EEM Options History — February 2018

In February 2018, EEM traded between $45.74 and $50.35. ATM implied volatility averaged 21.9%, placing in the 65.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 5.0% (HV 20d: 26.9%). Max pain ranged from $48.50 to $49.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.72.

Notable Days

2018-02-09: Highest Volume — 900,674 contracts
2018-02-08: Largest IV spike — 25.8% change
2018-02-02: Highest IV Rank — 100.0%
2018-02-08: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.50	$45.74	$50.35	$50.35	$48.09
Max Pain	$48.66	$48.50	$49.00	$49.00	$48.50
ATM IV	21.9%	17.5%	29.9%	17.5%	22.3%
Expected Move	6.2%	5.2%	8.2%	5.2%	6.6%
HV 20d	26.9%	13.0%	31.7%	13.0%	31.7%
HV 60d	19.3%	14.0%	21.3%	14.0%	21.3%
IV Rank	65.3%	39.8%	100.0%	83.3%	58.8%
IV Percentile	97.6%	94.0%	100.0%	96.0%	98.0%
Term Structure	-0.2%	-1.6%	0.5%	0.5%	-0.4%
VWIV	22.5%	18.7%	28.8%	18.7%	22.9%
Skew 25d	5.9%	3.2%	10.1%	3.2%	6.3%
Skew 10d	11.3%	6.3%	20.3%	6.3%	12.5%
Call IV 25d	19.6%	16.7%	25.1%	16.8%	19.8%
Put IV 25d	25.5%	20.0%	35.2%	20.0%	26.0%
Bid-Ask Spread %	4.69	2.57	10.00	2.58	4.12
Gamma HHI	0.06	0.05	0.11	0.07	0.06
Net GEX	28.0M	-268.2M	418.3M	181.0M	-28.0M
Net DEX	-610.8M	-6.65B	7.76B	-5.27B	470.4M
Net VEX	-62.3M	-65.3M	-57.8M	-59.4M	-61.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	0.93	3.48	2.92	1.30
Total Volume	603,188.895	287,438	900,674	385,753	606,757
Total OI	10,182,338.579	9,252,271	11,225,433	9,252,271	10,448,147

Daily Data (19 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
2018-02-01	$50.35	$49.00	17.5%	5.2%	13.0%	83.3%	18.7%	3.2%	0.5%	181.0M	-5.27B	-59.4M	2.92	2.58	98,412	287,341	3,786,650	5,465,621
2018-02-02	$49.03	$49.00	20.3%	5.8%	16.4%	100.0%	20.3%	3.9%	0.2%	-26.4M	-987.8M	-62.7M	1.52	3.85	339,165	516,552	3,828,484	5,609,597
2018-02-05	$47.62	$49.00	25.5%	7.0%	19.1%	100.0%	25.6%	6.4%	-1.0%	-177.4M	3.05B	-64.8M	2.07	9.56	176,153	364,015	3,922,124	5,689,915
2018-02-06	$48.95	$49.00	22.1%	6.2%	21.7%	75.9%	21.8%	5.2%	-0.4%	-12.8M	-945.0M	-63.6M	0.97	4.26	340,161	329,969	3,995,407	5,700,718
2018-02-07	$47.40	$49.00	23.7%	6.6%	24.5%	87.2%	23.3%	6.1%	-0.7%	-209.4M	3.77B	-62.9M	1.82	6.45	309,528	563,655	4,128,470	5,813,028
2018-02-08	$45.74	$49.00	29.9%	8.2%	27.3%	100.0%	27.8%	10.1%	-1.6%	-268.2M	7.76B	-63.6M	1.60	8.00	327,680	525,030	4,312,560	5,981,210
2018-02-09	$46.49	$48.50	26.7%	7.6%	28.0%	82.8%	28.8%	10.1%	-0.1%	-218.7M	6.15B	-65.3M	2.08	10.00	292,042	608,632	4,445,445	6,066,056
2018-02-12	$47.11	$48.50	23.4%	6.7%	28.2%	64.9%	24.3%	7.9%	-0.4%	-193.5M	4.18B	-63.0M	2.03	4.62	206,414	418,883	4,488,447	6,129,968
2018-02-13	$47.61	$48.50	22.3%	6.4%	28.6%	58.6%	24.0%	7.2%	0.4%	-132.9M	2.60B	-63.7M	3.48	5.12	97,779	340,045	4,602,714	6,145,453
2018-02-14	$48.73	$48.50	20.0%	5.7%	29.5%	46.3%	20.6%	4.8%	0.3%	4.2M	-1.48B	-62.6M	1.11	4.24	379,138	420,348	4,634,898	6,185,546
2018-02-15	$49.64	$48.50	21.3%	6.1%	30.3%	53.6%	22.2%	5.4%	-0.1%	282.3M	-5.16B	-63.4M	0.93	4.13	436,958	408,402	4,753,703	6,316,123
2018-02-16	$49.57	$48.50	20.3%	5.8%	30.1%	47.8%	22.5%	5.1%	0.4%	43.6M	-5.50B	-62.6M	2.00	2.77	199,527	399,030	4,876,658	6,348,775
2018-02-20	$48.89	$48.50	20.8%	5.9%	30.3%	50.9%	21.7%	5.3%	-0.2%	127.1M	-2.22B	-61.4M	1.62	3.22	159,838	258,505	4,152,778	5,481,504
2018-02-21	$48.83	$48.50	20.5%	5.8%	30.3%	49.1%	20.3%	4.8%	-0.2%	147.7M	-2.23B	-61.0M	1.37	4.90	165,386	226,630	4,242,406	5,585,478
2018-02-22	$48.89	$48.50	20.5%	5.7%	30.0%	49.2%	20.2%	5.1%	-0.3%	141.6M	-2.07B	-61.6M	1.10	2.89	234,680	258,993	4,298,183	5,629,942
2018-02-23	$49.65	$48.50	19.2%	5.4%	30.7%	41.8%	19.5%	4.8%	-0.1%	311.9M	-5.00B	-60.6M	1.96	2.90	97,019	190,419	4,426,256	5,703,716
2018-02-26	$50.12	$48.50	18.8%	5.2%	30.6%	39.8%	19.4%	4.6%	-0.1%	418.3M	-6.65B	-57.8M	0.98	2.57	201,131	196,343	4,422,696	5,657,346
2018-02-27	$48.78	$48.50	21.0%	6.0%	31.6%	51.7%	23.3%	5.9%	0.0%	141.7M	-2.05B	-61.4M	1.79	3.00	172,309	307,720	4,498,349	5,690,062
2018-02-28	$48.09	$48.50	22.3%	6.6%	31.7%	58.8%	22.9%	6.3%	-0.4%	-28.0M	470.4M	-61.7M	1.30	4.12	263,856	342,901	4,554,552	5,893,595