EEM Options History — August 2015

In August 2015, EEM traded between $31.51 and $36.94. ATM implied volatility averaged 25.5%, placing in the 69.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.3% (HV 20d: 21.3%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2015-08-20: Highest Volume — 955,442 contracts
  • 2015-08-24: Largest IV spike — 35.5% change
  • 2015-08-20: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.80$31.51$36.94$36.49$33.82
Max Pain$39.45$38.00$41.00$38.50$38.00
ATM IV25.5%18.9%40.0%20.3%32.4%
Expected Move7.5%5.6%11.8%5.8%10.0%
HV 20d21.3%15.9%29.7%23.8%29.2%
HV 60d19.9%18.1%23.8%18.4%23.8%
IV Rank69.4%45.0%100.0%54.6%71.9%
IV Percentile94.6%78.2%100.0%88.9%99.2%
Term Structure-0.1%-1.6%1.9%0.2%-1.2%
VWIV27.0%18.9%42.1%21.2%39.1%
Skew 25d6.2%4.0%11.5%4.2%9.3%
Skew 10d12.6%7.7%24.6%10.1%20.7%
Call IV 25d23.3%17.5%35.3%18.8%29.0%
Put IV 25d29.5%21.6%46.8%22.9%38.2%
Bid-Ask Spread %4.192.358.054.615.16
Gamma HHI0.100.080.110.080.09
Net GEX-250.1M-304.7M-171.1M-268.5M-195.0M
Net DEX8.46B6.01B11.47B6.70B9.08B
Net VEX-32.1M-36.2M-26.7M-32.0M-36.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.502.160.891.80
Total Volume632,194219,764955,442219,764790,266
Total OI8,291,576.197,059,1959,558,5757,059,1959,558,575

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$36.49$38.5020.3%5.8%23.8%54.6%21.2%4.2%0.2%-268.5M6.70B-32.0M0.894.61116,351103,4132,778,0684,281,127
2015-08-04$36.60$38.5020.0%5.7%23.5%52.5%18.9%4.1%0.0%-263.2M6.55B-32.6M1.113.45181,552200,9002,823,1674,327,969
2015-08-05$36.65$38.5019.7%5.6%20.0%50.3%20.0%4.1%-0.3%-265.8M6.47B-32.7M0.883.00242,149213,3342,832,3444,370,841
2015-08-06$36.38$41.0020.6%6.0%18.6%56.8%23.9%4.3%-0.1%-276.1M6.86B-32.6M1.404.62301,806423,7972,892,5294,411,080
2015-08-07$36.29$41.0019.8%5.8%15.9%51.0%20.0%4.0%0.1%-273.2M7.02B-33.1M0.923.36318,171293,5592,975,1704,588,538
2015-08-10$36.94$41.0018.9%5.7%17.2%45.0%20.4%4.1%1.2%-235.8M6.01B-34.2M0.832.94282,903233,4903,006,1204,589,586
2015-08-11$36.04$40.5021.7%6.4%18.9%63.8%24.0%4.9%0.5%-272.4M7.25B-32.7M2.164.56133,202287,7923,078,1404,600,864
2015-08-12$35.52$40.5022.9%6.8%19.1%72.1%24.3%5.1%0.9%-298.7M8.09B-32.6M1.033.41337,336346,7333,151,7514,731,565
2015-08-13$35.51$40.5022.1%6.8%18.1%66.7%22.4%4.7%1.9%-294.1M7.98B-33.6M0.502.96622,874314,2163,309,9134,838,230
2015-08-14$35.52$40.0021.2%6.4%18.1%60.7%22.1%4.6%1.7%-268.7M7.81B-34.5M0.572.86428,026243,0063,582,7704,902,228
2015-08-17$35.16$40.0022.4%6.5%18.2%68.9%22.6%4.7%-0.2%-304.7M8.57B-32.5M1.252.71276,393344,7553,569,4024,959,593
2015-08-18$34.77$40.0022.4%6.5%18.3%68.4%23.5%4.7%-0.4%-298.7M9.08B-31.0M0.793.30271,702215,1723,606,3364,889,623
2015-08-19$34.26$40.0024.4%7.0%18.2%82.5%23.8%5.7%-0.4%-291.9M9.64B-30.2M1.056.37288,208303,6933,675,1644,916,624
2015-08-20$33.75$39.0027.4%7.9%18.5%100.0%26.8%5.8%0.0%-268.5M10.16B-30.3M1.502.35381,456573,9863,877,0145,096,633
2015-08-21$32.74$39.5029.5%8.4%20.4%100.0%29.5%6.5%0.4%-219.2M11.47B-29.0M0.733.84398,744291,6623,944,4565,380,959
2015-08-24$31.51$39.0040.0%11.8%22.8%100.0%42.1%11.5%-1.1%-171.1M10.63B-26.7M1.678.05337,815564,2443,481,5714,929,236
2015-08-25$32.03$38.5037.3%11.2%23.5%90.1%38.5%10.5%-1.6%-186.6M10.41B-27.6M1.366.26213,467289,9273,604,3575,020,918
2015-08-26$32.85$38.5032.0%9.5%25.4%71.2%34.7%9.5%-0.8%-210.1M10.13B-29.9M1.434.47332,607475,1213,685,3905,184,192
2015-08-27$34.12$38.0029.0%8.7%29.7%60.2%30.7%8.1%-1.0%-202.8M8.67B-35.2M0.843.84338,811284,0713,844,9885,401,227
2015-08-28$33.76$38.0032.3%9.8%29.5%71.3%38.1%9.6%-1.0%-185.9M9.12B-35.9M1.455.84276,945402,4193,925,9885,498,854
2015-08-31$33.82$38.0032.4%10.0%29.2%71.9%39.1%9.3%-1.2%-195.0M9.08B-36.2M1.805.16282,315507,9513,966,2635,592,312