EEM Options History — September 2015

In September 2015, EEM traded between $31.73 and $34.59. ATM implied volatility averaged 31.0%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 1.9% (HV 20d: 32.9%). Max pain ranged from $35.00 to $38.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-09-17: Highest Volume — 1,294,699 contracts
  • 2015-09-28: Largest IV spike — 16.1% change
  • 2015-09-01: Highest IV Rank — 94.1%
  • 2015-09-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.08$31.73$34.59$32.49$32.83
Max Pain$35.45$35.00$38.50$38.50$35.00
ATM IV31.0%25.9%38.4%38.4%29.3%
Expected Move8.9%7.4%12.0%12.0%8.6%
HV 20d32.9%27.0%36.2%31.8%27.0%
HV 60d26.6%25.0%27.5%25.0%27.5%
IV Rank65.1%45.5%94.1%94.1%58.3%
IV Percentile95.1%91.3%99.6%99.6%92.9%
Term Structure-0.2%-1.0%0.9%-0.8%-0.3%
VWIV32.0%26.5%45.8%45.8%31.2%
Skew 25d8.4%6.0%11.8%11.8%7.6%
Skew 10d17.0%12.2%22.5%22.5%15.4%
Call IV 25d27.6%23.6%33.5%33.4%26.6%
Put IV 25d36.0%29.5%45.2%45.2%34.2%
Bid-Ask Spread %5.503.1010.055.173.85
Gamma HHI0.100.080.110.100.10
Net GEX-174.7M-235.0M-68.0M-211.5M-194.3M
Net DEX9.75B6.89B11.51B10.82B8.62B
Net VEX-37.0M-41.2M-34.3M-34.6M-37.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.532.191.581.12
Total Volume747,028.476470,6941,294,699561,763569,204
Total OI10,577,955.199,175,39012,393,5679,922,84810,156,619

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$32.49$38.5038.4%12.0%31.8%94.1%45.8%11.8%-0.8%-211.5M10.82B-34.6M1.585.17217,686344,0774,079,2505,843,598
2015-09-02$33.00$38.5033.6%10.1%32.6%76.0%27.2%10.0%-0.5%-235.0M10.53B-35.0M1.603.89261,876419,3854,134,4095,953,459
2015-09-03$33.20$35.0034.2%9.5%32.8%78.3%33.7%9.8%-0.4%-220.6M10.40B-36.0M0.923.75497,674458,0434,197,3016,051,642
2015-09-04$32.16$35.0037.8%10.5%34.2%92.0%38.9%10.6%-1.0%-198.2M11.51B-34.9M1.267.25318,038402,1424,412,2786,188,685
2015-09-08$33.11$35.0033.2%9.3%35.5%73.9%38.4%10.0%-0.3%-209.3M10.71B-36.3M2.1910.05147,359323,3354,428,2126,313,145
2015-09-09$33.06$35.0031.8%9.0%34.8%68.3%31.3%8.1%-0.5%-210.2M10.82B-36.6M1.216.59360,061437,0024,556,6436,382,941
2015-09-10$33.37$35.5031.3%8.9%34.9%66.1%34.8%8.3%-0.3%-201.1M10.60B-37.1M0.978.44481,669467,8804,559,2866,424,551
2015-09-11$33.45$35.5031.6%9.0%34.9%67.7%31.5%8.2%-0.6%-186.0M10.65B-38.3M1.075.43489,655523,3314,780,4496,601,229
2015-09-14$33.38$35.5031.1%8.9%34.9%65.6%33.1%7.7%-0.4%-176.0M10.73B-38.3M0.535.93529,378278,3494,848,5166,655,174
2015-09-15$33.82$36.0030.0%8.6%35.2%61.4%29.9%7.1%-0.6%-148.1M10.16B-39.0M0.748.82282,626208,6964,980,3246,629,550
2015-09-16$34.59$35.0028.4%8.1%36.1%55.1%28.3%7.7%-0.3%-82.4M8.57B-41.2M0.705.33564,982396,3095,166,2486,705,967
2015-09-17$34.57$35.0025.9%7.4%35.7%45.5%26.5%6.0%-0.6%-68.0M8.61B-40.4M0.796.65724,171570,5285,261,7916,795,237
2015-09-18$33.81$35.0027.1%7.8%36.2%49.9%27.1%6.7%0.2%-96.3M10.35B-39.2M0.795.28495,412392,4105,424,4876,969,080
2015-09-21$33.75$35.0026.7%7.6%34.4%48.5%27.5%7.0%0.6%-105.4M6.89B-38.6M0.985.75342,125334,3253,927,0355,248,355
2015-09-22$32.96$35.0028.4%8.3%32.5%55.2%29.4%7.6%0.5%-149.5M8.11B-36.8M0.904.11320,579287,2104,030,2765,345,719
2015-09-23$32.63$35.0028.5%8.3%32.3%55.3%29.3%7.5%0.9%-178.1M8.76B-36.0M0.973.50253,513245,1614,090,0985,463,850
2015-09-24$32.52$35.0029.2%8.5%31.0%58.0%31.1%8.3%0.8%-181.8M8.87B-35.4M1.244.51377,597466,9264,136,6795,471,005
2015-09-25$32.41$35.0028.5%8.2%27.5%55.5%30.7%7.8%0.5%-186.6M9.17B-36.2M2.003.84279,137557,5134,285,8165,687,852
2015-09-28$31.73$35.0033.1%9.9%28.1%73.3%33.7%9.3%-0.8%-210.8M9.89B-34.3M1.084.18272,046295,0454,187,7945,731,246
2015-09-29$31.85$35.0031.9%9.6%28.2%68.6%31.8%9.3%-0.7%-219.4M9.91B-34.5M0.613.10308,250186,8934,194,8725,836,391
2015-09-30$32.83$35.0029.3%8.6%27.0%58.3%31.2%7.6%-0.3%-194.3M8.62B-37.1M1.123.85268,956300,2484,234,9505,921,669