EEM Options History — July 2017

In July 2017, EEM traded between $41.03 and $44.00. ATM implied volatility averaged 13.1%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.1% (HV 20d: 13.3%). Max pain ranged from $41.00 to $42.50. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 4.54.

Notable Days

  • 2017-07-18: Highest Volume — 678,400 contracts
  • 2017-07-06: Largest IV spike — 9.4% change
  • 2017-07-06: Highest IV Rank — 27.4%
  • 2017-07-06: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.90$41.03$44.00$41.63$43.77
Max Pain$41.85$41.00$42.50$42.00$42.50
ATM IV13.1%12.1%15.8%14.4%12.1%
Expected Move3.7%3.2%4.6%4.1%3.2%
HV 20d13.3%11.3%14.8%12.5%11.3%
HV 60d12.5%11.9%13.0%11.9%12.2%
IV Rank9.3%2.2%27.4%17.5%2.3%
IV Percentile8.8%0.8%36.9%19.4%1.2%
Term Structure0.3%-0.0%0.6%0.2%-0.0%
VWIV14.2%12.2%17.5%14.8%13.9%
Skew 25d2.8%2.1%3.9%2.8%3.0%
Skew 10d6.1%4.4%8.7%6.1%6.1%
Call IV 25d12.2%11.3%14.4%13.3%11.6%
Put IV 25d15.0%13.6%18.3%16.2%14.6%
Bid-Ask Spread %2.331.773.212.671.77
Gamma HHI0.080.070.110.090.07
Net GEX-106.3M-369.6M7.6M-150.7M-130.5M
Net DEX-1.76B-4.10B2.62B920.8M-2.82B
Net VEX-37.9M-41.3M-35.1M-38.8M-37.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.542.326.964.915.95
Total Volume472,059.2302,162678,400302,162398,188
Total OI8,215,153.857,402,0209,131,5857,402,0208,512,597

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$41.63$42.0014.4%4.1%12.5%17.5%14.8%2.8%0.2%-150.7M920.8M-38.8M4.912.6751,087251,0752,053,9635,348,057
2017-07-05$41.52$42.0014.5%3.9%12.5%18.2%13.9%3.2%0.2%-186.4M1.19B-38.5M6.963.1053,289370,6612,060,8405,385,013
2017-07-06$41.03$41.5015.8%4.6%13.2%27.4%17.5%3.9%0.0%-323.3M2.62B-41.3M4.832.4791,768443,2492,071,9105,479,162
2017-07-07$41.15$41.0015.1%4.4%13.0%22.6%16.8%3.4%0.1%-369.6M2.25B-40.6M5.482.0490,523496,1222,126,2135,636,592
2017-07-10$41.51$41.0013.9%4.0%13.0%14.0%16.3%3.1%0.2%-275.1M1.40B-40.3M4.872.8086,240419,8132,101,2065,789,404
2017-07-11$41.86$41.0013.9%4.1%13.2%14.2%16.7%3.6%0.5%-179.4M486.7M-39.7M3.802.53113,257430,5712,140,6175,869,863
2017-07-12$42.73$41.0013.6%3.9%14.8%12.0%14.5%2.4%0.1%-40.1M-1.84B-37.5M3.952.00129,771513,1962,192,9506,032,904
2017-07-13$42.89$41.5012.4%3.6%14.8%4.3%14.0%2.5%0.1%-41.1M-2.08B-37.6M4.222.5284,285355,3782,205,8296,174,032
2017-07-14$43.42$41.5012.4%3.6%14.6%4.0%12.8%2.1%0.4%7.4M-3.47B-35.1M3.632.17125,021453,4562,240,7626,223,895
2017-07-17$43.21$41.5013.0%3.7%14.8%7.9%13.6%2.5%0.5%-34.1M-2.68B-38.2M4.593.2077,777357,1792,274,2156,267,409
2017-07-18$43.39$42.0012.7%3.6%14.6%6.1%13.2%2.6%0.1%-20.4M-3.41B-37.4M2.321.99204,353474,0472,331,0576,359,869
2017-07-19$43.66$42.0012.7%3.6%13.2%5.9%13.4%2.2%0.1%-16.7M-4.10B-37.2M3.842.1988,423339,9502,415,4486,540,587
2017-07-20$43.65$42.0012.4%3.5%13.3%4.1%12.6%2.4%0.4%-34.4M-4.08B-37.7M3.232.2791,200294,5692,444,6766,573,773
2017-07-21$43.58$42.0012.4%3.5%13.3%4.2%13.3%2.8%0.6%7.6M-4.05B-37.3M2.682.01126,002337,3062,493,0286,638,557
2017-07-24$43.78$42.5012.2%3.3%13.3%2.6%14.8%2.5%0.4%-46.5M-3.17B-36.8M3.062.09115,803354,4642,122,3265,701,936
2017-07-25$43.64$42.5012.7%3.5%13.2%6.0%13.2%2.4%0.6%-66.6M-2.90B-36.4M4.451.9169,917310,9222,178,0055,803,642
2017-07-26$44.00$42.5012.1%3.3%12.6%2.2%12.2%2.4%0.3%-36.1M-3.55B-36.3M4.601.8764,394296,1192,196,7345,869,178
2017-07-27$43.76$42.5012.3%3.4%12.9%3.5%13.6%2.8%0.3%-78.0M-2.98B-36.6M6.753.2143,161291,5462,216,2805,956,494
2017-07-28$43.74$42.5012.7%3.5%11.5%6.3%12.6%2.8%0.4%-111.2M-2.86B-37.5M6.631.8371,750475,3522,238,0696,035,985
2017-07-31$43.77$42.5012.1%3.2%11.3%2.3%13.9%3.0%-0.0%-130.5M-2.82B-37.6M5.951.7757,307340,8812,257,4766,255,121