EEM Options History — September 2017

In September 2017, EEM traded between $44.35 and $45.83. ATM implied volatility averaged 13.5%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.0% (HV 20d: 11.5%). Max pain ranged from $42.50 to $45.50. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.99.

Notable Days

2017-09-28: Highest Volume — 769,796 contracts
2017-09-25: Largest IV spike — 20.6% change
2017-09-25: Highest IV Rank — 26.7%
2017-09-25: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.14	$44.35	$45.83	$45.16	$44.88
Max Pain	$44.98	$42.50	$45.50	$42.50	$45.00
ATM IV	13.5%	11.5%	15.5%	12.9%	13.7%
Expected Move	3.9%	3.2%	4.3%	3.2%	3.8%
HV 20d	11.5%	9.4%	14.3%	13.5%	12.2%
HV 60d	12.3%	11.9%	12.6%	12.4%	12.0%
IV Rank	12.6%	0.0%	26.7%	7.9%	14.5%
IV Percentile	22.4%	0.0%	55.2%	10.7%	24.2%
Term Structure	0.5%	-0.5%	1.3%	0.7%	0.3%
VWIV	15.1%	12.5%	19.0%	12.6%	14.8%
Skew 25d	3.6%	2.9%	4.6%	3.0%	3.4%
Skew 10d	8.3%	6.2%	10.4%	6.4%	7.8%
Call IV 25d	12.2%	10.6%	13.7%	11.5%	12.4%
Put IV 25d	15.8%	13.6%	18.2%	14.5%	15.8%
Bid-Ask Spread %	2.42	1.71	3.78	2.13	2.33
Gamma HHI	0.08	0.07	0.10	0.08	0.07
Net GEX	-95.7M	-422.2M	112.1M	-8.5M	-219.8M
Net DEX	-2.91B	-6.66B	1.64B	-5.93B	-303.6M
Net VEX	-38.4M	-44.6M	-34.7M	-35.4M	-44.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.99	1.35	7.52	2.43	1.40
Total Volume	552,602.1	357,939	769,796	466,349	585,396
Total OI	9,422,899.7	7,607,363	10,902,317	10,489,605	9,042,118

Daily Data (20 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
2017-09-01	$45.16	$42.50	12.9%	3.2%	13.5%	7.9%	12.6%	3.0%	0.7%	-8.5M	-5.93B	-35.4M	2.43	2.13	135,769	330,580	2,886,844	7,602,761
2017-09-05	$44.59	$45.00	15.5%	4.3%	14.2%	25.2%	19.0%	4.6%	0.0%	-102.3M	-3.11B	-38.8M	4.84	2.87	96,654	467,586	2,794,956	7,406,445
2017-09-06	$44.85	$45.00	14.0%	4.2%	14.3%	15.1%	15.8%	3.6%	0.2%	-43.7M	-4.16B	-38.6M	2.65	1.85	181,516	481,905	2,827,603	7,533,924
2017-09-07	$45.17	$45.00	14.0%	4.1%	14.0%	14.8%	17.8%	3.7%	0.2%	21.6M	-5.12B	-36.1M	7.52	2.25	66,595	500,957	2,856,376	7,626,377
2017-09-08	$44.87	$45.00	14.5%	4.3%	11.0%	18.8%	16.5%	4.1%	0.4%	-80.2M	-3.65B	-40.0M	3.16	2.30	107,231	338,987	2,843,687	7,593,936
2017-09-11	$45.48	$45.00	13.4%	4.2%	11.7%	11.1%	16.0%	3.4%	1.0%	55.8M	-6.19B	-34.8M	3.55	1.71	78,746	279,193	2,827,811	7,619,161
2017-09-12	$45.43	$45.00	12.9%	4.0%	11.4%	7.6%	14.4%	3.5%	1.0%	27.6M	-5.80B	-36.0M	1.43	1.94	265,259	379,037	2,850,287	7,687,487
2017-09-13	$45.19	$45.00	12.6%	3.7%	11.7%	5.8%	14.4%	3.4%	0.3%	-16.7M	-5.42B	-35.7M	1.90	2.71	227,178	430,967	2,943,566	7,782,261
2017-09-14	$45.29	$45.00	11.8%	3.7%	11.5%	0.4%	12.5%	3.3%	1.3%	6.6M	-6.01B	-35.2M	2.42	2.22	146,847	355,327	3,032,281	7,870,036
2017-09-15	$45.58	$45.00	11.5%	3.2%	10.3%	0.0%	13.1%	2.9%	-0.5%	112.1M	-6.66B	-35.1M	3.29	2.14	165,926	546,543	2,995,017	7,881,141
2017-09-18	$45.79	$45.00	11.8%	3.4%	9.9%	1.9%	13.0%	3.2%	0.8%	29.5M	-2.80B	-34.7M	3.15	2.53	119,766	377,370	2,016,919	5,590,444
2017-09-19	$45.83	$45.00	12.7%	3.7%	9.9%	8.2%	14.9%	3.6%	0.5%	-6.5M	-2.64B	-36.7M	2.69	2.34	128,755	346,845	2,099,755	5,722,598
2017-09-20	$45.66	$45.00	13.5%	3.9%	9.5%	13.0%	14.1%	3.6%	0.3%	-15.5M	-2.10B	-38.9M	3.77	3.47	98,783	372,103	2,182,227	5,891,578
2017-09-21	$45.67	$45.00	13.4%	3.8%	9.4%	12.5%	15.7%	3.6%	0.5%	-23.0M	-1.99B	-39.7M	3.58	2.29	109,138	391,034	2,206,895	5,984,357
2017-09-22	$45.43	$45.50	12.9%	3.6%	9.7%	9.1%	15.2%	3.6%	0.5%	-133.8M	-1.29B	-41.1M	2.78	2.19	140,277	389,473	2,241,600	6,081,363
2017-09-25	$44.65	$45.50	15.5%	4.3%	11.4%	26.7%	16.2%	4.5%	0.1%	-322.6M	764.9M	-42.1M	2.61	3.05	164,290	428,282	2,235,983	6,062,444
2017-09-26	$44.57	$45.50	14.8%	4.2%	11.4%	22.0%	15.2%	4.3%	0.6%	-362.4M	1.05B	-41.3M	2.37	3.78	125,698	298,455	2,271,903	6,183,110
2017-09-27	$44.35	$45.50	14.6%	4.1%	11.5%	20.7%	15.3%	4.1%	0.4%	-422.2M	1.58B	-42.0M	2.84	2.10	162,312	461,466	2,319,455	6,241,896
2017-09-28	$44.35	$45.00	14.1%	3.9%	11.5%	17.1%	14.6%	3.4%	0.6%	-409.2M	1.64B	-41.5M	1.35	2.14	327,040	442,756	2,366,684	6,254,708
2017-09-29	$44.88	$45.00	13.7%	3.8%	12.2%	14.5%	14.8%	3.4%	0.3%	-219.8M	-303.6M	-44.6M	1.40	2.33	243,536	341,860	2,603,669	6,438,449