EEM Options History — February 2016

In February 2016, EEM traded between $28.91 and $30.97. ATM implied volatility averaged 28.8%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 0.3% (HV 20d: 29.1%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2016-02-18: Highest Volume — 709,905 contracts
  • 2016-02-02: Largest IV spike — 11.2% change
  • 2016-02-11: Highest IV Rank — 80.0%
  • 2016-02-11: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.99$28.91$30.97$30.29$30.40
Max Pain$32.30$31.00$33.00$31.00$32.00
ATM IV28.8%24.8%34.8%24.8%25.8%
Expected Move8.4%7.0%10.0%7.0%7.6%
HV 20d29.1%25.9%32.5%30.3%25.9%
HV 60d24.7%23.0%25.6%23.0%25.4%
IV Rank56.6%41.2%80.0%41.2%45.1%
IV Percentile85.3%73.8%98.4%78.2%73.8%
Term Structure-0.1%-0.9%1.4%0.2%-0.9%
VWIV30.3%26.2%38.5%30.0%31.0%
Skew 25d6.3%5.4%7.9%5.7%5.7%
Skew 10d13.6%11.2%16.9%12.9%12.2%
Call IV 25d26.3%22.8%31.7%23.0%22.8%
Put IV 25d32.5%28.4%39.6%28.7%28.4%
Bid-Ask Spread %3.002.653.652.962.65
Gamma HHI0.080.070.100.090.07
Net GEX-70.8M-136.9M5.2M-97.9M-50.8M
Net DEX4.92B3.41B6.36B4.80B4.35B
Net VEX-31.6M-32.8M-28.7M-30.3M-30.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.291.371.261.27
Total Volume450,679.95256,636709,905477,494348,077
Total OI8,483,2477,772,9129,314,2767,772,9128,454,961

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$30.29$31.0024.8%7.0%30.3%41.2%30.0%5.7%0.2%-97.9M4.80B-30.3M1.262.96211,668265,8263,078,2344,694,678
2016-02-02$29.29$31.0027.6%8.1%30.7%52.0%28.8%6.5%0.0%-136.9M6.08B-28.7M0.843.41235,528198,7603,096,4044,803,317
2016-02-03$30.11$31.0028.1%8.3%32.5%53.9%28.7%5.9%-0.2%-108.8M5.04B-31.1M0.463.21417,836193,1013,143,7594,858,546
2016-02-04$30.32$33.0028.0%8.1%31.8%53.5%30.0%5.4%-0.2%-68.1M4.50B-32.4M0.682.95358,731245,6003,392,2354,848,411
2016-02-05$29.93$33.0029.1%8.4%30.5%57.9%27.3%6.1%-0.2%-77.7M5.00B-32.4M0.563.06427,615240,0753,507,3164,958,373
2016-02-08$29.62$33.0032.2%9.0%30.4%69.7%33.9%7.2%-0.8%-95.2M5.41B-32.4M1.083.65189,852205,8583,486,1555,016,614
2016-02-09$29.22$33.0033.8%9.7%30.8%76.0%35.8%7.8%0.0%-115.4M5.96B-31.9M1.032.80250,139258,0233,486,3125,080,788
2016-02-10$29.33$33.0031.9%9.5%30.8%68.4%31.1%7.3%1.2%-94.1M5.82B-32.2M0.693.07209,720144,1143,556,2805,112,365
2016-02-11$28.91$33.0034.8%10.0%31.0%80.0%37.4%7.9%0.2%-112.8M6.36B-31.4M1.293.28179,029231,3273,591,2795,126,082
2016-02-12$29.31$33.0032.5%9.6%31.1%71.1%38.5%7.3%1.4%-112.7M5.99B-32.0M1.072.97190,904204,4803,614,2175,173,171
2016-02-16$29.96$32.5030.2%8.7%28.5%62.1%29.3%6.9%-0.4%-62.2M5.08B-31.8M0.812.72241,185196,4373,589,3135,164,406
2016-02-17$30.59$32.5028.7%8.2%28.8%56.3%29.5%6.4%-0.5%-14.6M4.07B-32.3M1.372.89261,825357,8043,596,5975,239,971
2016-02-18$30.34$32.0028.1%8.1%27.3%53.7%26.6%6.0%-0.4%-12.2M4.48B-32.8M0.292.67548,290161,6153,737,5575,398,273
2016-02-19$30.25$32.5028.1%8.1%27.4%53.8%26.2%5.5%-0.4%-53.2M4.47B-32.5M0.452.82296,892133,1424,013,5975,300,679
2016-02-22$30.97$32.5025.5%7.4%26.5%43.8%27.8%5.5%-0.5%5.2M3.41B-32.1M0.983.05189,711186,3613,497,9164,698,024
2016-02-23$30.34$32.0026.3%7.7%26.9%46.8%28.7%5.7%0.3%-44.9M4.32B-31.2M0.872.81145,553127,1163,518,5234,719,387
2016-02-24$30.25$32.0027.3%8.1%26.7%50.9%28.5%5.6%-0.7%-49.4M4.40B-31.2M1.062.93182,592193,6083,567,6184,740,529
2016-02-25$30.37$32.0026.5%7.7%26.6%47.5%27.9%5.5%0.2%-44.7M4.30B-31.4M0.673.18153,312103,3243,590,2554,773,300
2016-02-26$30.06$32.0026.9%8.1%26.5%49.1%28.3%5.5%-0.8%-70.1M4.65B-30.8M0.852.91177,671150,8983,644,8804,794,618
2016-02-29$30.40$32.0025.8%7.6%25.9%45.1%31.0%5.7%-0.9%-50.8M4.35B-30.7M1.272.65153,360194,7173,653,6834,801,278