EEM Options History — May 2015

In May 2015, EEM traded between $41.11 and $43.39. ATM implied volatility averaged 16.6%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.6% (HV 20d: 14.0%). Max pain ranged from $42.00 to $42.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.79.

Notable Days

  • 2015-05-06: Highest Volume — 668,731 contracts
  • 2015-05-26: Largest IV spike — 19.9% change
  • 2015-05-06: Highest IV Rank — 44.7%
  • 2015-05-06: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.52$41.11$43.39$43.18$41.11
Max Pain$42.02$42.00$42.50$42.50$42.00
ATM IV16.6%14.8%18.8%16.3%17.9%
Expected Move4.8%4.2%5.4%4.6%4.9%
HV 20d14.0%12.4%15.3%15.3%13.0%
HV 60d16.0%15.7%16.3%16.3%16.2%
IV Rank30.5%18.2%44.7%28.5%39.3%
IV Percentile49.8%21.4%82.9%44.8%73.4%
Term Structure0.2%-0.6%0.8%0.5%-0.6%
VWIV17.4%14.4%19.6%16.3%18.0%
Skew 25d3.6%2.7%4.6%3.0%3.8%
Skew 10d7.3%4.6%9.2%6.9%7.1%
Call IV 25d15.1%13.4%17.3%14.9%16.1%
Put IV 25d18.7%16.4%21.1%17.9%19.9%
Bid-Ask Spread %3.182.145.972.143.03
Gamma HHI0.070.050.110.110.07
Net GEX31.6M-255.0M314.8M250.9M-255.0M
Net DEX-379.7M-2.86B2.78B-2.10B2.78B
Net VEX-43.4M-47.3M-41.0M-46.2M-41.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.752.781.882.08
Total Volume428,809.293,766668,731511,969511,568
Total OI7,695,983.056,955,3348,344,0067,845,7887,480,791

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$43.18$42.5016.3%4.6%15.3%28.5%16.3%3.0%0.5%250.9M-2.10B-46.2M1.882.14177,558334,4113,358,9834,486,805
2015-05-04$43.39$42.0015.6%4.6%14.8%23.7%16.1%3.3%0.3%314.8M-2.86B-45.7M0.753.7958,08443,5843,284,0434,514,096
2015-05-05$42.95$42.0017.3%5.1%15.2%35.2%19.2%3.6%0.2%209.5M-1.69B-46.5M1.243.05282,810350,6593,293,3954,549,017
2015-05-06$42.38$42.0018.8%5.4%14.5%44.7%19.6%3.8%-0.1%71.9M-189.2M-46.5M2.262.71205,028463,7033,276,2444,685,986
2015-05-07$42.27$42.0018.3%5.3%14.2%41.7%18.7%3.8%-0.0%-49.6M449.9M-47.3M1.802.93166,444299,0293,284,0134,890,486
2015-05-08$42.80$42.0015.9%4.7%14.9%25.4%18.9%3.6%0.8%155.1M-1.26B-44.9M1.645.97102,637167,9223,300,7164,888,458
2015-05-11$42.37$42.0016.4%4.8%15.2%29.0%17.6%3.4%0.2%34.5M-146.6M-44.3M2.254.9866,920150,8353,254,3664,792,355
2015-05-12$42.37$42.0016.8%5.0%15.1%31.4%19.1%3.9%0.6%-22.7M200.5M-44.9M1.922.79199,765382,5643,260,4714,876,969
2015-05-13$42.42$42.0016.6%4.8%14.9%30.7%17.2%3.6%0.1%404.4K-32.8M-44.2M1.912.83184,858352,2243,276,6584,955,455
2015-05-14$42.82$42.0015.5%4.5%14.8%22.9%15.7%3.6%0.2%110.2M-1.28B-42.7M1.922.91178,702343,0683,302,5185,022,156
2015-05-15$43.13$42.0014.8%4.2%13.1%18.2%15.5%3.1%-0.1%123.6M-2.16B-41.4M1.942.87189,536368,5863,296,8955,047,111
2015-05-18$42.72$42.0015.8%4.5%13.5%24.8%16.5%3.7%0.3%35.5M-608.6M-41.9M1.673.9269,702116,5962,596,4364,358,898
2015-05-19$42.75$42.0016.2%4.6%13.4%27.4%16.1%3.7%0.3%31.9M-661.3M-41.8M1.933.2131,96461,8022,641,4244,428,434
2015-05-20$42.74$42.0015.6%4.5%12.8%23.6%15.2%3.3%0.6%4.9M-612.1M-41.4M1.632.66178,860291,4732,663,8274,492,491
2015-05-21$42.62$42.0015.4%4.4%12.5%22.6%18.4%2.7%0.8%-50.7M-256.1M-41.7M1.842.84106,696196,2082,687,6614,541,761
2015-05-22$42.73$42.0015.3%4.3%12.4%21.4%14.4%2.8%0.7%7.9M-687.5M-41.0M1.243.45181,753224,4652,703,7564,546,004
2015-05-26$42.05$42.0018.3%5.1%13.4%41.7%18.9%4.5%-0.4%-98.4M813.1M-41.7M1.822.42189,817346,3612,688,5654,512,396
2015-05-27$42.05$42.0017.6%4.9%13.3%37.1%17.0%4.6%-0.5%-83.8M759.5M-41.8M1.382.51178,550247,0022,755,9604,539,357
2015-05-28$41.55$42.0018.0%5.1%13.3%39.8%18.7%4.5%-0.3%-159.4M1.93B-41.2M2.782.57151,776422,6642,782,6964,602,008
2015-05-29$41.11$42.0017.9%4.9%13.0%39.3%18.0%3.8%-0.6%-255.0M2.78B-41.1M2.083.03166,041345,5272,817,8004,662,991