EEM Options History — December 2016

In December 2016, EEM traded between $34.08 and $36.37. ATM implied volatility averaged 18.5%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.3% (HV 20d: 18.8%). Max pain ranged from $36.50 to $37.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.94.

Notable Days

  • 2016-12-16: Highest Volume — 1,044,588 contracts
  • 2016-12-05: Largest IV drop — 12.0% change
  • 2016-12-01: Highest IV Rank — 27.8%
  • 2016-12-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.25$34.08$36.37$35.10$34.98
Max Pain$36.60$36.50$37.00$37.00$36.50
ATM IV18.5%16.9%21.3%21.3%19.8%
Expected Move5.3%4.8%6.5%6.5%5.6%
HV 20d18.8%15.3%26.7%26.6%17.1%
HV 60d20.3%19.7%21.8%21.8%19.7%
IV Rank13.1%4.5%27.8%27.8%20.2%
IV Percentile17.1%3.2%48.8%48.8%34.1%
Term Structure0.3%-0.9%1.3%-0.9%0.3%
VWIV19.6%17.6%23.9%23.9%21.2%
Skew 25d4.0%2.1%5.3%4.5%4.0%
Skew 10d7.7%3.4%9.2%7.2%8.3%
Call IV 25d17.0%15.1%18.9%18.9%18.2%
Put IV 25d20.9%18.7%23.4%23.4%22.2%
Bid-Ask Spread %9.072.2813.057.073.20
Gamma HHI0.100.080.120.100.09
Net GEX-193.6M-318.5M12.7M-272.9M-176.0M
Net DEX3.94B1.77B5.66B5.19B3.09B
Net VEX-28.1M-30.9M-26.1M-30.8M-27.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.913.962.082.20
Total Volume651,762.381472,7521,044,588658,840553,044
Total OI9,272,766.7626,954,76811,363,55210,455,5127,461,743

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$35.10$37.0021.3%6.5%26.6%27.8%23.9%4.5%-0.9%-272.9M5.19B-30.8M2.087.07213,648445,1924,004,1316,451,381
2016-12-02$35.10$37.0021.0%6.5%26.5%26.3%23.3%4.5%-0.9%-318.5M5.37B-30.9M1.575.82221,022347,9244,033,9896,531,083
2016-12-05$35.42$36.5018.5%5.2%26.7%13.0%19.7%5.3%0.2%-277.5M4.57B-28.7M1.669.81178,496295,8563,873,0626,535,287
2016-12-06$35.58$36.5018.0%5.1%23.2%10.4%18.5%4.2%-0.0%-252.9M4.27B-28.3M2.0611.04178,526368,4343,934,3606,532,790
2016-12-07$36.21$36.5017.5%5.1%23.8%7.7%17.6%4.7%0.6%-75.5M2.34B-28.2M1.2910.33371,851479,4853,946,6406,494,562
2016-12-08$36.37$36.5017.2%5.0%20.2%6.2%18.8%4.2%0.9%12.7M1.77B-29.0M3.969.2995,374377,3784,182,8086,588,432
2016-12-09$36.22$36.5017.8%5.1%16.3%9.3%17.7%4.0%0.3%-89.1M2.55B-28.4M2.129.87243,070514,4904,091,8336,649,748
2016-12-12$35.90$36.5018.4%5.2%15.4%12.3%19.2%4.0%-0.2%-179.3M3.70B-28.5M3.2910.78132,897436,8144,175,3156,759,149
2016-12-13$36.34$36.5017.9%5.0%15.3%9.9%18.9%3.6%-0.7%-31.1M2.24B-28.0M2.3810.00174,502414,6474,203,9986,797,991
2016-12-14$35.41$36.5019.7%5.7%16.8%19.5%20.5%3.5%0.2%-247.3M4.83B-28.4M1.8611.50247,311459,3254,302,9806,808,404
2016-12-15$35.39$36.5018.9%5.6%16.5%15.4%21.3%3.9%0.3%-253.7M5.14B-28.3M2.5310.32236,037597,5184,342,0586,890,503
2016-12-16$35.10$36.5018.4%5.3%16.8%12.6%19.3%4.1%-0.4%-102.6M5.66B-27.8M2.7811.04276,601767,9874,389,4756,974,077
2016-12-19$34.95$36.5017.8%5.1%16.8%9.1%20.6%4.4%1.2%-192.5M3.66B-27.6M2.3912.39217,804520,5262,730,1934,224,575
2016-12-20$34.99$36.5016.9%4.8%16.7%4.5%18.5%2.1%0.9%-239.5M3.44B-26.1M0.9112.50442,617403,0902,771,4514,312,490
2016-12-21$34.51$37.0017.7%5.1%16.2%8.6%18.0%3.5%1.3%-225.9M4.29B-27.1M1.4010.00286,973401,8252,751,3904,334,554
2016-12-22$34.08$37.0018.7%5.3%16.4%14.1%19.3%3.7%0.7%-275.1M5.05B-27.0M1.477.33266,134392,1162,820,9364,424,704
2016-12-23$34.25$36.5017.9%5.0%16.4%9.7%18.4%3.4%1.0%-286.5M4.71B-27.6M1.3513.05251,111339,6192,834,8804,486,843
2016-12-27$34.45$36.5018.1%5.1%16.4%10.9%18.2%3.9%0.7%-250.6M4.39B-27.0M1.2210.09232,017282,8752,847,2154,487,484
2016-12-28$34.66$36.5018.5%5.2%16.6%13.0%19.0%3.8%0.4%-221.7M3.76B-27.1M1.192.28226,845269,5672,867,3464,463,431
2016-12-29$35.23$36.5018.7%5.4%17.6%14.0%18.7%3.7%0.3%-110.2M2.72B-27.3M1.132.77247,352279,1102,877,0254,537,786
2016-12-30$34.98$36.5019.8%5.6%17.1%20.2%21.2%4.0%0.3%-176.0M3.09B-27.9M2.203.20172,969380,0752,913,0044,548,739