EEM Options History — September 2016

In September 2016, EEM traded between $35.98 and $38.17. ATM implied volatility averaged 20.2%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.0% (HV 20d: 20.2%). Max pain ranged from $35.50 to $37.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.49.

Notable Days

  • 2016-09-15: Highest Volume — 1,090,000 contracts
  • 2016-09-09: Largest IV spike — 21.7% change
  • 2016-09-14: Highest IV Rank — 47.3%
  • 2016-09-14: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.27$35.98$38.17$36.73$37.57
Max Pain$36.79$35.50$37.00$35.50$37.00
ATM IV20.2%17.5%24.9%19.8%19.3%
Expected Move5.7%4.6%7.1%5.5%5.4%
HV 20d20.2%12.6%24.6%12.6%24.6%
HV 60d20.0%17.2%22.5%21.2%17.4%
IV Rank21.7%7.7%47.3%17.4%17.1%
IV Percentile30.2%4.4%77.0%20.6%20.6%
Term Structure0.0%-0.4%0.5%-0.0%0.3%
VWIV21.4%16.4%24.9%19.5%21.1%
Skew 25d4.7%3.7%5.9%4.2%4.6%
Skew 10d9.8%7.6%11.2%9.7%10.3%
Call IV 25d18.3%15.6%22.4%17.7%17.2%
Put IV 25d22.9%19.5%28.3%21.9%21.8%
Bid-Ask Spread %2.872.314.102.942.82
Gamma HHI0.090.060.190.080.08
Net GEX77.0M-95.6M354.0M168.9M-80.1M
Net DEX-1.54B-5.66B1.13B-1.68B-672.2M
Net VEX-37.3M-40.1M-33.7M-37.8M-39.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.491.469.522.203.62
Total Volume663,054.571400,5511,090,000440,481879,243
Total OI9,426,619.4298,068,66611,257,9679,766,5948,925,961

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$36.73$35.5019.8%5.5%12.6%17.4%19.5%4.2%-0.0%168.9M-1.68B-37.8M2.202.94137,734302,7473,977,8915,788,703
2016-09-02$37.35$35.5017.8%4.6%13.3%7.9%16.4%4.3%0.2%354.0M-3.79B-36.0M2.422.98128,523311,2184,003,6665,736,831
2016-09-06$38.17$36.5017.8%5.3%15.1%8.2%19.2%3.7%0.2%335.4M-5.66B-33.7M1.513.03294,886444,5213,906,4105,734,242
2016-09-07$38.15$36.5017.8%5.2%15.0%9.3%20.7%4.1%0.1%341.0M-5.42B-34.8M2.162.67126,866273,6854,003,2345,929,683
2016-09-08$37.96$36.5017.7%5.2%15.1%9.0%20.7%3.8%0.2%326.3M-5.03B-34.5M1.462.59261,301381,4393,995,2165,953,924
2016-09-09$36.83$37.0021.6%6.2%18.1%29.6%23.1%5.1%-0.2%143.7M-1.50B-37.5M2.434.10211,317514,5254,058,3236,075,667
2016-09-12$37.04$37.0021.6%6.1%18.2%29.8%23.3%4.9%-0.2%120.7M-2.11B-36.5M2.652.97126,811336,5493,997,8766,191,978
2016-09-13$35.98$37.0024.7%6.9%20.2%46.1%24.6%5.9%-0.3%-95.6M1.13B-37.1M2.882.31130,560375,9944,006,2796,245,935
2016-09-14$36.17$37.0024.9%7.1%20.4%47.3%24.9%5.9%-0.3%-78.3M705.1M-36.9M4.662.76157,037732,0694,047,4406,309,108
2016-09-15$36.81$37.0022.4%6.4%21.5%33.7%23.1%5.7%-0.1%65.8M-997.4M-37.5M1.892.50377,335712,6654,051,8076,844,126
2016-09-16$36.53$37.0022.3%6.4%21.2%33.5%22.9%5.3%-0.4%158.5M-323.3M-38.4M2.642.65208,040549,6494,250,0757,007,892
2016-09-19$36.79$37.0021.4%6.1%21.4%28.8%20.4%4.8%-0.1%-79.6M354.4M-38.1M3.852.91126,967488,6082,721,0415,347,625
2016-09-20$36.88$37.0021.3%6.1%21.0%28.3%22.4%5.0%-0.2%-54.7M138.9M-38.2M7.112.6566,304471,6002,799,5755,373,788
2016-09-21$37.87$37.0017.9%5.1%23.0%10.0%18.7%4.2%0.1%60.5M-1.78B-36.3M3.242.97165,718536,9112,830,4305,443,406
2016-09-22$38.16$37.0017.5%5.0%23.1%7.7%21.0%3.9%0.2%114.4M-2.39B-36.2M2.232.86235,905525,9832,871,5645,602,885
2016-09-23$37.65$37.0019.1%5.5%23.7%16.1%20.1%3.8%-0.1%5.6M-1.16B-38.2M6.752.8286,714585,7062,957,1375,743,987
2016-09-26$37.14$37.0020.8%6.0%24.0%25.4%22.1%4.6%-0.1%-93.2M274.1M-39.6M9.523.2748,684463,4822,848,5005,803,897
2016-09-27$37.54$37.0018.9%5.4%24.1%15.4%21.5%4.5%0.5%-46.4M-581.6M-38.3M3.662.59137,265502,9092,870,5425,892,034
2016-09-28$37.92$37.0018.1%5.2%24.3%11.0%20.1%4.4%0.4%30.7M-1.65B-38.2M1.942.88304,367591,5432,960,9725,929,625
2016-09-29$37.38$37.0020.6%5.9%24.6%24.2%23.7%5.4%0.2%-80.0M-235.8M-40.1M4.423.03112,756498,0102,961,4005,958,333
2016-09-30$37.57$37.0019.3%5.4%24.6%17.1%21.1%4.6%0.3%-80.1M-672.2M-39.3M3.622.82190,192689,0512,935,1145,990,847