EEM Options History — October 2017

In October 2017, EEM traded between $44.83 and $46.68. ATM implied volatility averaged 13.7%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.6% (HV 20d: 11.1%). Max pain ranged from $45.00 to $45.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.76.

Notable Days

2017-10-13: Highest Volume — 591,580 contracts
2017-10-16: Largest IV spike — 7.8% change
2017-10-30: Highest IV Rank — 21.8%
2017-10-30: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.96	$44.83	$46.68	$44.83	$46.22
Max Pain	$45.18	$45.00	$45.50	$45.00	$45.50
ATM IV	13.7%	12.6%	14.8%	14.0%	14.6%
Expected Move	4.0%	3.7%	4.4%	4.0%	4.3%
HV 20d	11.1%	9.6%	12.2%	12.0%	9.6%
HV 60d	11.6%	11.3%	12.2%	12.0%	11.9%
IV Rank	14.7%	7.6%	21.8%	16.3%	20.7%
IV Percentile	28.9%	9.1%	54.4%	29.0%	52.0%
Term Structure	0.2%	-0.4%	0.6%	-0.1%	0.3%
VWIV	15.1%	13.3%	18.1%	14.8%	17.3%
Skew 25d	3.1%	2.6%	3.8%	3.4%	3.6%
Skew 10d	7.0%	5.3%	8.6%	8.1%	8.3%
Call IV 25d	12.7%	11.6%	13.9%	13.1%	13.0%
Put IV 25d	15.8%	14.2%	17.7%	16.5%	16.7%
Bid-Ask Spread %	2.63	1.92	3.33	2.84	3.07
Gamma HHI	0.10	0.07	0.14	0.07	0.09
Net GEX	67.4M	-231.9M	282.4M	-231.9M	55.2M
Net DEX	-3.73B	-6.55B	-309.3M	-309.3M	-3.29B
Net VEX	-39.1M	-42.8M	-35.8M	-42.8M	-38.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.76	1.04	12.19	2.36	5.79
Total Volume	451,219.227	288,992	591,580	541,803	471,277
Total OI	8,948,821.136	7,874,509	9,878,415	8,647,821	8,258,369

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
2017-10-02	$44.83	$45.00	14.0%	4.0%	12.0%	16.3%	14.8%	3.4%	-0.1%	-231.9M	-309.3M	-42.8M	2.36	2.84	161,183	380,620	2,545,317	6,102,504
2017-10-03	$45.49	$45.00	13.9%	3.9%	12.2%	15.9%	13.8%	3.1%	0.2%	-26.4M	-2.50B	-41.2M	1.36	1.92	226,227	306,617	2,602,751	6,146,077
2017-10-04	$45.54	$45.00	13.4%	3.8%	12.0%	12.8%	13.9%	2.9%	0.4%	1.7M	-2.60B	-41.8M	1.04	2.16	249,970	259,309	2,738,428	6,283,574
2017-10-05	$45.82	$45.00	13.0%	3.9%	12.0%	10.3%	15.3%	2.6%	0.3%	87.8M	-3.75B	-39.8M	1.85	2.24	129,894	240,539	2,768,896	6,292,036
2017-10-06	$45.61	$45.00	13.8%	4.1%	11.8%	15.1%	15.6%	2.7%	0.2%	24.1M	-2.96B	-41.6M	3.11	2.78	119,091	369,983	2,836,480	6,330,922
2017-10-09	$45.57	$45.00	13.9%	4.0%	10.8%	16.3%	17.1%	3.1%	0.1%	-945.8K	-2.77B	-41.1M	4.49	2.63	72,519	325,672	2,867,334	6,400,880
2017-10-10	$46.02	$45.00	13.7%	3.9%	11.3%	14.6%	15.4%	3.0%	0.1%	127.8M	-4.38B	-39.8M	2.78	2.99	76,494	212,498	2,876,509	6,420,814
2017-10-11	$46.26	$45.00	13.0%	3.8%	11.2%	9.9%	14.1%	2.8%	0.2%	170.6M	-5.21B	-37.7M	5.18	2.13	59,810	309,528	2,889,827	6,446,332
2017-10-12	$46.24	$45.00	13.5%	3.9%	11.2%	13.5%	13.5%	2.9%	0.2%	51.2M	-4.90B	-38.8M	3.28	3.22	78,817	258,615	2,900,248	6,545,112
2017-10-13	$46.62	$45.00	12.6%	3.7%	11.4%	7.6%	13.3%	2.6%	0.2%	278.5M	-6.55B	-35.8M	2.00	2.36	197,268	394,312	2,939,803	6,599,310
2017-10-16	$46.68	$45.00	13.6%	3.9%	11.3%	14.2%	14.9%	3.4%	-0.3%	282.4M	-6.51B	-36.1M	3.71	2.23	62,522	232,149	2,959,257	6,530,214
2017-10-17	$46.44	$45.00	13.1%	3.8%	11.5%	10.4%	14.6%	3.3%	-0.3%	231.1M	-5.87B	-36.4M	3.21	2.13	118,306	379,552	2,967,071	6,588,070
2017-10-18	$46.47	$45.00	14.0%	4.0%	11.4%	16.6%	14.1%	2.9%	-0.4%	231.1M	-6.04B	-37.5M	1.59	2.85	192,400	305,339	2,996,993	6,780,821
2017-10-19	$46.11	$45.00	13.4%	3.9%	11.8%	12.9%	13.5%	2.6%	-0.2%	129.9M	-4.73B	-38.5M	1.92	2.36	186,942	359,424	3,040,841	6,837,574
2017-10-20	$46.23	$45.50	13.0%	3.7%	11.6%	10.3%	13.6%	2.6%	-0.1%	98.4M	-5.51B	-37.3M	2.74	2.28	144,116	395,236	2,998,311	6,873,683
2017-10-23	$45.91	$45.50	13.8%	4.0%	9.9%	15.2%	16.7%	3.2%	0.6%	21.0M	-2.68B	-39.0M	5.04	3.26	66,070	332,813	2,509,539	5,364,970
2017-10-24	$45.90	$45.50	13.9%	4.1%	9.9%	15.9%	14.6%	3.1%	0.5%	25.4M	-2.68B	-38.4M	3.97	3.24	88,988	352,849	2,525,971	5,440,310
2017-10-25	$45.78	$45.50	14.1%	4.1%	9.7%	17.6%	15.6%	3.8%	0.4%	-37.9M	-2.05B	-40.2M	4.80	3.33	70,998	341,055	2,552,609	5,466,150
2017-10-26	$45.51	$45.50	14.5%	4.4%	10.0%	19.9%	17.2%	3.8%	0.2%	-70.7M	-1.48B	-39.3M	6.13	2.78	73,220	448,513	2,610,082	5,526,440
2017-10-27	$46.12	$45.50	13.8%	4.1%	10.3%	15.3%	14.4%	2.9%	0.4%	57.0M	-3.06B	-39.7M	4.22	2.62	95,065	401,142	2,625,470	5,641,484
2017-10-30	$45.85	$45.50	14.8%	4.4%	10.5%	21.8%	18.1%	3.8%	0.3%	-21.5M	-2.20B	-40.0M	12.19	2.53	28,810	351,071	2,612,423	5,634,259
2017-10-31	$46.22	$45.50	14.6%	4.3%	9.6%	20.7%	17.3%	3.6%	0.3%	55.2M	-3.29B	-38.6M	5.79	3.07	69,457	401,820	2,608,153	5,650,216