EEM Options History — August 2017

In August 2017, EEM traded between $42.85 and $44.92. ATM implied volatility averaged 14.1%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.1% (HV 20d: 12.1%). Max pain ranged from $42.00 to $42.50. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 4.68.

Notable Days

2017-08-10: Highest Volume — 905,701 contracts
2017-08-17: Largest IV spike — 34.3% change
2017-08-11: Highest IV Rank — 43.4%
2017-08-11: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.03	$42.85	$44.92	$43.96	$44.85
Max Pain	$42.26	$42.00	$42.50	$42.50	$42.50
ATM IV	14.1%	12.0%	18.2%	12.0%	13.6%
Expected Move	4.0%	3.2%	5.3%	3.2%	3.5%
HV 20d	12.1%	8.4%	13.7%	11.4%	13.4%
HV 60d	12.4%	12.0%	13.1%	12.2%	12.4%
IV Rank	15.8%	1.9%	43.4%	1.9%	12.2%
IV Percentile	25.0%	0.4%	69.0%	0.4%	18.7%
Term Structure	0.5%	-0.4%	1.2%	0.2%	0.5%
VWIV	15.5%	12.1%	19.4%	12.1%	15.2%
Skew 25d	3.8%	2.6%	6.0%	2.6%	3.4%
Skew 10d	8.6%	5.6%	12.5%	5.6%	8.2%
Call IV 25d	12.9%	11.3%	16.5%	11.3%	12.5%
Put IV 25d	16.8%	13.9%	21.6%	13.9%	15.8%
Bid-Ask Spread %	2.44	1.77	3.46	1.79	2.37
Gamma HHI	0.09	0.07	0.15	0.07	0.11
Net GEX	-25.7M	-389.7M	227.3M	-103.2M	131.8M
Net DEX	-3.11B	-5.83B	1.20B	-3.33B	-5.03B
Net VEX	-41.7M	-50.8M	-36.5M	-37.0M	-36.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.68	0.80	20.19	6.42	5.69
Total Volume	473,342.348	283,653	905,701	283,653	367,358
Total OI	10,063,344.348	8,601,932	10,986,600	8,601,932	10,407,505

