EEM Options History — March 2017

In March 2017, EEM traded between $37.60 and $40.03. ATM implied volatility averaged 15.5%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.7% (HV 20d: 14.7%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 3.09.

Notable Days

2017-03-02: Highest Volume — 1,000,210 contracts
2017-03-21: Largest IV spike — 16.1% change
2017-03-09: Highest IV Rank — 22.3%
2017-03-02: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.01	$37.60	$40.03	$38.56	$39.38
Max Pain	$39.00	$38.00	$40.00	$38.00	$40.00
ATM IV	15.5%	13.9%	16.7%	16.1%	14.1%
Expected Move	4.4%	3.7%	5.1%	4.8%	3.7%
HV 20d	14.7%	10.8%	17.1%	10.8%	14.3%
HV 60d	12.9%	12.1%	13.6%	13.1%	12.2%
IV Rank	13.3%	1.3%	22.3%	17.8%	3.3%
IV Percentile	9.8%	0.4%	16.7%	10.7%	1.2%
Term Structure	0.3%	-0.3%	1.3%	0.2%	0.8%
VWIV	15.8%	13.5%	19.9%	17.1%	14.5%
Skew 25d	2.9%	1.9%	3.3%	2.9%	3.0%
Skew 10d	6.3%	3.8%	9.1%	5.9%	5.3%
Call IV 25d	14.5%	12.9%	15.6%	15.2%	12.9%
Put IV 25d	17.4%	15.4%	18.9%	18.1%	16.0%
Bid-Ask Spread %	2.50	1.88	4.02	2.21	2.00
Gamma HHI	0.11	0.07	0.29	0.09	0.08
Net GEX	-13.5M	-262.6M	306.9M	-128.9M	-87.4M
Net DEX	-596.8M	-3.23B	2.17B	200.0M	-367.5M
Net VEX	-32.8M	-36.0M	-30.6M	-32.4M	-33.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.09	1.13	6.52	5.82	3.16
Total Volume	532,203.087	266,743	1,000,210	849,179	460,048
Total OI	7,816,662.391	5,988,308	9,340,269	7,859,039	7,188,693

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$38.56	$38.00	16.1%	4.8%	10.8%	17.8%	17.1%	2.9%	0.2%	-128.9M	200.0M	-32.4M	5.82	2.21	124,604	724,575	2,146,788	5,712,251
2017-03-02	$37.92	$38.00	16.7%	5.1%	12.6%	22.2%	19.9%	3.2%	0.2%	-249.0M	1.67B	-33.3M	5.91	2.24	144,826	855,384	2,212,574	5,827,410
2017-03-03	$38.18	$38.00	16.0%	4.7%	12.8%	17.1%	16.3%	3.1%	0.2%	-223.2M	1.02B	-32.9M	1.33	1.94	398,239	530,773	2,273,358	6,102,490
2017-03-06	$38.24	$38.00	15.9%	4.6%	12.7%	16.5%	15.6%	3.1%	0.2%	-65.7M	481.4M	-31.9M	5.27	1.95	78,662	414,268	2,518,189	6,022,721
2017-03-07	$38.20	$38.00	15.2%	4.4%	12.7%	11.1%	14.0%	2.8%	0.1%	-99.2M	820.8M	-31.6M	6.52	2.56	70,011	456,816	2,517,294	6,050,994
2017-03-08	$37.96	$38.00	15.4%	4.5%	12.6%	12.7%	15.8%	2.9%	0.2%	-160.0M	1.31B	-31.6M	1.62	2.24	246,910	399,994	2,530,284	6,079,948
2017-03-09	$37.60	$38.00	16.7%	4.8%	12.9%	22.3%	16.9%	3.1%	0.1%	-262.6M	2.17B	-33.7M	2.56	2.49	184,855	473,763	2,674,883	6,156,279
2017-03-10	$37.95	$38.50	15.3%	4.5%	13.2%	12.1%	15.9%	3.1%	0.1%	-173.4M	1.11B	-32.3M	2.90	2.63	95,408	276,525	2,696,306	6,156,375
2017-03-13	$38.54	$38.50	15.7%	4.5%	14.0%	14.9%	15.6%	3.1%	-0.1%	65.0M	-551.3M	-32.1M	1.76	2.29	127,128	224,262	2,702,036	6,051,116
2017-03-14	$38.33	$38.50	15.6%	4.5%	14.1%	14.4%	17.2%	3.1%	-0.1%	-45.5M	252.5M	-32.3M	3.05	2.74	68,498	209,194	2,707,688	6,224,627
2017-03-15	$39.34	$38.50	15.0%	4.2%	16.9%	9.6%	15.7%	2.8%	-0.3%	306.9M	-2.70B	-30.9M	2.50	3.54	154,055	384,765	2,723,655	6,277,799
2017-03-16	$39.51	$39.00	15.1%	4.3%	16.7%	10.2%	14.5%	2.6%	-0.3%	306.7M	-2.94B	-30.9M	1.13	2.60	456,164	514,717	2,765,579	6,428,263
2017-03-17	$39.55	$39.50	13.9%	4.0%	16.5%	1.3%	14.5%	2.4%	0.1%	299.2M	-3.23B	-31.4M	2.38	2.40	171,092	406,715	2,813,355	6,526,914
2017-03-20	$40.03	$39.50	14.2%	4.1%	16.8%	3.5%	14.4%	1.9%	1.3%	50.7M	-2.09B	-30.6M	2.58	2.71	154,112	397,772	1,848,271	4,140,037
2017-03-21	$39.55	$39.50	16.4%	4.7%	17.0%	20.6%	16.3%	3.3%	-0.0%	-23.3M	-1.04B	-33.2M	1.48	3.49	188,113	277,749	1,937,062	4,225,696
2017-03-22	$39.70	$39.50	16.2%	4.6%	17.1%	18.7%	16.4%	3.1%	0.5%	-7.8M	-1.24B	-33.4M	1.55	2.38	180,964	280,334	1,989,887	4,279,889
2017-03-23	$39.69	$40.00	16.4%	4.6%	17.1%	19.8%	17.3%	3.2%	1.2%	14.6M	-1.35B	-34.2M	4.63	2.32	82,413	381,831	2,158,308	4,401,411
2017-03-24	$39.81	$40.00	15.8%	4.4%	16.4%	15.5%	16.8%	3.0%	1.1%	26.2M	-1.42B	-36.0M	3.54	4.02	79,917	283,133	2,192,764	4,623,471
2017-03-27	$39.75	$40.00	16.3%	4.5%	16.3%	19.3%	15.8%	3.2%	0.5%	23.7M	-1.36B	-34.6M	2.35	2.70	110,673	259,546	2,197,024	4,649,815
2017-03-28	$39.80	$40.00	15.2%	4.1%	15.9%	10.9%	15.3%	3.1%	0.6%	33.0M	-1.40B	-35.0M	2.28	1.88	81,359	185,384	2,234,599	4,721,247
2017-03-29	$39.89	$40.00	14.5%	3.9%	15.4%	5.6%	13.5%	2.8%	0.6%	73.4M	-1.82B	-33.3M	2.98	2.10	83,090	248,024	2,266,117	4,711,304
2017-03-30	$39.69	$40.00	14.6%	3.8%	14.0%	6.5%	14.0%	2.6%	0.8%	16.5M	-1.27B	-33.6M	3.72	2.23	66,557	247,449	2,299,835	4,818,629
2017-03-31	$39.38	$40.00	14.1%	3.7%	14.3%	3.3%	14.5%	3.0%	0.8%	-87.4M	-367.5M	-33.9M	3.16	2.00	110,512	349,536	2,316,612	4,872,081