EEM Options History — January 2017

In January 2017, EEM traded between $35.39 and $37.60. ATM implied volatility averaged 16.4%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.3% (HV 20d: 14.1%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 4.25.

Notable Days

  • 2017-01-12: Highest Volume — 1,092,394 contracts
  • 2017-01-30: Largest IV spike — 13.3% change
  • 2017-01-03: Highest IV Rank — 15.6%
  • 2017-01-03: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.61$35.39$37.60$35.39$37.35
Max Pain$35.98$35.00$37.00$36.50$36.50
ATM IV16.4%14.1%19.0%19.0%15.6%
Expected Move4.7%4.0%5.2%5.2%4.3%
HV 20d14.1%10.2%18.0%17.6%10.2%
HV 60d19.4%19.2%20.0%19.9%19.2%
IV Rank5.2%0.0%15.6%15.6%7.2%
IV Percentile4.8%0.0%27.4%27.4%2.4%
Term Structure0.3%-0.0%0.7%0.2%0.4%
VWIV17.4%13.5%20.5%18.1%16.9%
Skew 25d3.4%2.6%4.0%3.9%3.5%
Skew 10d7.4%6.2%8.3%7.8%8.1%
Call IV 25d15.2%13.2%18.0%18.0%14.5%
Put IV 25d18.6%15.9%21.9%21.9%18.0%
Bid-Ask Spread %2.572.173.172.702.51
Gamma HHI0.090.070.200.090.07
Net GEX-22.9M-95.2M88.6M-93.8M-59.4M
Net DEX837.4M-478.0M2.43B2.43B152.7M
Net VEX-27.7M-29.4M-25.1M-26.5M-29.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.250.5912.540.5912.54
Total Volume696,974.45363,8991,092,394734,900672,960
Total OI7,475,832.35,998,4389,139,0667,447,3986,536,190

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$35.39$36.5019.0%5.2%17.6%15.6%18.1%3.9%0.2%-93.8M2.43B-26.5M0.592.70462,908271,9922,856,1774,591,221
2017-01-04$35.64$37.0018.6%5.1%17.4%13.8%17.7%3.7%0.1%-95.2M1.99B-25.9M1.002.21254,946256,1322,680,1314,629,547
2017-01-05$36.12$35.0017.6%5.2%18.0%8.4%20.5%3.6%0.4%-12.7M984.1M-25.7M4.082.2084,259344,0042,744,5804,674,549
2017-01-06$35.99$35.0017.2%5.1%16.9%6.1%20.1%3.5%0.5%-18.4M1.23B-25.6M2.472.63104,958258,9412,755,7344,702,631
2017-01-09$35.92$35.0017.4%5.1%16.8%7.4%17.7%3.5%0.1%-77.1M1.56B-25.5M1.512.25216,557327,3682,738,2254,733,975
2017-01-10$36.20$35.5017.3%5.2%17.0%7.0%17.5%3.4%0.6%-26.0M1.16B-25.1M1.572.59187,288293,7672,812,2694,839,554
2017-01-11$36.55$35.5017.0%5.0%17.0%5.0%18.9%3.6%0.4%42.6M568.8M-25.2M3.582.69199,879714,8642,908,6444,951,700
2017-01-12$36.64$35.5017.4%5.1%16.5%7.1%19.8%3.4%0.4%41.4M421.1M-27.8M5.352.28172,097920,2972,954,0365,321,149
2017-01-13$36.69$36.0016.6%4.8%13.3%3.1%17.2%3.4%0.2%3.3M507.1M-29.3M3.262.52173,958566,9922,973,4655,562,647
2017-01-17$36.64$36.0017.0%4.9%13.3%5.3%17.1%3.4%0.1%-20.4M1.06B-29.3M2.942.95202,857597,0752,979,5835,723,018
2017-01-18$36.46$36.0016.8%4.8%13.0%3.8%17.7%3.6%-0.0%-25.4M1.45B-29.3M3.542.65147,952524,3543,035,4305,821,402
2017-01-19$36.33$36.0016.4%4.7%13.0%1.9%18.6%4.0%0.4%-87.2M1.99B-29.4M3.503.17188,162659,2843,053,1295,884,198
2017-01-20$36.41$36.0014.9%4.2%13.0%0.0%15.9%3.4%0.5%88.6M1.73B-28.9M2.492.63229,867572,9113,088,8586,050,208
2017-01-23$36.96$36.0015.2%4.4%12.3%1.4%17.2%3.5%0.3%-95.2M460.7M-28.1M2.982.39219,482653,5181,753,0834,245,355
2017-01-24$37.24$36.0015.2%4.4%10.8%1.4%16.6%3.1%0.7%-31.2M-58.0M-28.4M3.452.77205,336708,2121,874,7294,264,317
2017-01-25$37.60$36.5014.4%4.2%11.0%0.0%15.7%2.9%0.4%52.4M-478.0M-29.1M7.182.1784,446606,1631,966,8644,413,817
2017-01-26$37.46$36.5014.5%4.2%11.4%0.8%13.5%2.8%0.4%18.9M-380.6M-28.3M7.182.7873,757529,5601,997,9024,442,714
2017-01-27$37.41$36.5014.1%4.0%11.5%0.0%15.1%2.6%0.5%-2.1M-268.2M-28.1M7.252.8377,789564,3122,006,7264,502,098
2017-01-30$37.24$36.5015.9%4.5%10.9%9.0%16.0%3.7%0.4%-61.7M253.3M-28.7M8.592.5763,670546,6151,928,9304,517,861
2017-01-31$37.35$36.5015.6%4.3%10.2%7.2%16.9%3.5%0.4%-59.4M152.7M-29.3M12.542.5149,696623,2641,955,4414,580,749