EEM Options History — May 2017

In May 2017, EEM traded between $39.87 and $41.70. ATM implied volatility averaged 14.2%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.3% (HV 20d: 11.9%). Max pain ranged from $39.00 to $40.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 3.05.

Notable Days

2017-05-04: Highest Volume — 715,325 contracts
2017-05-17: Largest IV spike — 17.5% change
2017-05-18: Highest IV Rank — 29.4%
2017-05-18: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.95	$39.87	$41.70	$40.32	$41.16
Max Pain	$40.00	$39.00	$40.50	$39.50	$40.50
ATM IV	14.2%	12.6%	16.8%	12.6%	14.4%
Expected Move	4.1%	3.5%	4.8%	3.5%	4.2%
HV 20d	11.9%	9.5%	14.2%	9.5%	13.7%
HV 60d	12.6%	12.2%	13.5%	12.2%	12.5%
IV Rank	11.1%	0.0%	29.4%	0.0%	12.8%
IV Percentile	8.5%	0.0%	33.7%	0.0%	12.3%
Term Structure	0.3%	-0.6%	0.9%	0.5%	0.0%
VWIV	15.3%	12.9%	19.1%	12.9%	15.5%
Skew 25d	3.2%	2.3%	4.4%	2.7%	3.8%
Skew 10d	6.6%	4.7%	9.0%	5.3%	7.3%
Call IV 25d	13.1%	11.8%	15.3%	12.0%	12.9%
Put IV 25d	16.2%	14.5%	19.6%	14.7%	16.7%
Bid-Ask Spread %	2.16	1.63	3.58	2.00	2.45
Gamma HHI	0.10	0.08	0.24	0.08	0.08
Net GEX	-37.5M	-257.5M	256.4M	-66.7M	-93.7M
Net DEX	-2.13B	-4.85B	140.8M	-1.40B	-1.39B
Net VEX	-35.1M	-39.0M	-32.5M	-34.2M	-35.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.05	1.67	5.69	1.67	5.69
Total Volume	451,514.318	313,454	715,325	500,830	450,175
Total OI	8,525,707.727	7,772,054	9,506,555	7,838,874	8,266,346

Daily Data (22 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
2017-05-01	$40.32	$39.50	12.6%	3.5%	9.5%	0.0%	12.9%	2.7%	0.5%	-66.7M	-1.40B	-34.2M	1.67	2.00	187,580	313,250	2,287,196	5,551,678
2017-05-02	$40.55	$39.50	12.9%	3.6%	9.5%	2.5%	12.9%	2.7%	0.3%	16.7M	-2.12B	-34.2M	3.18	2.29	126,223	401,862	2,348,224	5,601,299
2017-05-03	$40.30	$39.50	13.0%	3.6%	9.8%	3.0%	15.1%	2.9%	0.5%	-75.0M	-1.34B	-34.7M	4.50	2.13	85,670	385,641	2,363,463	5,710,550
2017-05-04	$39.87	$39.00	14.5%	4.5%	10.6%	13.6%	16.1%	3.0%	0.5%	-257.5M	140.8M	-36.3M	4.27	1.78	135,675	579,650	2,366,660	5,810,568
2017-05-05	$40.15	$40.00	14.2%	4.4%	10.7%	11.2%	15.6%	2.9%	0.2%	-256.3M	-342.9M	-37.4M	2.67	1.80	159,598	425,924	2,404,228	6,113,851
2017-05-08	$40.17	$40.00	14.0%	4.3%	10.7%	9.7%	14.6%	2.6%	0.9%	-216.2M	-316.1M	-36.0M	2.69	1.87	125,293	336,757	2,422,649	6,163,308
2017-05-09	$40.65	$40.00	14.2%	4.3%	11.1%	11.0%	15.1%	2.6%	0.6%	-48.7M	-1.98B	-35.4M	2.75	2.65	129,512	356,614	2,474,849	6,249,296
2017-05-10	$40.94	$40.00	13.4%	4.0%	11.2%	5.4%	15.1%	2.7%	0.4%	18.9M	-2.79B	-34.9M	3.32	1.98	77,443	256,970	2,494,292	6,349,542
2017-05-11	$41.05	$40.00	13.6%	4.1%	11.2%	7.3%	14.8%	2.7%	0.8%	41.2M	-2.99B	-34.4M	2.83	1.78	84,674	239,910	2,512,179	6,384,246
2017-05-12	$41.21	$40.00	14.0%	4.2%	11.2%	9.8%	14.7%	2.3%	0.9%	18.9M	-3.26B	-35.1M	1.72	1.89	190,308	327,181	2,508,915	6,434,042
2017-05-15	$41.59	$40.00	14.0%	4.1%	11.4%	9.6%	14.9%	2.7%	0.5%	143.1M	-4.66B	-32.5M	2.33	1.87	140,670	327,577	2,574,882	6,465,981
2017-05-16	$41.68	$40.00	14.1%	4.1%	11.0%	10.8%	16.4%	2.8%	0.4%	162.6M	-4.85B	-32.6M	2.78	2.18	111,712	310,254	2,625,112	6,514,046
2017-05-17	$41.01	$40.00	16.6%	4.8%	12.4%	27.9%	19.1%	4.4%	-0.2%	-53.8M	-2.20B	-37.5M	4.12	2.21	115,005	473,688	2,641,226	6,627,014
2017-05-18	$40.42	$40.00	16.8%	4.8%	13.1%	29.4%	18.6%	4.3%	0.5%	-248.7M	35.0M	-39.0M	3.01	2.35	150,464	452,234	2,655,538	6,851,017
2017-05-19	$41.10	$40.00	15.2%	4.4%	14.2%	18.3%	15.7%	3.6%	-0.0%	256.4M	-3.11B	-35.6M	2.56	3.58	106,691	273,411	2,687,601	6,770,033
2017-05-22	$41.27	$40.00	14.4%	4.0%	13.7%	12.6%	15.5%	4.4%	0.6%	-67.8M	-2.00B	-34.6M	2.14	2.73	99,797	213,657	2,204,249	5,567,805
2017-05-23	$41.21	$40.00	14.9%	4.1%	13.4%	16.2%	14.2%	3.7%	-0.4%	-59.1M	-1.91B	-34.9M	2.98	2.31	82,985	247,353	2,251,293	5,628,761
2017-05-24	$41.40	$40.50	14.1%	3.9%	13.2%	10.3%	14.6%	3.4%	0.7%	-34.7M	-2.31B	-34.6M	3.74	1.79	85,977	321,310	2,302,904	5,721,993
2017-05-25	$41.62	$40.50	13.8%	3.8%	13.2%	8.2%	15.8%	2.8%	-0.6%	25.3M	-2.85B	-33.6M	3.90	2.42	74,012	288,893	2,341,624	5,837,710
2017-05-26	$41.70	$40.50	13.7%	3.8%	13.2%	7.7%	13.7%	3.0%	-0.6%	-14.2M	-2.75B	-35.1M	2.08	1.63	115,136	238,951	2,343,815	5,925,618
2017-05-30	$41.54	$40.50	13.7%	3.9%	13.3%	7.6%	15.1%	3.5%	0.5%	-16.2M	-2.55B	-34.5M	2.15	1.76	104,041	223,587	2,351,615	5,858,352
2017-05-31	$41.16	$40.50	14.4%	4.2%	13.7%	12.8%	15.5%	3.8%	0.0%	-93.7M	-1.39B	-35.2M	5.69	2.45	67,299	382,876	2,358,602	5,907,744