EEM Options History — November 2016

In November 2016, EEM traded between $34.24 and $37.60. ATM implied volatility averaged 22.5%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.2% (HV 20d: 22.7%). Max pain ranged from $37.00 to $37.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.55.

Notable Days

  • 2016-11-11: Highest Volume — 1,361,697 contracts
  • 2016-11-10: Largest IV spike — 22.6% change
  • 2016-11-14: Highest IV Rank — 56.0%
  • 2016-11-01: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.56$34.24$37.60$36.85$35.60
Max Pain$37.05$37.00$37.50$37.50$37.00
ATM IV22.5%19.5%26.6%24.0%19.5%
Expected Move6.5%5.4%8.0%8.0%5.9%
HV 20d22.7%14.3%26.6%14.8%26.4%
HV 60d20.9%17.8%22.4%17.9%21.6%
IV Rank34.3%18.5%56.0%42.2%18.5%
IV Percentile57.5%26.2%87.7%79.4%26.2%
Term Structure-0.1%-1.0%1.3%-0.2%-0.2%
VWIV23.9%19.2%29.6%29.6%21.0%
Skew 25d5.5%3.8%7.0%5.9%5.5%
Skew 10d10.9%7.8%14.1%12.1%9.3%
Call IV 25d20.0%17.0%23.4%21.6%17.0%
Put IV 25d25.5%22.3%30.3%27.5%22.5%
Bid-Ask Spread %6.163.178.386.785.43
Gamma HHI0.090.060.110.070.08
Net GEX-285.4M-462.0M-27.8M-153.2M-156.4M
Net DEX4.60B-189.3M8.22B1.66B3.96B
Net VEX-34.7M-39.1M-31.0M-37.4M-31.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.551.095.515.512.42
Total Volume760,477.476442,3011,361,697593,241442,301
Total OI10,225,766.1438,971,74711,447,8568,971,74710,411,589

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$36.85$37.5024.0%8.0%14.8%42.2%29.6%5.9%-0.2%-153.2M1.66B-37.4M5.516.7891,179502,0623,023,5545,948,193
2016-11-02$36.49$37.5023.7%7.9%14.3%40.5%29.5%5.9%-0.4%-223.4M2.65B-37.6M4.238.38100,001422,6183,072,7926,181,618
2016-11-03$36.21$37.0026.3%7.4%14.4%54.6%27.2%6.9%-0.4%-247.5M3.46B-38.7M4.963.17183,146908,5913,089,9696,300,390
2016-11-04$35.91$37.0025.7%7.2%14.6%51.3%27.6%7.0%-0.6%-352.6M4.29B-39.1M2.473.73299,757739,3603,136,6556,579,948
2016-11-07$37.19$37.0023.8%6.6%19.3%41.3%26.3%6.5%-0.4%-89.3M825.6M-37.5M3.654.12180,725659,5933,284,3676,436,657
2016-11-08$37.60$37.0023.2%6.6%17.9%38.1%26.5%6.7%-0.2%-27.8M-189.3M-37.3M2.187.07236,337515,5083,320,1796,466,926
2016-11-09$36.27$37.0020.2%5.9%22.1%22.0%21.9%5.7%0.4%-278.1M3.03B-34.6M2.995.79173,325517,6683,412,4286,549,225
2016-11-10$35.12$37.0024.7%7.1%24.6%46.3%25.8%5.8%-0.0%-388.4M5.85B-34.8M3.065.34314,837961,9043,452,6336,584,150
2016-11-11$34.56$37.0026.1%7.5%25.0%53.7%27.1%7.0%-0.0%-462.0M7.61B-35.8M2.375.55404,545957,1523,580,3896,980,474
2016-11-14$34.24$37.0026.6%7.6%25.1%56.0%26.1%6.4%0.1%-447.0M8.22B-35.3M3.116.05203,446631,9993,871,0347,075,924
2016-11-15$34.99$37.0022.0%6.3%25.5%31.8%23.2%5.2%1.0%-439.0M6.58B-34.4M1.956.22162,469316,5683,990,3767,217,351
2016-11-16$34.69$37.0022.1%6.3%25.2%32.1%22.2%4.7%1.3%-448.7M7.15B-33.8M1.305.24279,368362,4734,046,1627,102,986
2016-11-17$34.73$37.0021.2%6.0%25.3%27.6%21.5%4.2%1.3%-448.5M7.03B-35.1M2.326.61301,569700,9604,235,7057,212,151
2016-11-18$34.67$37.0020.7%5.8%25.3%25.0%20.7%3.8%0.8%-397.4M7.15B-33.4M2.806.76216,242605,5274,292,7767,009,766
2016-11-21$34.89$37.0020.0%5.4%25.4%21.0%19.6%4.8%-1.0%-321.3M5.38B-32.5M1.178.38311,515365,2793,707,2686,169,639
2016-11-22$35.47$37.0019.7%5.4%26.4%19.3%19.2%4.8%-0.8%-216.8M3.96B-33.2M1.286.98247,225316,5373,842,1886,215,608
2016-11-23$35.08$37.0020.9%5.8%26.4%26.1%21.9%4.6%-0.6%-257.4M4.97B-32.7M2.087.39177,883369,3263,914,1346,278,263
2016-11-25$35.25$37.0020.8%5.8%26.5%25.1%22.0%4.6%-0.8%-241.8M4.59B-31.8M1.097.56305,351332,4913,906,2136,335,621
2016-11-28$35.43$37.0020.7%6.1%26.6%25.0%23.3%4.5%-0.5%-196.8M4.15B-32.1M1.297.77249,293322,8133,961,2896,299,848
2016-11-29$35.42$37.0020.5%6.2%26.4%23.6%20.4%4.5%-0.3%-201.0M4.22B-31.3M1.434.96239,568341,5163,946,3166,298,335
2016-11-30$35.60$37.0019.5%5.9%26.4%18.5%21.0%5.5%-0.2%-156.4M3.96B-31.0M2.425.43129,305312,9964,001,8406,409,749