EEM Options History — December 2017

In December 2017, EEM traded between $45.31 and $47.09. ATM implied volatility averaged 13.9%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.8% (HV 20d: 14.6%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.52.

Notable Days

  • 2017-12-18: Highest Volume — 1,114,446 contracts
  • 2017-12-08: Largest IV drop — 6.6% change
  • 2017-12-01: Highest IV Rank — 59.1%
  • 2017-12-01: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.15$45.31$47.09$45.87$47.09
Max Pain$45.13$44.00$47.00$45.50$46.00
ATM IV13.9%12.1%17.3%17.3%13.8%
Expected Move3.9%3.4%4.8%4.8%3.9%
HV 20d14.6%12.9%15.7%14.7%12.9%
HV 60d12.4%11.7%12.9%12.1%12.4%
IV Rank27.7%6.9%59.1%59.1%27.3%
IV Percentile34.9%2.0%86.9%86.9%36.9%
Term Structure0.2%-0.8%0.7%-0.3%0.3%
VWIV14.5%12.2%18.4%18.4%14.6%
Skew 25d3.6%2.3%5.0%4.9%3.6%
Skew 10d7.0%4.5%8.8%8.8%8.3%
Call IV 25d12.6%11.1%15.0%15.0%12.3%
Put IV 25d16.2%13.4%19.9%19.9%15.9%
Bid-Ask Spread %3.172.194.273.864.27
Gamma HHI0.100.080.140.080.11
Net GEX-50.2M-270.0M177.5M-20.8M177.5M
Net DEX-907.4M-3.07B1.57B-781.7M-1.88B
Net VEX-35.8M-38.4M-34.0M-38.4M-37.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.353.583.581.28
Total Volume507,999.8284,1521,114,446397,128367,427
Total OI8,223,286.156,290,07310,309,3069,165,1796,724,529

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$45.87$45.5017.3%4.8%14.7%59.1%18.4%4.9%-0.3%-20.8M-781.7M-38.4M3.583.8686,780310,3483,220,0715,945,108
2017-12-04$45.94$44.0016.4%4.5%14.6%51.6%16.7%5.0%0.0%-6.9M-1.20B-35.8M1.563.42182,416284,0013,201,9825,913,233
2017-12-05$45.92$44.0015.7%4.3%14.0%51.0%13.8%4.6%-0.3%-9.4M-1.21B-34.6M1.764.27146,348258,2313,267,4625,991,067
2017-12-06$45.31$44.0016.1%4.6%14.5%55.4%17.4%4.8%-0.1%-223.9M753.8M-34.9M2.192.38170,292373,0323,257,6666,024,865
2017-12-07$45.40$44.0015.3%4.5%14.4%46.1%16.6%4.5%-0.8%-270.0M917.8M-35.6M1.433.54225,041321,1753,276,6086,122,675
2017-12-08$45.90$44.0014.3%4.1%15.0%34.1%14.5%3.6%-0.2%-30.2M-1.32B-35.8M1.172.39177,238206,5803,427,1496,182,667
2017-12-11$46.18$44.0014.1%4.0%15.1%30.7%15.4%4.2%-0.1%36.9M-2.11B-34.6M1.062.78156,902166,2303,495,4676,181,925
2017-12-12$45.89$44.0014.0%4.2%15.3%30.0%14.8%4.0%0.4%-94.0M-1.17B-35.7M1.323.61268,452355,4963,508,7166,213,292
2017-12-13$46.42$45.0013.6%3.9%15.6%25.4%13.3%4.0%0.4%159.1M-3.07B-35.3M1.462.88140,092204,0763,687,6876,395,045
2017-12-14$46.11$45.0012.9%3.7%15.7%16.6%13.3%2.5%0.3%-91.9M-1.79B-35.0M1.353.25427,610578,4773,758,6046,496,314
2017-12-15$46.11$45.0012.1%3.5%13.8%7.8%12.6%3.1%-0.1%-167.3M-2.07B-34.0M1.702.56329,203558,1893,768,0736,541,233
2017-12-18$46.65$45.0012.6%3.6%14.4%13.6%15.8%3.7%0.5%5.5M-1.18B-35.4M0.353.16827,867286,5792,342,7024,193,125
2017-12-19$45.77$47.0013.2%3.8%15.7%20.0%13.6%2.6%0.3%-252.2M1.57B-36.0M1.443.16233,935337,1461,986,4484,303,625
2017-12-20$45.83$46.0012.6%3.6%14.7%13.3%13.1%2.9%0.3%-259.1M667.0M-36.1M1.402.73175,841246,7572,056,0094,262,140
2017-12-21$46.12$46.0012.6%3.6%14.9%12.9%13.1%2.4%0.3%-235.2M105.2M-36.8M1.403.79168,606236,1272,126,9584,340,929
2017-12-22$46.51$46.0012.1%3.4%15.3%6.9%12.2%2.3%0.7%59.4M-971.2M-36.4M0.832.19198,842164,2372,172,3244,398,092
2017-12-26$46.44$46.0012.8%3.6%14.6%16.0%12.9%2.7%0.5%41.7M-850.0M-36.3M1.612.99109,028175,1242,216,1874,302,360
2017-12-27$46.57$46.0012.8%3.5%14.4%15.7%13.5%2.9%0.4%62.4M-1.02B-36.3M1.582.58112,351177,3732,215,8174,352,651
2017-12-28$46.87$46.0013.1%3.7%13.5%19.8%14.4%3.2%0.5%113.7M-1.53B-36.7M1.873.50145,204271,3432,221,4134,373,505
2017-12-29$47.09$46.0013.8%3.9%12.9%27.3%14.6%3.6%0.3%177.5M-1.88B-37.1M1.284.27161,004206,4232,249,0304,475,499