49.0M-38.4M-40.1M-49.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.576.671.492.45
Total Volume242,71968,275673,877143,272647,446
Total OI7,601,579.5916,986,7958,479,8716,986,7958,479,871

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$43.58$40.5012.6%4.8%9.1%0.0%17.7%3.0%0.5%47.7M-1.11B-40.1M1.499.2357,42685,8462,845,5004,141,295
2014-07-02$43.90$40.5012.5%4.8%9.1%0.0%16.9%2.8%0.0%146.4M-1.93B-39.2M2.968.6637,026109,5572,861,0664,139,869
2014-07-03$44.16$40.5012.4%4.7%8.5%0.0%19.8%2.5%0.4%169.3M-2.39B-38.4M2.0510.5622,39345,8822,872,5664,150,296
2014-07-07$44.14$40.5012.7%4.7%8.0%2.3%15.0%2.6%-0.0%180.5M-2.26B-38.4M1.589.3260,79596,2542,870,3024,152,040
2014-07-08$44.01$40.5013.3%4.9%8.1%6.2%19.6%2.8%-0.1%122.0M-1.96B-39.3M1.419.2963,92189,8122,906,8734,203,403
2014-07-09$44.20$40.5013.1%4.9%8.0%4.9%18.3%3.0%0.1%184.0M-2.40B-39.6M1.638.4669,067112,8502,937,1584,266,659
2014-07-10$43.92$40.5013.1%4.9%8.2%4.9%16.7%3.2%-0.1%129.3M-1.90B-39.9M2.597.6643,122111,6032,996,2234,296,305
2014-07-11$43.89$40.5012.8%4.9%8.0%3.2%18.9%2.8%0.1%181.0M-2.04B-39.6M6.6712.6017,257115,0483,015,2724,328,888
2014-07-14$44.22$40.5012.8%4.9%8.4%2.7%18.3%2.8%0.4%266.9M-2.62B-38.6M1.937.9240,38877,8953,003,9744,355,076
2014-07-15$44.15$40.5012.9%4.9%8.1%3.6%18.1%3.1%0.4%243.1M-2.42B-39.1M5.227.93108,354565,5233,024,3914,412,779
2014-07-16$44.34$40.5012.1%4.8%8.2%0.0%21.0%3.4%0.6%243.3M-2.61B-40.9M4.238.4429,731125,6843,057,0914,910,773
2014-07-17$43.47$41.0014.8%5.1%10.1%18.9%21.8%3.9%0.3%-42.0M-488.8M-43.3M1.8610.8199,776185,2243,046,4544,957,561
2014-07-18$44.00$41.0013.3%5.0%10.8%8.5%18.7%4.1%0.5%145.0M-1.84B-43.1M1.5811.23120,355190,0883,096,1585,068,974
2014-07-21$44.31$0.0013.1%5.0%11.0%7.1%16.5%3.8%0.4%136.2M-2.05B-42.9M1.248.0097,853121,6862,944,4684,258,858
2014-07-22$44.68$44.0013.3%4.9%11.3%8.4%17.3%3.1%0.1%208.2M-3.08B-42.6M1.0014.81247,560247,0783,013,2684,461,116
2014-07-23$44.74$45.0013.4%4.9%11.2%9.5%17.6%3.2%0.5%211.2M-3.05B-43.9M1.967.4853,117104,0063,156,3404,620,425
2014-07-24$44.90$45.0013.4%4.9%10.9%9.1%17.5%3.2%0.2%214.8M-3.21B-45.2M1.228.9155,38767,5293,193,9834,681,509
2014-07-25$44.79$45.0013.5%5.0%11.0%10.0%23.4%3.2%0.4%179.1M-2.78B-45.7M0.688.79171,650117,4283,224,7604,724,418
2014-07-28$45.06$45.0014.1%5.0%11.1%13.9%16.6%3.5%-0.1%241.8M-3.55B-45.5M0.579.32177,880101,8283,312,7384,779,360
2014-07-29$44.76$45.0014.5%5.0%11.4%16.9%16.5%3.1%0.0%185.0M-2.88B-45.9M1.688.6445,96677,2883,334,9464,822,945
2014-07-30$44.61$45.0015.3%5.1%11.4%22.4%21.8%3.8%-0.2%127.8M-2.37B-46.5M1.456.83133,004192,2353,347,5564,961,244
2014-07-31$43.83$45.0017.3%5.4%12.9%36.6%18.6%4.0%-0.2%-62.0M-224.2M-49.0M2.458.02187,877459,5693,399,3795,080,492