EEM Options History — October 2016

In October 2016, EEM traded between $36.83 and $38.10. ATM implied volatility averaged 20.1%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.2% (HV 20d: 18.9%). Max pain ranged from $37.00 to $37.50. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 4.04.

Notable Days

  • 2016-10-11: Highest Volume — 843,130 contracts
  • 2016-10-11: Largest IV spike — 14.1% change
  • 2016-10-11: Highest IV Rank — 37.2%
  • 2016-10-31: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.43$36.83$38.10$37.78$37.19
Max Pain$37.43$37.00$37.50$37.00$37.50
ATM IV20.1%17.6%23.0%18.9%21.9%
Expected Move5.9%5.2%7.1%5.2%7.1%
HV 20d18.9%15.0%24.0%24.0%15.1%
HV 60d17.5%16.9%17.9%16.9%17.8%
IV Rank21.6%8.5%37.2%15.0%31.2%
IV Percentile33.1%4.8%72.2%16.7%60.7%
Term Structure0.3%-0.7%2.4%1.8%-0.2%
VWIV21.4%18.3%26.0%19.1%24.5%
Skew 25d4.6%4.0%5.7%5.1%5.0%
Skew 10d9.5%7.8%12.2%12.2%9.6%
Call IV 25d18.3%16.2%20.9%17.4%19.3%
Put IV 25d22.9%20.4%26.3%22.5%24.2%
Bid-Ask Spread %6.622.9910.683.086.98
Gamma HHI0.080.070.110.080.07
Net GEX-24.3M-121.6M116.0M2.8M-100.8M
Net DEX-111.1M-1.96B1.43B-1.08B892.8M
Net VEX-37.4M-40.2M-34.3M-39.3M-36.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.041.837.163.103.88
Total Volume578,991.667365,986843,130623,718365,986
Total OI9,288,664.6678,474,7869,976,7958,805,4238,925,237

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$37.78$37.0018.9%5.2%24.0%15.0%19.1%5.1%1.8%2.8M-1.08B-39.3M3.103.08152,201471,5172,968,3885,837,035
2016-10-04$37.31$37.0019.9%5.5%23.0%20.7%22.1%5.2%1.6%-61.2M-23.8M-40.2M5.143.04111,082571,4843,004,7115,981,664
2016-10-05$37.78$37.0019.1%5.2%23.5%16.3%18.3%4.4%2.0%-1.5M-991.8M-39.6M2.812.99145,775409,0043,051,2996,116,615
2016-10-06$37.85$37.5019.4%6.0%23.5%18.1%21.2%4.6%2.2%40.3M-1.27B-38.9M2.704.75198,515535,8023,132,1676,107,024
2016-10-07$37.70$37.5020.1%6.2%20.7%21.5%20.8%4.6%2.4%39.4M-934.3M-39.9M2.554.05186,983477,3543,267,1206,209,771
2016-10-10$38.10$37.5020.2%5.9%20.9%22.1%21.5%4.6%-0.3%116.0M-1.96B-38.2M3.385.87145,509492,1033,277,4586,206,576
2016-10-11$37.23$37.5023.0%6.6%19.9%37.2%26.0%5.7%-0.3%-59.4M419.1M-39.6M3.328.51195,198647,9323,335,2776,295,658
2016-10-12$37.19$37.5022.9%6.4%19.8%36.4%23.0%5.3%-0.7%-61.6M494.7M-39.6M4.858.14114,431554,4573,423,8476,268,841
2016-10-13$36.83$37.5022.6%6.5%19.2%35.0%23.3%5.3%-0.1%-118.5M1.43B-39.2M2.428.65205,572497,8053,443,5776,266,741
2016-10-14$36.88$37.5021.7%6.2%19.0%29.9%22.8%4.5%-0.1%-113.7M1.22B-38.9M4.167.83118,455492,9553,470,8426,234,176
2016-10-17$36.83$37.5021.1%6.0%18.9%27.0%22.7%4.9%-0.6%-121.6M1.41B-37.1M7.167.3064,225459,7593,453,9866,253,826
2016-10-18$37.51$37.5020.1%5.8%20.0%21.6%20.0%4.3%-0.6%26.2M-421.4M-36.6M4.017.2297,316390,2323,447,2626,283,452
2016-10-19$37.77$37.5018.7%5.4%17.7%14.0%19.9%4.1%-0.5%115.0M-1.19B-36.2M1.838.17265,956487,3763,475,2076,313,668
2016-10-20$37.60$37.5018.9%5.4%17.5%15.2%20.3%4.1%-0.6%44.3M-804.2M-35.8M3.737.71108,085403,1573,507,9876,381,922
2016-10-21$37.60$37.5018.4%5.3%16.9%12.5%20.6%4.0%-0.4%-20.0M-810.1M-34.8M5.663.3787,145493,6673,533,9626,442,833
2016-10-24$37.74$37.5018.6%5.5%16.1%13.4%20.4%4.2%0.3%10.1M-595.2M-34.5M6.559.0050,489330,9472,918,5895,556,197
2016-10-25$37.78$37.5017.6%5.2%15.7%8.5%19.5%4.1%0.4%18.8M-692.8M-34.3M5.8010.6859,793346,8222,936,6145,593,237
2016-10-26$37.38$37.5018.8%5.7%15.7%14.4%19.4%4.2%0.2%-55.6M250.5M-35.0M3.586.4694,654338,7272,950,1755,651,628
2016-10-27$37.10$37.5019.7%6.0%15.1%19.4%21.3%4.1%-0.0%-102.9M927.1M-35.5M3.676.3597,470357,3382,978,6175,721,674
2016-10-28$36.92$37.5020.7%6.5%15.0%24.9%23.3%4.8%-0.2%-106.9M1.40B-36.6M4.628.9395,280440,2673,015,3195,821,779
2016-10-31$37.19$37.5021.9%7.1%15.1%31.2%24.5%5.0%-0.2%-100.8M892.8M-36.5M3.886.9874,973291,0133,010,5355,914,702