EEM Options History — January 2018

In January 2018, EEM traded between $48.04 and $52.00. ATM implied volatility averaged 15.0%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.7% (HV 20d: 12.3%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2018-01-16: Highest Volume — 1,007,018 contracts
  • 2018-01-29: Largest IV spike — 10.1% change
  • 2018-01-30: Highest IV Rank — 98.3%
  • 2018-01-30: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.95$48.04$52.00$48.04$50.97
Max Pain$47.79$46.00$49.00$46.00$49.00
ATM IV15.0%13.3%18.5%14.1%18.1%
Expected Move4.3%3.7%5.6%3.9%5.1%
HV 20d12.3%9.8%14.5%14.3%12.1%
HV 60d13.2%13.0%13.7%13.0%13.7%
IV Rank48.2%25.5%98.3%31.8%91.8%
IV Percentile61.6%24.2%99.6%50.0%98.0%
Term Structure0.2%-0.5%0.5%0.0%0.2%
VWIV16.1%13.9%20.2%14.2%18.5%
Skew 25d2.4%1.7%3.0%2.9%2.8%
Skew 10d5.0%3.7%6.0%5.9%5.6%
Call IV 25d14.3%12.5%17.6%13.0%17.3%
Put IV 25d16.7%14.9%20.6%15.9%20.1%
Bid-Ask Spread %3.262.024.513.144.51
Gamma HHI0.110.080.190.110.08
Net GEX255.9M168.8M363.6M258.7M266.4M
Net DEX-6.20B-9.34B-3.79B-3.79B-6.92B
Net VEX-43.5M-58.1M-32.2M-33.8M-58.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.802.790.930.95
Total Volume659,212.19379,0101,007,018476,799440,061
Total OI7,937,122.7146,613,5849,168,1396,613,5849,104,995

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$48.04$46.0014.1%3.9%14.3%31.8%14.2%2.9%0.0%258.7M-3.79B-33.8M0.933.14246,900229,8992,266,1404,347,444
2018-01-03$48.51$46.0013.6%3.7%14.5%27.9%14.0%2.6%0.3%268.9M-4.65B-32.6M0.802.02214,313172,2632,329,0624,448,351
2018-01-04$48.71$47.0013.7%3.9%14.5%30.2%16.1%2.5%0.4%278.9M-4.93B-33.1M1.152.17195,554225,6522,397,0654,463,383
2018-01-05$49.12$47.0013.6%4.1%13.2%30.0%14.6%2.5%0.3%363.6M-5.67B-32.5M0.994.30242,490239,2272,452,0224,510,184
2018-01-08$49.14$47.0013.7%4.1%13.3%31.4%15.4%2.9%0.5%242.8M-5.30B-32.2M1.283.46283,783364,3142,382,7284,560,611
2018-01-09$49.06$47.0014.0%4.1%13.1%34.6%13.9%2.8%0.2%207.9M-5.07B-34.8M1.143.61271,663310,6342,491,0084,723,029
2018-01-10$48.73$47.0014.3%4.1%13.6%38.7%16.1%2.8%-0.0%180.7M-4.29B-38.8M1.913.35294,651563,4982,584,3004,873,381
2018-01-11$49.03$47.0013.3%3.8%13.2%25.5%14.1%2.3%0.0%192.3M-4.69B-41.6M2.013.70273,613550,5232,708,2065,197,065
2018-01-12$49.50$47.0013.4%3.9%13.0%26.0%14.0%2.5%0.0%271.8M-5.74B-41.5M2.433.25239,264581,3292,830,4345,301,561
2018-01-16$49.30$47.5014.2%4.1%12.8%37.4%14.6%2.4%0.1%227.7M-5.29B-42.3M1.454.29411,154595,8642,922,9505,379,879
2018-01-17$49.97$48.0014.8%4.2%13.2%46.0%15.2%2.2%0.0%303.5M-6.88B-44.2M2.132.66216,571460,6233,168,8135,650,864
2018-01-18$49.98$48.0014.7%4.2%13.0%45.1%15.4%2.2%-0.0%337.1M-6.91B-45.3M2.732.65186,367509,1123,224,9175,802,013
2018-01-19$50.42$48.0014.5%4.2%10.0%41.7%15.3%1.9%-0.5%247.9M-7.88B-45.4M1.544.09291,114449,2373,259,9015,908,238
2018-01-22$50.73$48.0014.7%4.2%9.9%44.5%16.5%2.3%0.5%252.6M-6.31B-44.8M1.262.44292,971370,0672,703,4494,514,457
2018-01-23$50.95$49.0015.0%4.3%9.9%49.5%16.2%2.2%0.2%250.5M-7.00B-46.3M1.743.02296,663515,8692,822,7994,665,308
2018-01-24$51.40$49.0015.3%4.4%9.9%53.6%15.9%1.7%0.2%253.2M-7.95B-48.2M1.192.71355,010421,6743,012,5684,971,412
2018-01-25$51.40$49.0016.6%4.8%9.8%71.4%18.4%1.8%0.1%274.3M-7.95B-52.3M1.693.05288,569488,3113,210,8495,116,381
2018-01-26$52.00$49.0016.3%4.8%10.0%67.2%19.2%1.8%0.0%294.2M-9.34B-52.4M1.743.78240,561417,9033,407,4355,276,288
2018-01-29$51.33$49.0017.9%5.4%12.0%90.1%20.2%2.5%0.3%231.4M-7.67B-56.1M2.793.76100,082278,9283,515,2005,276,525
2018-01-30$50.66$49.0018.5%5.6%13.5%98.3%20.2%3.0%0.4%168.8M-5.93B-57.9M1.002.52358,141359,0343,549,0215,349,341
2018-01-31$50.97$49.0018.1%5.1%12.1%91.8%18.5%2.8%0.2%266.4M-6.92B-58.1M0.954.51225,184214,8773,752,2385,352,757