EEM Options History — November 2014 In November 2014, EEM traded between $40.95 and $42.38. ATM implied volatility averaged 16.5%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.0% (HV 20d: 15.5%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.03.
Notable Days 2014-11-21 : Highest Volume — 618,648 contracts2014-11-07 : Largest IV drop — 11.0% change2014-11-06 : Highest IV Rank — 41.0%2014-11-05 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $41.49 $40.95 $42.38 $41.76 $41.50 Max Pain $42.84 $42.00 $44.00 $44.00 $42.00 ATM IV 16.5% 15.1% 18.2% 17.8% 16.2% Expected Move 4.8% 4.5% 5.2% 4.9% 4.8% HV 20d 15.5% 13.3% 17.6% 17.6% 17.0% HV 60d 15.9% 15.4% 17.3% 15.8% 17.3% IV Rank 29.7% 20.2% 41.0% 38.1% 27.7% IV Percentile 36.4% 23.0% 50.4% 46.4% 36.1% Term Structure -0.0% -0.6% 0.8% -0.1% -0.6% VWIV 18.1% 15.8% 21.4% 18.2% 17.0% Skew 25d 3.0% 2.5% 3.4% 3.1% 3.0% Skew 10d 5.8% 4.8% 7.0% 7.0% 6.2% Call IV 25d 15.2% 13.4% 17.0% 16.7% 14.7% Put IV 25d 18.2% 16.6% 20.2% 19.8% 17.7% Bid-Ask Spread % 7.77 4.75 17.71 7.09 17.71 Gamma HHI 0.10 0.07 0.15 0.07 0.13 Net GEX -138.0M -301.3M 241.0M -91.5M 82.6M Net DEX 2.59B -47.5M 4.14B 1.86B 2.15B Net VEX -29.0M -32.6M -26.9M -32.3M -27.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.63 2.24 1.43 2.24 Total Volume 367,951.684 94,924 618,648 452,504 94,924 Total OI 7,623,792.368 6,672,520 8,096,335 7,474,933 7,029,089
Daily Data (19 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 2014-11-03 $41.76 $44.00 17.8% 4.9% 17.6% 38.1% 18.2% 3.1% -0.1% -91.5M 1.86B -32.3M 1.43 7.09 185,897 266,607 3,093,941 4,380,992 2014-11-04 $41.84 $43.00 17.7% 5.0% 17.5% 37.6% 18.4% 3.3% 0.2% -85.3M 1.68B -32.6M 1.29 6.65 206,384 267,254 3,175,224 4,454,177 2014-11-05 $41.48 $43.00 17.8% 5.2% 16.9% 38.4% 17.5% 3.4% -0.1% -148.0M 2.57B -31.8M 0.97 6.07 244,877 238,265 3,179,692 4,494,314 2014-11-06 $40.96 $43.00 18.2% 5.1% 16.5% 41.0% 20.0% 3.2% -0.0% -242.8M 3.97B -31.3M 0.85 6.28 206,573 175,885 3,201,845 4,529,374 2014-11-07 $41.27 $43.00 16.2% 4.9% 15.7% 27.6% 21.4% 2.9% 0.3% -211.7M 3.28B -30.2M 0.78 5.68 244,136 190,349 3,181,269 4,542,067 2014-11-10 $41.33 $43.00 16.0% 4.8% 15.6% 26.0% 20.1% 2.9% 0.4% -212.4M 3.16B -29.1M 0.78 6.74 243,132 190,528 3,192,765 4,506,013 2014-11-11 $41.31 $43.00 15.7% 4.8% 15.3% 24.3% 19.1% 2.7% 0.4% -213.0M 3.15B -28.0M 0.63 6.38 225,767 143,058 3,219,407 4,487,156 2014-11-12 $41.20 $43.00 16.7% 4.9% 14.1% 30.9% 17.7% 2.6% 0.6% -219.1M 3.44B -29.6M 0.81 6.60 193,784 157,216 3,271,557 4,590,617 2014-11-13 $41.11 $43.00 16.6% 5.0% 13.5% 30.0% 16.8% 2.5% 0.8% -241.0M 3.64B -29.2M 0.82 6.41 272,576 222,940 3,306,244 4,627,025 2014-11-14 $41.46 $43.00 16.0% 4.9% 13.3% 26.6% 18.9% 2.5% 0.7% -154.5M 2.76B -29.0M 1.64 8.07 64,240 105,364 3,336,489 4,612,253 2014-11-17 $40.95 $43.00 16.9% 4.8% 14.1% 32.2% 18.1% 3.4% -0.4% -299.7M 4.14B -27.8M 0.86 6.04 150,127 129,864 3,321,755 4,597,590 2014-11-18 $41.22 $43.00 16.9% 4.8% 14.2% 32.4% 17.8% 3.1% -0.1% -269.3M 3.59B -27.3M 0.65 4.75 184,806 119,640 3,310,320 4,622,225 2014-11-19 $41.20 $43.00 16.8% 4.8% 14.0% 31.6% 17.3% 3.0% -0.3% -292.6M 3.53B -26.9M 1.25 7.90 159,042 199,172 3,329,445 4,636,492 2014-11-20 $41.15 $43.00 16.5% 4.8% 14.0% 30.0% 20.2% 3.4% -0.4% -301.3M 3.66B -27.2M 0.76 6.19 280,940 214,838 3,394,319 4,693,217 2014-11-21 $42.38 $43.00 15.5% 4.6% 17.2% 23.0% 16.4% 2.6% -0.4% 241.0M -47.5M -27.5M 0.71 7.50 361,348 257,300 3,400,618 4,695,717 2014-11-24 $42.09 $42.00 15.9% 4.6% 16.9% 25.5% 16.7% 2.9% -0.4% 1.8M 871.2M -27.7M 0.80 11.55 142,907 114,392 2,704,603 3,967,917 2014-11-25 $41.81 $42.00 15.1% 4.6% 15.1% 20.4% 15.8% 3.2% -0.5% -14.6M 1.35B -27.4M 1.51 5.83 152,471 230,884 2,793,835 4,024,121 2014-11-26 $42.35 $42.00 15.1% 4.5% 15.8% 20.2% 16.0% 3.1% -0.4% 50.0M 423.5M -28.1M 0.73 14.18 88,700 64,895 2,847,628 4,100,743 2014-11-28 $41.50 $42.00 16.2% 4.8% 17.0% 27.7% 17.0% 3.0% -0.6% 82.6M 2.15B -27.2M 2.24 17.71 29,337 65,587 2,891,356 4,137,733
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