EEM Options History — June 2017

In June 2017, EEM traded between $41.01 and $41.93. ATM implied volatility averaged 13.2%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.2% (HV 20d: 12.0%). Max pain ranged from $40.50 to $42.50. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 4.11.

Notable Days

2017-06-15: Highest Volume — 1,225,670 contracts
2017-06-29: Largest IV spike — 13.5% change
2017-06-29: Highest IV Rank — 26.0%
2017-06-29: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.50	$41.01	$41.93	$41.49	$41.52
Max Pain	$41.43	$40.50	$42.50	$40.50	$42.00
ATM IV	13.2%	11.8%	15.6%	14.2%	14.0%
Expected Move	3.8%	3.4%	4.4%	3.8%	3.9%
HV 20d	12.0%	9.5%	13.7%	13.7%	12.5%
HV 60d	11.5%	10.7%	12.6%	12.6%	12.0%
IV Rank	7.2%	0.0%	26.0%	11.0%	15.1%
IV Percentile	5.3%	0.0%	34.1%	9.9%	14.3%
Term Structure	0.3%	-1.5%	0.7%	-1.5%	0.4%
VWIV	14.0%	11.2%	17.0%	14.8%	14.9%
Skew 25d	3.2%	1.8%	4.3%	3.3%	3.0%
Skew 10d	6.7%	3.6%	9.1%	7.8%	5.7%
Call IV 25d	12.1%	11.0%	14.1%	12.8%	12.9%
Put IV 25d	15.3%	13.1%	17.7%	16.1%	15.9%
Bid-Ask Spread %	2.79	1.89	3.82	2.05	2.15
Gamma HHI	0.09	0.08	0.10	0.08	0.08
Net GEX	-103.3M	-275.5M	17.6M	-40.3M	-208.8M
Net DEX	-754.8M	-3.28B	1.95B	-2.26B	975.8M
Net VEX	-35.5M	-39.9M	-32.3M	-35.5M	-38.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.11	1.74	8.96	7.60	2.70
Total Volume	549,540.818	303,053	1,225,670	345,622	483,490
Total OI	7,931,905.182	6,527,712	9,728,569	8,420,445	7,508,813

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
2017-06-01	$41.49	$40.50	14.2%	3.8%	13.7%	11.0%	14.8%	3.3%	-1.5%	-40.3M	-2.26B	-35.5M	7.60	2.05	40,177	305,445	2,380,759	6,039,686
2017-06-02	$41.75	$40.50	12.8%	3.7%	13.0%	1.5%	13.5%	3.2%	0.6%	11.7M	-3.16B	-33.7M	3.80	1.89	63,172	239,881	2,388,117	6,052,924
2017-06-05	$41.74	$41.00	13.2%	3.9%	12.9%	4.0%	13.3%	3.4%	0.2%	-9.8M	-2.83B	-32.9M	5.11	2.62	68,449	349,939	2,380,057	6,015,167
2017-06-06	$41.73	$41.00	13.4%	4.0%	12.9%	5.8%	14.7%	3.4%	0.1%	14.4M	-3.11B	-32.3M	8.96	2.99	49,924	447,540	2,388,236	6,029,689
2017-06-07	$41.66	$41.00	13.4%	3.9%	12.4%	5.5%	15.3%	3.5%	0.1%	-19.2M	-2.64B	-34.4M	3.25	3.00	114,609	372,009	2,389,448	6,110,019
2017-06-08	$41.93	$41.00	12.3%	3.7%	12.4%	0.0%	14.1%	3.5%	0.3%	2.8M	-3.28B	-33.5M	2.74	2.81	156,299	427,563	2,416,551	6,153,118
2017-06-09	$41.55	$41.00	12.8%	3.9%	12.9%	4.0%	14.8%	3.9%	0.3%	-87.4M	-2.23B	-34.0M	5.93	3.59	91,689	543,864	2,510,907	6,250,670
2017-06-12	$41.30	$41.00	13.3%	4.1%	13.0%	7.3%	15.5%	4.1%	0.7%	-117.0M	-1.10B	-34.7M	4.81	2.30	71,160	342,373	2,496,272	6,359,233
2017-06-13	$41.60	$41.00	13.1%	4.0%	12.9%	5.8%	14.5%	3.8%	0.6%	1.2M	-2.47B	-33.5M	3.29	3.81	84,178	277,080	2,491,593	6,401,022
2017-06-14	$41.55	$41.00	13.3%	3.9%	12.8%	6.9%	14.3%	3.5%	0.4%	17.6M	-2.29B	-32.7M	2.36	3.76	149,537	353,510	2,503,645	6,446,260
2017-06-15	$41.14	$41.00	13.2%	3.8%	12.0%	6.2%	13.4%	4.3%	-0.0%	-58.1M	-875.3M	-33.1M	1.74	2.77	447,267	778,403	2,536,820	6,485,932
2017-06-16	$41.24	$41.00	12.8%	3.7%	10.6%	3.5%	13.4%	3.3%	0.0%	-143.2M	-855.4M	-37.8M	2.09	3.71	285,875	596,555	2,843,677	6,884,892
2017-06-19	$41.63	$41.00	11.8%	3.4%	9.5%	0.0%	11.2%	1.8%	0.7%	-167.8M	-130.2M	-36.4M	2.07	2.57	274,823	569,186	1,806,923	4,720,789
2017-06-20	$41.01	$42.00	13.0%	3.8%	10.9%	8.3%	13.3%	2.5%	0.4%	-271.6M	1.88B	-37.1M	3.06	2.56	186,706	570,760	1,721,327	4,915,361
2017-06-21	$41.10	$42.50	13.1%	3.7%	10.9%	8.5%	12.8%	2.7%	0.5%	-264.9M	1.85B	-37.1M	6.13	2.35	73,878	452,574	1,783,486	5,070,466
2017-06-22	$41.31	$42.50	12.4%	3.5%	10.9%	4.2%	12.6%	2.4%	0.5%	-227.0M	1.38B	-37.0M	5.27	2.53	76,084	401,183	1,828,590	5,021,197
2017-06-23	$41.51	$42.50	12.1%	3.4%	10.9%	2.0%	11.8%	2.6%	0.7%	-51.8M	871.6M	-36.1M	3.67	2.46	114,671	421,407	1,864,785	5,044,467
2017-06-26	$41.90	$42.00	12.7%	3.5%	11.4%	5.7%	13.6%	2.7%	0.1%	-94.2M	185.4M	-36.0M	2.81	2.04	92,914	260,715	1,837,847	5,049,632
2017-06-27	$41.49	$42.00	14.0%	4.1%	11.9%	14.8%	14.2%	3.2%	0.2%	-166.5M	996.0M	-37.7M	3.65	3.00	112,856	411,592	1,888,439	5,072,406
2017-06-28	$41.74	$42.00	13.8%	4.0%	11.5%	13.3%	14.4%	2.6%	0.2%	-117.0M	526.2M	-37.7M	5.96	2.65	48,913	291,602	1,947,406	5,239,013
2017-06-29	$41.17	$42.00	15.6%	4.4%	12.3%	26.0%	17.0%	3.6%	0.2%	-275.5M	1.95B	-39.9M	3.50	3.82	131,117	458,929	1,962,950	5,263,323
2017-06-30	$41.52	$42.00	14.0%	3.9%	12.5%	15.1%	14.9%	3.0%	0.4%	-208.8M	975.8M	-38.7M	2.70	2.15	130,517	352,973	2,043,981	5,464,832