EEM Options History — March 2018

In March 2018, EEM traded between $46.95 and $49.90. ATM implied volatility averaged 20.8%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 1.7% (HV 20d: 22.5%). Max pain ranged from $48.50 to $49.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.11.

Notable Days

2018-03-08: Highest Volume — 913,377 contracts
2018-03-22: Largest IV spike — 23.2% change
2018-03-23: Highest IV Rank — 74.9%
2018-03-27: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.64	$46.95	$49.90	$48.03	$48.29
Max Pain	$48.95	$48.50	$49.00	$48.50	$49.00
ATM IV	20.8%	17.3%	25.2%	23.2%	22.3%
Expected Move	6.0%	5.1%	7.4%	6.7%	6.5%
HV 20d	22.5%	16.8%	31.5%	31.5%	23.6%
HV 60d	21.8%	21.0%	23.7%	21.2%	23.7%
IV Rank	50.7%	31.6%	74.9%	63.8%	58.7%
IV Percentile	93.0%	83.7%	98.8%	98.0%	95.2%
Term Structure	0.1%	-0.8%	1.0%	-0.4%	0.0%
VWIV	21.4%	18.0%	25.5%	25.5%	23.5%
Skew 25d	5.9%	4.0%	8.3%	6.9%	6.6%
Skew 10d	12.0%	7.8%	16.6%	15.1%	13.1%
Call IV 25d	18.5%	15.7%	22.7%	20.7%	20.0%
Put IV 25d	24.4%	19.7%	30.4%	27.6%	26.6%
Bid-Ask Spread %	3.87	2.56	5.65	3.85	4.79
Gamma HHI	0.06	0.05	0.09	0.05	0.06
Net GEX	42.6M	-233.2M	416.9M	-85.5M	-40.3M
Net DEX	-1.10B	-6.31B	3.69B	978.8M	289.0M
Net VEX	-56.7M	-61.4M	-52.7M	-61.4M	-59.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.11	0.96	3.65	1.86	2.91
Total Volume	469,045.048	243,729	913,377	497,371	315,167
Total OI	9,559,441.381	7,332,960	11,125,260	10,397,737	8,813,095

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
2018-03-01	$48.03	$48.50	23.2%	6.7%	31.5%	63.8%	25.5%	6.9%	-0.4%	-85.5M	978.8M	-61.4M	1.86	3.85	173,919	323,452	4,464,973	5,932,764
2018-03-02	$48.21	$48.50	21.7%	6.3%	31.4%	55.6%	21.8%	6.3%	-0.4%	-19.8M	310.9M	-59.0M	2.42	3.56	106,317	256,812	4,431,281	5,975,497
2018-03-05	$48.22	$49.00	21.4%	6.1%	30.1%	53.9%	23.5%	6.0%	-0.2%	-19.0M	259.2M	-56.9M	3.28	3.81	56,989	186,740	4,368,001	5,913,492
2018-03-06	$48.65	$49.00	20.5%	5.7%	28.3%	49.0%	19.7%	5.7%	-0.1%	77.2M	-1.32B	-56.1M	1.25	4.35	192,322	239,557	4,388,656	5,949,954
2018-03-07	$48.72	$49.00	20.5%	5.7%	26.5%	49.0%	21.2%	5.6%	-0.0%	47.0M	-1.36B	-56.0M	1.90	3.18	192,198	365,960	4,452,779	6,011,860
2018-03-08	$48.69	$49.00	19.9%	5.6%	23.7%	45.9%	20.2%	5.3%	0.1%	62.8M	-1.40B	-55.8M	0.96	4.94	466,288	447,089	4,473,453	6,052,737
2018-03-09	$49.71	$49.00	18.2%	5.1%	20.2%	36.4%	19.0%	4.0%	0.1%	381.6M	-5.46B	-55.5M	1.49	3.21	128,311	191,792	4,597,135	6,117,816
2018-03-12	$49.90	$49.00	17.9%	5.2%	19.7%	34.7%	20.9%	4.5%	0.2%	416.9M	-6.31B	-53.2M	2.10	2.98	103,320	216,681	4,587,683	6,055,807
2018-03-13	$49.38	$49.00	18.9%	5.6%	19.9%	40.5%	19.1%	5.0%	0.5%	279.6M	-4.02B	-55.8M	1.17	2.56	130,323	152,937	4,654,765	6,149,420
2018-03-14	$49.50	$49.00	18.8%	5.6%	19.7%	39.6%	19.2%	4.8%	0.7%	254.2M	-4.32B	-54.3M	1.88	2.82	168,580	316,636	4,675,128	6,174,692
2018-03-15	$49.35	$49.00	18.1%	5.4%	18.1%	36.2%	19.9%	4.3%	0.9%	167.6M	-3.43B	-53.9M	1.84	2.72	135,002	247,833	4,690,497	6,296,397
2018-03-16	$49.28	$49.00	17.3%	5.1%	16.8%	31.6%	18.0%	4.0%	1.0%	61.0M	-3.76B	-52.7M	2.24	3.65	167,226	375,313	4,722,237	6,403,023
2018-03-19	$48.68	$49.00	20.0%	5.7%	17.3%	46.4%	19.7%	5.7%	0.3%	-25.0M	-416.5M	-54.8M	2.95	4.26	110,492	325,685	3,002,427	4,330,533
2018-03-20	$49.22	$49.00	19.6%	5.6%	17.1%	44.3%	20.8%	5.8%	0.0%	52.5M	-1.62B	-55.5M	3.65	3.53	134,521	490,384	3,080,608	4,464,351
2018-03-21	$49.49	$49.00	18.3%	5.3%	17.2%	37.2%	18.7%	5.7%	0.2%	84.0M	-2.22B	-56.5M	2.37	4.27	120,899	286,259	3,180,635	4,767,345
2018-03-22	$47.84	$49.00	22.6%	6.5%	21.1%	60.3%	21.6%	7.2%	-0.3%	-168.7M	1.81B	-58.5M	1.14	5.65	313,886	358,524	3,274,364	4,830,201
2018-03-23	$46.95	$49.00	25.2%	7.3%	21.1%	74.9%	25.1%	7.7%	-0.8%	-233.2M	3.69B	-58.7M	2.01	4.66	195,752	393,698	3,392,645	4,910,808
2018-03-26	$48.43	$49.00	22.5%	6.5%	23.9%	59.9%	23.6%	7.0%	-0.3%	-29.5M	293.8M	-58.5M	2.26	2.65	158,085	357,836	3,357,825	4,881,315
2018-03-27	$47.59	$49.00	25.0%	7.4%	22.8%	73.6%	24.5%	8.1%	-0.2%	-163.7M	2.18B	-59.2M	3.02	5.64	94,694	286,097	3,473,152	4,952,853
2018-03-28	$47.31	$49.00	25.0%	7.3%	22.3%	73.6%	24.3%	8.3%	-0.3%	-205.3M	2.70B	-59.0M	1.52	4.18	224,694	341,676	3,509,435	4,986,630
2018-03-29	$48.29	$49.00	22.3%	6.5%	23.6%	58.7%	23.5%	6.6%	0.0%	-40.3M	289.0M	-59.6M	2.91	4.79	80,660	234,507	3,658,593	5,154,502