EEM Options History — February 2017

In February 2017, EEM traded between $37.41 and $38.93. ATM implied volatility averaged 14.8%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.7% (HV 20d: 9.1%). Max pain ranged from $36.50 to $38.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 6.58.

Notable Days

  • 2017-02-07: Highest Volume — 1,083,694 contracts
  • 2017-02-28: Largest IV spike — 7.8% change
  • 2017-02-28: Highest IV Rank — 22.5%
  • 2017-02-28: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.18$37.41$38.93$37.41$38.03
Max Pain$37.76$36.50$38.00$36.50$38.00
ATM IV14.8%13.7%16.7%15.2%16.7%
Expected Move4.4%3.9%5.0%4.4%5.0%
HV 20d9.1%8.3%9.8%9.8%9.8%
HV 60d14.5%12.8%19.1%19.1%13.2%
IV Rank5.4%0.0%22.5%5.4%22.5%
IV Percentile3.3%0.0%13.5%2.4%13.5%
Term Structure0.6%0.0%1.6%0.6%0.0%
VWIV16.2%14.6%18.3%17.4%17.8%
Skew 25d2.8%2.1%3.3%3.1%3.1%
Skew 10d5.7%4.6%7.3%7.3%6.1%
Call IV 25d13.8%12.7%15.7%14.3%15.7%
Put IV 25d16.6%15.3%18.8%17.4%18.8%
Bid-Ask Spread %2.442.023.533.532.59
Gamma HHI0.090.070.100.070.10
Net GEX-48.5M-189.2M3.5M-55.7M-189.2M
Net DEX-669.1M-1.94B864.4M-25.1M864.4M
Net VEX-28.3M-30.0M-27.2M-28.5M-30.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.582.1014.2412.877.42
Total Volume644,529.474394,4681,083,694618,219819,092
Total OI7,389,752.8956,643,4658,287,9246,643,4657,589,804

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$37.41$36.5015.2%4.4%9.8%5.4%17.4%3.1%0.6%-55.7M-25.1M-28.5M12.873.5344,586573,6331,946,4224,697,043
2017-02-02$37.52$37.5014.8%4.5%9.6%3.5%17.0%3.3%0.7%-33.7M-128.4M-28.9M8.292.8658,734486,9421,964,2454,788,454
2017-02-03$37.74$37.5014.2%4.4%8.8%0.8%18.3%2.6%0.6%-12.7M-493.1M-28.3M7.722.3067,961524,7781,988,9034,828,935
2017-02-06$37.69$37.5014.5%4.5%8.7%1.9%14.8%3.0%1.0%-41.3M-290.7M-28.1M9.372.4655,591520,9131,990,6194,791,888
2017-02-07$37.44$37.5015.0%4.7%9.1%4.3%18.1%2.8%1.2%-76.1M112.2M-28.3M14.242.3071,1311,012,5632,007,7094,857,749
2017-02-08$37.70$37.5015.1%4.7%9.1%5.1%17.2%3.0%1.1%-98.6M-86.4M-29.3M6.512.1773,343477,7952,023,1695,371,419
2017-02-09$37.90$37.5014.7%4.4%8.7%2.9%16.4%2.9%1.1%-77.1M-333.9M-29.0M6.602.1481,424537,3582,025,8695,446,304
2017-02-10$38.20$38.0014.5%4.4%9.0%1.9%16.5%2.4%1.6%-40.7M-881.5M-28.7M6.212.0886,812539,3422,074,7795,585,668
2017-02-13$38.37$38.0014.7%4.3%9.0%3.6%15.6%3.0%0.3%-15.0M-1.38B-27.7M2.102.38243,335511,0682,086,6225,582,348
2017-02-14$38.35$38.0014.2%4.1%9.0%1.1%14.9%2.7%0.3%-4.1M-1.33B-28.1M3.422.64161,289552,3192,191,2125,714,856
2017-02-15$38.70$38.0014.7%4.2%8.9%4.1%15.3%2.1%0.1%3.5M-1.94B-27.6M3.972.02137,739546,6602,201,3335,813,543
2017-02-16$38.53$38.0014.4%4.1%8.9%2.5%14.6%2.6%0.2%-7.6M-1.65B-27.6M4.742.39100,711477,6312,272,6785,926,763
2017-02-17$38.33$38.0013.7%3.9%9.4%0.0%14.6%2.4%0.5%-43.2M-1.12B-27.4M3.192.57181,439578,3762,299,5615,988,363
2017-02-21$38.81$38.0014.2%4.1%9.0%3.3%15.2%2.6%0.4%-18.1M-1.19B-27.2M7.152.1176,369545,9331,978,2685,106,566
2017-02-22$38.90$38.0014.7%4.2%8.8%7.0%15.3%2.5%0.3%-10.5M-1.32B-27.6M6.553.1380,780528,7382,003,6525,218,870
2017-02-23$38.93$38.0014.6%4.2%8.3%6.6%15.3%3.0%0.5%-6.5M-1.34B-28.2M6.112.2766,825408,5942,030,7665,272,588
2017-02-24$38.49$38.0015.3%4.4%9.4%12.0%16.5%3.0%0.4%-62.5M-272.7M-29.1M5.472.1161,010333,4582,048,7565,320,008
2017-02-27$38.31$38.0015.5%4.5%9.6%13.4%16.4%2.8%0.4%-132.7M104.9M-28.7M3.052.22153,526468,2622,038,4125,331,161
2017-02-28$38.03$38.0016.7%5.0%9.8%22.5%17.8%3.1%0.0%-189.2M864.4M-30.0M7.422.5997,273721,8192,130,4885,459,316