EEM Options History — April 2017

In April 2017, EEM traded between $38.75 and $40.23. ATM implied volatility averaged 15.9%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 5.5% (HV 20d: 10.4%). Max pain ranged from $38.50 to $40.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 3.56.

Notable Days

  • 2017-04-27: Highest Volume — 932,894 contracts
  • 2017-04-24: Largest IV drop — 22.3% change
  • 2017-04-19: Highest IV Rank — 37.2%
  • 2017-04-19: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.49$38.75$40.23$39.62$40.07
Max Pain$39.16$38.50$40.00$40.00$39.50
ATM IV15.9%13.0%18.7%14.9%13.0%
Expected Move4.5%3.6%5.4%3.9%3.7%
HV 20d10.4%6.2%14.4%14.4%9.8%
HV 60d12.0%11.7%12.1%12.0%12.1%
IV Rank17.2%0.0%37.2%8.9%0.0%
IV Percentile20.0%0.0%50.0%8.7%0.0%
Term Structure0.0%-0.8%0.8%0.4%0.2%
VWIV16.2%12.2%20.6%14.0%12.8%
Skew 25d3.6%2.3%5.0%3.0%2.6%
Skew 10d8.0%4.3%11.1%6.6%6.2%
Call IV 25d14.6%11.8%16.6%14.0%11.8%
Put IV 25d18.2%14.5%21.2%17.0%14.5%
Bid-Ask Spread %2.522.043.112.372.72
Gamma HHI0.080.070.090.080.08
Net GEX-128.8M-334.6M18.6M18.6M-123.0M
Net DEX195.7M-1.54B2.27B-913.8M-843.0M
Net VEX-34.4M-36.8M-30.3M-33.9M-34.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.561.197.257.252.59
Total Volume420,987.368208,124932,894313,190570,527
Total OI7,593,988.6846,716,5348,390,7357,070,3627,774,252

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$39.62$40.0014.9%3.9%14.4%8.9%14.0%3.0%0.4%18.6M-913.8M-33.9M7.252.3737,947275,2432,346,4254,723,937
2017-04-04$39.65$40.0015.2%4.0%14.4%11.0%14.8%2.8%0.7%13.3M-943.2M-34.5M5.432.09113,902618,5142,356,5294,779,437
2017-04-05$39.57$40.0015.0%3.6%14.1%10.1%12.2%3.2%0.4%-48.2M-438.4M-36.5M2.552.64116,934298,1862,412,3165,186,788
2017-04-06$39.39$38.5015.3%4.6%13.7%11.9%17.0%3.0%0.8%-106.8M68.0M-36.7M3.842.8779,185304,3122,431,3915,229,645
2017-04-07$39.37$38.5015.5%4.6%13.5%13.4%16.0%3.7%0.6%-160.3M376.8M-36.8M3.882.3173,450285,0552,440,7705,281,297
2017-04-10$39.19$39.0016.7%4.8%12.6%22.7%16.3%4.2%-0.2%-172.4M937.6M-35.4M6.052.5737,790228,6242,436,4645,266,983
2017-04-11$39.12$39.0017.5%4.9%12.5%28.7%18.8%4.7%-0.5%-202.2M1.22B-35.7M6.592.3048,224317,6522,439,0025,314,960
2017-04-12$39.23$39.0017.3%5.0%8.3%26.6%17.4%5.0%0.0%-203.0M995.7M-35.2M3.022.4960,416182,4802,460,6035,394,379
2017-04-13$39.24$39.0018.1%5.1%8.2%33.3%17.7%4.9%-0.7%-156.5M817.2M-35.6M3.592.3363,750228,8972,473,8535,422,262
2017-04-17$39.28$39.0017.9%5.1%8.2%31.1%20.6%4.3%-0.1%-153.8M850.6M-35.0M3.432.5146,976161,1482,474,4445,455,148
2017-04-18$39.08$39.0018.4%5.3%6.9%35.1%18.7%4.5%-0.4%-214.1M1.32B-34.5M1.192.84134,366160,0112,500,3675,465,166
2017-04-19$38.75$39.0018.7%5.4%6.2%37.2%17.6%4.6%-0.4%-334.6M2.27B-34.9M2.542.80114,004289,6772,557,8095,465,029
2017-04-20$39.28$39.0017.2%5.0%8.0%26.3%18.8%4.3%-0.3%-173.9M911.1M-33.3M1.942.04162,288314,8242,565,4035,592,829
2017-04-21$39.33$39.0017.4%5.0%8.0%27.5%20.1%4.2%-0.8%-158.9M904.2M-34.3M2.472.47132,854328,7302,655,6225,735,113
2017-04-24$39.84$39.0013.5%3.7%9.2%0.0%14.1%2.7%0.0%-91.9M-616.1M-31.7M2.942.2787,994258,6901,868,1594,848,375
2017-04-25$40.23$39.0013.5%3.9%9.8%0.1%13.5%2.3%0.4%-12.8M-1.54B-30.3M2.023.11153,176309,0401,902,4784,910,512
2017-04-26$40.05$39.0013.8%3.8%10.0%1.8%14.5%2.3%-0.1%-63.9M-923.6M-32.6M3.542.69103,687367,3131,998,7054,971,951
2017-04-27$39.98$39.5013.6%3.7%10.0%1.0%13.7%2.7%0.0%-102.0M-732.9M-32.4M2.772.55247,558685,3362,031,5885,115,794
2017-04-28$40.07$39.5013.0%3.7%9.8%0.0%12.8%2.6%0.2%-123.0M-843.0M-34.8M2.592.72158,828411,6992,229,1645,545,088