EEM Options History — April 2015 In April 2015, EEM traded between $40.60 and $44.06. ATM implied volatility averaged 17.2%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.0% (HV 20d: 17.2%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.70.
Notable Days 2015-04-02 : Highest Volume — 814,335 contracts2015-04-17 : Largest IV spike — 12.2% change2015-04-09 : Highest IV Rank — 43.6%2015-04-09 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $42.82 $40.60 $44.06 $40.60 $42.94 Max Pain $41.26 $40.00 $42.50 $40.00 $42.50 ATM IV 17.2% 16.0% 18.6% 17.3% 17.5% Expected Move 4.9% 4.6% 5.3% 5.1% 5.1% HV 20d 17.2% 14.2% 19.7% 18.9% 16.1% HV 60d 17.6% 16.3% 18.2% 18.0% 16.3% IV Rank 34.4% 26.1% 43.6% 34.8% 36.5% IV Percentile 60.1% 38.9% 78.2% 61.1% 69.4% Term Structure 0.1% -0.3% 0.4% 0.0% 0.1% VWIV 17.4% 16.2% 18.9% 18.6% 18.0% Skew 25d 3.0% 2.3% 3.6% 3.6% 3.4% Skew 10d 6.2% 4.2% 8.1% 8.1% 6.9% Call IV 25d 16.1% 15.1% 17.6% 15.9% 16.1% Put IV 25d 19.1% 17.5% 20.7% 19.5% 19.5% Bid-Ask Spread % 2.85 2.02 5.04 3.25 2.26 Gamma HHI 0.10 0.07 0.14 0.08 0.10 Net GEX 228.8M 25.0M 415.4M 25.0M 229.4M Net DEX -2.57B -4.52B 727.7M 727.7M -1.64B Net VEX -43.7M -47.0M -41.4M -41.7M -47.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.70 0.61 3.19 2.79 2.28 Total Volume 556,568.524 344,460 814,335 585,151 578,930 Total OI 7,177,151.333 6,481,136 7,780,384 6,481,136 7,780,384
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 2015-04-01 $40.60 $40.00 17.3% 5.1% 18.9% 34.8% 18.6% 3.6% 0.0% 25.0M 727.7M -41.7M 2.79 3.25 154,510 430,641 2,373,966 4,107,170 2015-04-02 $41.28 $40.00 16.5% 4.9% 19.7% 29.4% 16.4% 3.1% 0.1% 71.3M -440.4M -42.0M 1.72 2.78 298,849 515,486 2,404,719 4,147,125 2015-04-06 $41.83 $40.00 17.1% 4.9% 19.0% 33.8% 17.8% 2.9% 0.2% 133.5M -1.42B -41.4M 1.35 3.13 287,719 388,222 2,517,676 4,159,817 2015-04-07 $41.62 $40.00 17.1% 4.9% 19.0% 33.4% 16.3% 3.1% 0.1% 132.1M -1.05B -41.6M 1.11 3.16 297,221 331,258 2,622,320 4,209,589 2015-04-08 $42.43 $40.00 18.3% 5.2% 18.4% 41.9% 18.0% 3.0% 0.1% 168.6M -2.29B -42.4M 0.61 5.04 257,127 156,221 2,689,926 4,241,075 2015-04-09 $42.80 $40.50 18.6% 5.3% 18.4% 43.6% 18.2% 3.1% -0.1% 210.3M -3.07B -43.4M 1.44 3.83 279,457 401,767 2,836,482 4,322,818 2015-04-10 $42.87 $40.50 17.2% 5.0% 18.4% 34.4% 17.3% 2.6% 0.1% 220.9M -3.16B -43.6M 2.45 3.49 161,195 395,660 2,885,533 4,406,729 2015-04-13 $42.63 $40.50 18.0% 5.2% 17.4% 40.0% 18.9% 2.9% 0.2% 201.0M -2.56B -43.6M 1.42 3.90 316,670 448,274 2,847,388 4,357,853 2015-04-14 $42.80 $41.00 17.0% 4.9% 17.3% 33.1% 18.3% 2.5% 0.4% 201.8M -2.88B -43.9M 1.38 3.46 206,951 284,674 2,973,363 4,472,047 2015-04-15 $43.08 $41.50 16.6% 4.8% 17.1% 30.2% 16.5% 2.3% 0.4% 240.2M -3.42B -43.6M 2.37 2.55 123,935 293,805 3,009,354 4,502,088 2015-04-16 $43.56 $41.50 16.0% 4.6% 16.3% 26.1% 16.3% 2.4% 0.4% 263.7M -4.17B -42.0M 1.59 2.44 180,111 287,127 2,980,583 4,593,308 2015-04-17 $42.68 $41.50 17.9% 5.1% 17.6% 39.2% 18.7% 2.8% 0.4% 189.7M -2.54B -44.3M 3.19 2.70 165,558 527,404 3,071,435 4,635,576 2015-04-20 $42.68 $42.00 17.6% 5.1% 17.3% 37.3% 17.8% 2.8% -0.3% 147.2M -1.47B -44.5M 0.86 2.15 207,345 178,690 2,821,346 4,002,653 2015-04-21 $42.93 $42.00 17.3% 5.0% 17.4% 35.3% 17.5% 3.1% -0.1% 215.1M -2.05B -44.4M 2.36 2.24 102,607 241,853 2,894,085 4,033,057 2015-04-22 $43.36 $42.00 16.6% 4.7% 17.5% 30.4% 16.2% 3.3% -0.3% 281.0M -2.84B -44.3M 1.23 2.08 173,871 214,035 2,941,907 4,109,190 2015-04-23 $43.68 $42.00 16.7% 4.9% 15.9% 31.3% 16.9% 3.0% 0.0% 328.0M -3.67B -43.9M 1.14 2.25 220,694 251,983 2,994,580 4,131,723 2015-04-24 $43.82 $42.00 16.9% 4.6% 15.2% 32.4% 17.5% 3.2% 0.0% 345.9M -3.92B -44.2M 2.17 2.28 162,111 351,197 3,041,975 4,221,324 2015-04-27 $43.96 $42.00 17.1% 4.9% 15.1% 33.4% 17.1% 3.2% 0.2% 380.7M -4.25B -43.9M 0.63 2.02 431,232 269,592 3,087,394 4,205,677 2015-04-28 $44.06 $42.50 16.8% 4.8% 14.2% 31.9% 16.5% 3.0% 0.2% 415.4M -4.52B -45.1M 1.55 2.36 200,675 310,391 3,247,802 4,250,887 2015-04-29 $43.56 $42.50 17.2% 4.9% 15.1% 34.3% 17.4% 3.1% 0.3% 403.9M -3.29B -45.8M 2.15 2.41 191,692 411,199 3,276,176 4,312,078 2015-04-30 $42.94 $42.50 17.5% 5.1% 16.1% 36.5% 18.0% 3.4% 0.1% 229.4M -1.64B -47.0M 2.28 2.26 176,717 402,213 3,327,408 4,452,976
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