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
2017-08-01	$43.96	$42.50	12.0%	3.2%	11.4%	1.9%	12.1%	2.6%	0.2%	-103.2M	-3.33B	-37.0M	6.42	1.79	38,232	245,421	2,268,755	6,333,177
2017-08-02	$43.94	$42.50	12.4%	3.3%	11.2%	4.2%	13.1%	2.6%	0.1%	-103.2M	-3.31B	-36.5M	20.19	1.77	18,781	379,138	2,281,026	6,354,934
2017-08-03	$43.75	$42.00	13.1%	3.9%	10.2%	9.3%	16.7%	2.9%	0.1%	-178.4M	-2.50B	-38.9M	11.85	2.44	39,414	467,102	2,286,097	6,572,535
2017-08-04	$43.92	$42.00	12.2%	3.7%	10.2%	2.8%	13.1%	2.7%	0.2%	-180.6M	-3.03B	-37.5M	2.69	2.01	212,435	572,165	2,308,302	6,695,193
2017-08-07	$44.25	$42.00	12.6%	3.7%	10.1%	5.8%	13.6%	2.8%	0.3%	-97.3M	-3.58B	-38.1M	2.07	1.86	177,151	366,094	2,471,450	6,935,948
2017-08-08	$44.26	$42.00	12.4%	3.7%	10.0%	4.1%	15.0%	2.9%	0.4%	-64.7M	-3.83B	-40.2M	3.14	2.62	94,793	297,900	2,620,706	7,042,169
2017-08-09	$43.87	$42.00	13.8%	4.1%	8.4%	13.6%	17.1%	3.4%	0.3%	-190.0M	-2.27B	-43.2M	8.72	2.54	64,636	563,930	2,634,061	7,143,439
2017-08-10	$42.85	$42.00	18.1%	5.2%	12.1%	42.5%	18.0%	5.1%	-0.0%	-389.7M	1.20B	-48.0M	1.93	2.77	308,668	597,033	2,627,692	7,146,262
2017-08-11	$42.96	$42.00	18.2%	5.3%	11.2%	43.4%	19.4%	5.3%	0.4%	-316.3M	859.8M	-50.8M	1.59	3.46	319,014	505,968	2,920,669	7,463,279
2017-08-14	$43.40	$42.00	14.2%	4.1%	11.7%	16.8%	15.9%	4.4%	1.1%	-131.4M	-1.23B	-46.9M	3.62	2.51	78,418	283,982	3,133,756	7,607,049
2017-08-15	$43.43	$42.00	13.5%	3.9%	11.6%	11.8%	15.9%	4.0%	1.1%	-101.4M	-1.60B	-44.6M	3.32	2.35	86,955	288,621	3,160,179	7,622,705
2017-08-16	$43.82	$42.00	12.5%	3.6%	11.9%	4.6%	16.0%	3.4%	1.1%	68.0M	-3.18B	-43.8M	3.88	2.57	64,700	250,766	3,169,998	7,617,293
2017-08-17	$43.28	$42.00	16.7%	4.8%	12.7%	33.5%	18.2%	6.0%	-0.0%	-180.0M	-759.2M	-46.7M	5.25	3.16	90,447	474,583	3,166,468	7,655,189
2017-08-18	$43.74	$42.50	15.9%	4.5%	13.3%	28.1%	17.9%	4.8%	0.5%	-33.8M	-2.22B	-47.3M	3.38	2.97	132,953	449,500	3,178,607	7,807,993
2017-08-21	$43.84	$42.50	15.3%	4.1%	13.2%	23.9%	16.0%	5.2%	0.2%	15.3M	-2.24B	-43.8M	2.97	2.90	97,026	288,465	2,951,845	7,175,409
2017-08-22	$44.34	$42.50	13.8%	3.7%	13.7%	13.7%	14.5%	4.1%	1.2%	126.8M	-4.11B	-41.6M	3.13	2.21	81,306	254,370	2,991,928	7,237,343
2017-08-23	$44.54	$42.50	14.1%	3.9%	13.5%	15.7%	14.4%	4.1%	-0.1%	183.6M	-4.73B	-41.8M	3.63	2.25	70,006	254,292	3,009,177	7,282,053
2017-08-24	$44.66	$42.50	14.4%	4.1%	13.3%	17.9%	15.0%	3.3%	-0.4%	174.7M	-5.15B	-39.9M	4.70	2.68	80,913	380,351	3,022,953	7,309,382
2017-08-25	$44.92	$42.50	13.5%	3.7%	13.4%	11.5%	14.0%	3.3%	0.5%	169.0M	-5.83B	-39.8M	3.44	2.57	76,320	262,622	3,042,951	7,453,305
2017-08-28	$44.73	$42.50	14.1%	3.9%	13.6%	15.6%	12.4%	3.8%	1.0%	187.1M	-5.35B	-38.1M	3.41	1.95	72,401	246,800	3,021,904	7,362,662
2017-08-29	$44.66	$42.50	14.0%	3.9%	13.5%	15.2%	17.3%	4.1%	0.9%	194.2M	-4.92B	-39.4M	1.78	1.79	145,027	257,694	3,068,915	7,377,981
2017-08-30	$44.73	$42.50	14.0%	3.9%	13.5%	14.9%	15.4%	4.0%	1.1%	227.3M	-5.43B	-38.4M	0.80	2.52	268,394	214,729	3,091,788	7,424,888
2017-08-31	$44.85	$42.50	13.6%	3.5%	13.4%	12.2%	15.2%	3.4%	0.5%	131.8M	-5.03B	-36.8M	5.69	2.37	54,885	312,473	2,863,214	7,544,291