EEM Options History — April 2016

In April 2016, EEM traded between $32.80 and $35.28. ATM implied volatility averaged 21.0%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.8% (HV 20d: 20.2%). Max pain ranged from $32.50 to $33.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.55.

Notable Days

  • 2016-04-13: Highest Volume — 836,366 contracts
  • 2016-04-06: Largest IV drop — 5.9% change
  • 2016-04-05: Highest IV Rank — 32.8%
  • 2016-04-07: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.29$32.80$35.28$34.14$34.46
Max Pain$32.93$32.50$33.50$33.00$33.50
ATM IV21.0%19.7%22.7%20.7%20.9%
Expected Move6.0%5.6%6.4%5.9%6.1%
HV 20d20.2%19.3%22.2%19.8%19.8%
HV 60d23.9%20.9%25.8%25.8%20.9%
IV Rank26.4%21.2%32.8%25.2%25.9%
IV Percentile40.9%27.8%61.1%39.7%36.9%
Term Structure0.0%-0.2%0.3%0.3%-0.1%
VWIV21.3%19.5%23.0%20.1%21.2%
Skew 25d3.4%2.4%4.1%3.7%3.3%
Skew 10d6.8%5.3%8.4%7.5%8.0%
Call IV 25d19.6%18.6%21.1%18.9%19.6%
Put IV 25d23.1%21.7%25.1%22.6%22.9%
Bid-Ask Spread %4.253.046.133.233.04
Gamma HHI0.110.070.220.140.09
Net GEX197.8M54.1M514.6M288.0M58.9M
Net DEX-1.06B-3.84B1.63B-1.75B-575.1M
Net VEX-40.0M-41.5M-38.2M-39.1M-41.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.842.681.562.36
Total Volume589,129.095409,716836,366651,665516,190
Total OI8,894,246.4767,966,9429,720,6848,711,5519,094,000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$34.14$33.0020.7%5.9%19.8%25.2%20.1%3.7%0.3%288.0M-1.75B-39.1M1.563.23254,219397,4464,123,8994,587,652
2016-04-04$33.73$32.5021.8%6.2%19.3%29.3%21.2%4.0%-0.1%216.0M-484.0M-38.3M1.665.18233,548386,6184,061,4574,633,254
2016-04-05$33.03$32.5022.7%6.4%20.8%32.8%23.0%3.6%-0.0%99.7M1.04B-38.2M1.973.68209,855412,4784,110,6634,707,019
2016-04-06$33.45$32.5021.3%6.1%20.2%27.6%21.0%3.6%-0.2%176.2M257.1M-38.5M1.275.06214,123271,5784,145,6054,766,752
2016-04-07$32.80$32.5022.4%6.4%21.5%31.8%23.0%4.1%-0.0%54.1M1.63B-38.2M2.083.95190,766395,9634,265,3694,818,374
2016-04-08$33.32$32.5021.5%6.2%22.2%28.2%21.5%3.7%0.1%154.9M533.8M-39.2M1.933.08162,684313,2694,322,6714,922,616
2016-04-11$33.80$32.5021.4%6.1%21.2%27.8%21.0%3.6%-0.2%248.1M-597.1M-39.1M1.363.15233,807317,3504,317,2964,920,382
2016-04-12$34.28$32.5021.4%6.2%21.6%27.8%21.6%3.6%0.1%406.9M-2.09B-40.5M1.413.65264,099372,9464,452,7124,955,630
2016-04-13$34.93$32.5021.5%6.3%21.1%28.4%22.9%3.5%0.3%492.2M-3.84B-40.7M1.225.25377,361459,0054,450,1765,115,688
2016-04-14$34.78$32.5021.3%6.1%20.3%27.5%22.3%3.3%0.1%514.6M-3.48B-40.6M1.654.05223,189369,0114,511,4575,209,227
2016-04-15$34.57$33.0021.2%6.1%19.4%27.0%21.4%3.4%-0.0%355.6M-2.17B-40.6M1.074.16270,726290,0464,392,6195,307,164
2016-04-18$34.74$33.0020.5%5.9%19.4%24.6%21.5%3.3%0.0%103.6M-1.20B-40.0M2.684.07111,289298,4273,475,6484,491,294
2016-04-19$35.28$33.0019.7%5.6%20.1%21.2%20.2%3.0%0.3%145.2M-2.18B-39.3M0.843.55330,507277,2943,467,7514,520,407
2016-04-20$35.09$33.0020.2%5.8%20.1%23.3%20.6%3.4%0.1%147.5M-1.88B-40.2M0.994.64288,979285,8393,660,9644,586,315
2016-04-21$34.70$33.0020.8%6.0%19.5%25.5%21.0%2.4%0.2%125.6M-1.18B-41.5M0.904.79303,965273,5833,815,5774,658,035
2016-04-22$34.55$33.5020.8%6.0%19.6%25.5%22.2%3.0%0.0%89.0M-808.8M-41.3M1.306.13203,591264,8703,878,3864,729,786
2016-04-25$34.31$33.5020.9%6.0%19.8%26.0%20.8%3.6%-0.2%66.7M-135.3M-40.8M1.163.26303,550350,6453,908,8764,717,302
2016-04-26$34.67$33.5020.4%6.0%19.6%24.2%20.9%3.1%-0.1%117.3M-937.4M-41.1M1.705.63266,205451,4583,955,8274,850,267
2016-04-27$34.90$33.5019.7%5.6%19.3%21.3%19.5%3.0%-0.0%178.8M-1.68B-41.1M2.325.11181,381420,4384,034,4684,870,116
2016-04-28$34.51$33.5020.3%5.9%19.8%23.8%19.6%3.6%0.0%115.5M-772.2M-40.7M1.084.66300,382323,0314,085,3824,881,093
2016-04-29$34.46$33.5020.9%6.1%19.8%25.9%21.2%3.3%-0.1%58.9M-575.1M-41.1M2.363.04153,424362,7664,177,2184,916,782