EEM Options History — September 2014

In September 2014, EEM traded between $41.56 and $45.85. ATM implied volatility averaged 15.8%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.5% (HV 20d: 12.3%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.59.

Notable Days

  • 2014-09-09: Highest Volume — 765,800 contracts
  • 2014-09-29: Largest IV spike — 11.9% change
  • 2014-09-29: Highest IV Rank — 50.7%
  • 2014-09-29: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.79$41.56$45.85$44.99$41.56
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV15.8%13.2%19.3%13.5%18.6%
Expected Move5.0%4.7%5.3%4.8%5.3%
HV 20d12.3%10.1%15.7%11.4%15.7%
HV 60d12.2%10.9%13.8%10.9%13.8%
IV Rank25.9%7.6%50.7%10.0%45.5%
IV Percentile29.4%9.1%61.1%13.1%54.8%
Term Structure0.3%-0.7%1.4%0.4%0.4%
VWIV19.1%15.3%23.2%17.4%18.3%
Skew 25d4.1%2.9%5.0%3.5%4.6%
Skew 10d8.7%6.1%10.8%6.9%9.6%
Call IV 25d14.3%12.3%17.3%12.4%16.9%
Put IV 25d18.4%15.2%22.3%15.9%21.5%
Bid-Ask Spread %7.515.669.259.257.26
Gamma HHI0.100.070.120.080.11
Net GEX-242.8M-549.4M337.3M124.4M-544.3M
Net DEX1.69B-4.10B6.50B-1.91B6.50B
Net VEX-38.5M-41.7M-36.0M-38.7M-36.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.906.443.216.44
Total Volume455,167.381152,319765,800194,079362,390
Total OI8,844,771.5247,381,62710,101,4028,517,2747,927,138

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$44.99$45.0013.5%4.8%11.4%10.0%17.4%3.5%0.4%124.4M-1.91B-38.7M3.219.2546,125147,9543,241,9205,275,354
2014-09-03$45.58$45.0014.0%4.7%10.5%13.7%17.7%3.3%0.2%235.5M-3.34B-38.2M1.608.96151,009241,0833,256,1295,329,819
2014-09-04$45.47$45.0013.8%4.9%10.1%12.1%18.3%3.4%0.0%231.0M-3.17B-38.6M1.418.8763,10689,2133,346,3815,420,420
2014-09-05$45.85$45.0013.2%4.7%10.1%7.6%19.3%2.9%0.5%337.3M-4.10B-38.1M3.258.0195,509310,0353,360,9435,458,567
2014-09-08$45.28$45.0014.1%4.9%11.4%13.9%17.3%3.5%0.8%239.3M-2.71B-38.7M0.905.76107,30296,9583,408,8995,606,791
2014-09-09$44.85$45.0015.3%5.0%10.7%22.8%20.5%3.7%-0.4%89.4M-1.35B-39.1M2.438.94223,541542,2593,460,5075,570,991
2014-09-10$44.56$45.0015.8%4.9%11.0%25.9%18.6%4.0%-0.7%-117.5M-81.5M-39.9M4.198.0485,817359,9393,417,4385,936,218
2014-09-11$44.25$45.0016.7%5.1%11.0%32.1%19.0%4.0%0.2%-253.1M971.1M-40.5M2.126.45180,138381,6983,426,9506,132,884
2014-09-12$43.85$45.0016.6%5.1%11.4%31.9%22.8%4.6%-0.3%-476.8M2.79B-41.7M2.926.64165,178481,8243,452,4366,364,119
2014-09-15$43.57$45.0017.1%5.1%11.5%35.0%19.1%4.8%0.9%-468.4M3.44B-40.5M0.996.42198,455197,3473,458,7226,378,287
2014-09-16$44.14$45.0017.2%5.2%12.1%35.7%20.7%5.0%0.3%-279.7M1.49B-40.5M2.617.15177,991464,8003,409,2516,431,915
2014-09-17$43.73$45.0015.2%5.0%12.3%21.8%20.8%4.7%1.4%-443.7M2.81B-39.3M2.268.55137,191310,1643,471,8376,436,074
2014-09-18$43.79$45.0014.4%5.0%12.3%16.7%19.1%3.3%0.8%-549.4M2.55B-38.3M2.476.99172,189425,7953,526,4616,574,216
2014-09-19$43.50$45.0014.8%5.0%12.4%18.9%18.3%3.5%-0.2%-309.4M3.36B-36.5M1.916.70178,025339,7683,550,6936,550,709
2014-09-22$42.79$45.0015.8%4.9%13.5%26.2%19.7%4.5%0.1%-408.8M3.87B-36.7M2.907.51137,942399,4282,587,0254,794,602
2014-09-23$42.56$45.0016.6%4.9%13.1%31.5%21.3%4.0%0.3%-520.1M4.74B-37.9M1.787.44212,816378,7642,637,6995,043,548
2014-09-24$42.98$45.0015.6%4.9%13.5%24.4%15.3%4.1%0.6%-421.2M3.09B-38.2M2.636.6258,636154,4162,743,6615,193,999
2014-09-25$42.28$45.0016.7%5.2%14.0%32.2%17.1%4.8%0.3%-540.3M5.37B-37.7M4.908.4371,650350,9542,691,8625,143,842
2014-09-26$42.48$45.0017.3%5.3%14.2%36.3%18.2%4.3%0.2%-498.4M4.69B-37.9M1.828.14145,650264,7012,730,8465,133,075
2014-09-29$41.56$45.0019.3%5.3%15.7%50.7%23.2%5.0%-0.1%-524.5M6.47B-36.5M1.665.66244,880405,8752,739,5135,118,461
2014-09-30$41.56$45.0018.6%5.3%15.7%45.5%18.3%4.6%0.4%-544.3M6.50B-36.0M6.447.2648,687313,7032,748,9525,178,186