EEM Options History — November 2017

In November 2017, EEM traded between $45.66 and $47.82. ATM implied volatility averaged 14.8%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.3% (HV 20d: 11.5%). Max pain ranged from $44.50 to $45.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.40.

Notable Days

2017-11-01: Highest Volume — 957,371 contracts
2017-11-15: Largest IV spike — 10.1% change
2017-11-30: Highest IV Rank — 56.6%
2017-11-30: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.72	$45.66	$47.82	$46.52	$46.13
Max Pain	$45.05	$44.50	$45.50	$45.50	$45.50
ATM IV	14.8%	13.4%	17.0%	13.8%	17.0%
Expected Move	4.2%	3.8%	4.8%	4.0%	4.8%
HV 20d	11.5%	9.7%	14.6%	9.9%	14.6%
HV 60d	11.2%	10.4%	12.1%	12.0%	12.1%
IV Rank	29.6%	13.0%	56.6%	15.0%	56.6%
IV Percentile	54.5%	23.4%	84.5%	30.2%	84.5%
Term Structure	0.3%	-1.4%	1.8%	0.4%	-0.6%
VWIV	15.6%	13.4%	18.5%	15.7%	16.7%
Skew 25d	3.7%	2.9%	4.9%	3.1%	4.5%
Skew 10d	8.2%	6.8%	9.9%	7.5%	8.7%
Call IV 25d	13.4%	12.3%	15.4%	12.9%	15.4%
Put IV 25d	17.1%	15.3%	20.0%	16.0%	20.0%
Bid-Ask Spread %	3.05	2.01	4.35	3.38	3.56
Gamma HHI	0.12	0.08	0.16	0.11	0.09
Net GEX	158.9M	-190.8M	442.8M	123.9M	27.4M
Net DEX	-4.17B	-6.89B	-483.3M	-4.24B	-1.78B
Net VEX	-37.7M	-40.8M	-33.9M	-36.7M	-37.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.40	0.80	11.51	2.18	1.49
Total Volume	528,989.667	226,644	957,371	957,371	490,757
Total OI	9,053,666.238	8,345,065	9,674,880	8,345,065	8,999,789

Daily Data (21 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
2017-11-01	$46.52	$45.50	13.8%	4.0%	9.9%	15.0%	15.7%	3.1%	0.4%	123.9M	-4.24B	-36.7M	2.18	3.38	301,394	655,977	2,630,627	5,714,438
2017-11-02	$46.60	$44.50	13.4%	4.1%	9.7%	13.0%	13.4%	2.9%	0.4%	181.3M	-4.56B	-39.8M	4.50	2.36	104,940	471,815	2,877,203	5,945,083
2017-11-03	$46.34	$45.00	13.7%	4.1%	9.8%	14.9%	15.0%	3.1%	0.2%	129.8M	-3.77B	-38.9M	5.16	4.01	109,577	565,509	2,907,211	6,121,986
2017-11-06	$46.84	$45.00	13.5%	4.0%	10.3%	13.4%	14.5%	3.4%	0.4%	184.3M	-4.84B	-39.2M	6.66	2.39	64,360	428,809	2,925,363	6,102,142
2017-11-07	$46.54	$45.00	14.1%	4.2%	10.2%	17.6%	18.5%	3.2%	0.5%	141.3M	-4.12B	-39.1M	5.26	3.02	130,555	686,728	2,928,235	6,104,488
2017-11-08	$46.74	$45.00	14.1%	4.2%	10.1%	17.0%	16.5%	3.2%	0.7%	157.2M	-4.52B	-40.0M	7.52	3.23	51,576	387,838	2,945,519	6,249,360
2017-11-09	$46.52	$45.00	14.4%	4.3%	10.3%	19.5%	17.5%	3.4%	0.8%	103.8M	-3.76B	-39.6M	11.51	3.55	46,063	530,110	2,964,848	6,293,579
2017-11-10	$46.30	$45.00	14.0%	4.1%	10.0%	16.7%	15.7%	3.0%	0.7%	68.2M	-3.13B	-39.3M	5.91	4.35	98,876	584,206	2,971,352	6,371,170
2017-11-13	$46.22	$45.00	15.1%	4.4%	10.0%	24.0%	16.9%	3.7%	1.1%	15.6M	-2.60B	-40.8M	6.21	3.16	58,100	360,863	3,001,253	6,438,467
2017-11-14	$45.87	$45.00	14.6%	4.2%	10.2%	20.7%	14.6%	3.8%	1.8%	-130.9M	-1.39B	-40.3M	1.82	2.92	150,466	273,547	3,034,266	6,522,880
2017-11-15	$45.66	$45.00	16.1%	4.6%	10.3%	43.4%	16.1%	4.2%	1.0%	-190.8M	-483.3M	-40.8M	1.82	3.99	237,126	430,883	3,070,836	6,521,361
2017-11-16	$46.60	$45.00	15.1%	4.2%	12.4%	34.0%	15.4%	3.5%	1.2%	226.8M	-4.58B	-37.5M	1.64	4.16	154,640	252,846	3,073,217	6,517,816
2017-11-17	$46.84	$45.00	14.0%	3.8%	12.5%	25.4%	15.4%	3.8%	1.1%	97.8M	-5.35B	-36.6M	1.96	3.11	200,149	393,251	3,090,128	6,584,752
2017-11-20	$47.06	$45.00	14.4%	4.0%	12.2%	29.7%	14.0%	4.5%	0.4%	176.8M	-4.66B	-35.5M	0.99	2.56	266,704	265,377	2,691,746	5,732,632
2017-11-21	$47.72	$45.00	15.5%	4.1%	13.0%	41.1%	14.0%	4.0%	-1.0%	291.3M	-6.43B	-35.0M	0.84	2.01	296,383	247,689	2,800,160	5,720,977
2017-11-22	$47.82	$45.00	15.3%	3.9%	12.9%	39.5%	14.3%	3.4%	-0.7%	404.0M	-6.89B	-33.9M	0.94	2.03	241,335	226,452	2,930,639	5,730,724
2017-11-24	$47.71	$45.00	15.2%	4.1%	12.7%	37.5%	13.8%	3.6%	-1.4%	442.8M	-6.59B	-34.2M	1.24	3.05	182,631	226,868	3,060,905	5,789,833
2017-11-27	$47.04	$45.00	15.9%	4.3%	13.3%	45.3%	15.2%	4.9%	-0.2%	336.1M	-4.79B	-35.4M	1.31	2.07	151,995	198,678	3,174,083	5,772,174
2017-11-28	$47.36	$45.00	16.4%	4.3%	13.1%	50.2%	17.0%	4.3%	-1.2%	377.1M	-5.73B	-34.4M	0.80	2.59	198,229	158,837	3,076,638	5,780,410
2017-11-29	$46.63	$45.50	16.1%	4.7%	14.2%	47.0%	17.4%	4.1%	0.7%	172.8M	-3.29B	-37.3M	1.72	2.64	83,395	143,249	3,109,833	5,848,868
2017-11-30	$46.13	$45.50	17.0%	4.8%	14.6%	56.6%	16.7%	4.5%	-0.6%	27.4M	-1.78B	-37.0M	1.49	3.56	197,406	293,351	3,122,691	5,877,098