EEM Options History — April 2018

In April 2018, EEM traded between $46.21 and $48.22. ATM implied volatility averaged 20.3%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 2.9% (HV 20d: 23.2%). Max pain ranged from $48.00 to $49.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.76.

Notable Days

2018-04-18: Highest Volume — 933,022 contracts
2018-04-26: Largest IV drop — 9.3% change
2018-04-02: Highest IV Rank — 76.6%
2018-04-02: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.48	$46.21	$48.22	$47.29	$47.01
Max Pain	$48.29	$48.00	$49.00	$49.00	$48.00
ATM IV	20.3%	16.8%	25.6%	25.6%	17.1%
Expected Move	5.9%	4.8%	7.7%	7.7%	4.9%
HV 20d	23.2%	15.9%	26.0%	24.7%	15.9%
HV 60d	24.4%	24.0%	24.6%	24.0%	24.4%
IV Rank	48.0%	28.8%	76.6%	76.6%	30.6%
IV Percentile	86.1%	73.4%	99.2%	99.2%	74.2%
Term Structure	0.0%	-0.5%	0.8%	-0.5%	0.4%
VWIV	21.3%	17.7%	30.0%	30.0%	20.0%
Skew 25d	4.0%	2.2%	7.5%	7.5%	3.3%
Skew 10d	7.9%	3.3%	16.0%	16.0%	6.5%
Call IV 25d	18.6%	15.7%	22.7%	22.7%	15.7%
Put IV 25d	22.6%	18.4%	30.2%	30.2%	19.0%
Bid-Ask Spread %	2.86	2.05	4.71	4.13	2.22
Gamma HHI	0.07	0.06	0.16	0.06	0.07
Net GEX	-192.1M	-527.7M	-24.4M	-165.5M	-264.9M
Net DEX	2.08B	346.6M	4.67B	2.77B	2.52B
Net VEX	-55.7M	-58.6M	-52.0M	-58.6M	-53.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.76	1.25	6.97	2.23	1.31
Total Volume	512,150.762	315,913	933,022	331,408	364,907
Total OI	9,116,423.667	8,471,010	10,586,530	8,471,010	9,025,391

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
2018-04-02	$47.29	$49.00	25.6%	7.7%	24.7%	76.6%	30.0%	7.5%	-0.5%	-165.5M	2.77B	-58.6M	2.23	4.13	102,454	228,954	3,472,640	4,998,370
2018-04-03	$47.89	$49.00	23.6%	7.1%	25.2%	66.1%	23.6%	6.8%	-0.2%	-105.5M	1.42B	-58.4M	1.85	3.20	112,278	208,005	3,529,472	5,024,781
2018-04-04	$47.92	$49.00	23.7%	7.2%	24.9%	66.5%	25.8%	6.3%	-0.1%	-70.1M	1.10B	-57.1M	2.11	2.87	125,190	264,271	3,552,631	5,011,175
2018-04-05	$48.08	$49.00	22.3%	6.3%	25.0%	59.0%	23.9%	5.7%	-0.2%	-59.4M	842.2M	-57.4M	1.85	4.71	156,580	289,973	3,582,162	5,081,671
2018-04-06	$47.06	$49.00	23.9%	6.8%	26.0%	67.5%	24.3%	5.8%	0.0%	-234.3M	3.47B	-56.8M	4.29	3.37	90,521	388,691	3,642,563	5,147,524
2018-04-09	$47.33	$49.00	23.0%	6.8%	24.8%	62.6%	23.6%	4.9%	0.6%	-177.0M	2.49B	-55.4M	2.19	3.56	145,228	318,305	3,634,339	5,187,150
2018-04-10	$48.08	$48.00	22.6%	6.5%	25.6%	60.2%	23.4%	3.9%	0.2%	-59.0M	616.9M	-56.5M	2.26	2.93	149,173	336,903	3,684,517	5,229,287
2018-04-11	$48.13	$48.00	22.1%	6.4%	25.4%	57.9%	22.3%	3.8%	0.4%	-50.5M	437.1M	-56.6M	1.95	2.37	230,138	449,607	3,795,087	5,330,486
2018-04-12	$48.15	$48.00	20.8%	6.1%	25.4%	50.9%	20.9%	3.4%	0.6%	-61.6M	441.1M	-56.1M	2.02	2.05	204,752	412,909	3,868,435	5,480,299
2018-04-13	$47.57	$48.00	20.0%	5.7%	25.6%	46.5%	20.6%	3.4%	-0.5%	-182.3M	2.23B	-56.1M	3.31	3.36	91,968	304,411	3,996,654	5,544,895
2018-04-16	$47.63	$48.00	19.1%	5.5%	25.7%	41.3%	20.0%	3.4%	0.8%	-180.3M	2.25B	-54.0M	4.49	2.47	79,958	358,642	4,019,478	5,528,857
2018-04-17	$47.80	$48.00	18.6%	5.4%	25.4%	38.6%	19.2%	3.4%	-0.2%	-189.6M	1.61B	-52.0M	1.25	2.32	337,051	419,736	4,024,319	5,606,147
2018-04-18	$48.22	$48.00	17.7%	5.1%	25.3%	33.6%	17.9%	2.3%	-0.4%	-24.4M	346.6M	-52.4M	1.80	2.32	332,738	600,284	4,029,049	5,729,998
2018-04-19	$47.92	$48.00	17.4%	5.0%	25.2%	32.0%	17.7%	2.2%	-0.1%	-161.7M	1.06B	-54.4M	2.05	3.82	280,369	574,719	4,277,222	5,916,711
2018-04-20	$47.20	$48.00	17.9%	5.1%	22.8%	35.0%	18.5%	2.5%	-0.2%	-527.7M	3.94B	-56.2M	4.82	2.54	124,113	597,616	4,359,247	6,227,283
2018-04-23	$46.87	$48.00	17.8%	5.1%	21.9%	34.5%	18.2%	3.0%	-0.2%	-292.8M	2.98B	-55.7M	3.61	2.41	116,886	421,863	3,323,047	5,171,407
2018-04-24	$46.52	$48.00	19.0%	5.4%	18.7%	41.1%	19.7%	3.1%	0.0%	-356.8M	3.89B	-56.0M	3.49	2.43	77,977	272,446	3,368,860	5,338,842
2018-04-25	$46.21	$48.00	19.7%	5.6%	17.9%	44.8%	20.2%	3.1%	-0.2%	-377.4M	4.67B	-55.8M	6.97	2.33	59,380	413,648	3,406,308	5,375,959
2018-04-26	$46.97	$48.00	17.9%	5.1%	18.9%	34.9%	18.8%	3.1%	-0.0%	-292.5M	2.77B	-56.1M	1.37	2.37	167,345	229,264	3,443,190	5,449,176
2018-04-27	$47.26	$48.00	16.8%	4.8%	17.4%	28.8%	18.1%	2.8%	-0.1%	-200.5M	1.81B	-55.3M	2.74	2.23	84,516	231,397	3,557,746	5,472,522
2018-04-30	$47.01	$48.00	17.1%	4.9%	15.9%	30.6%	20.0%	3.3%	0.4%	-264.9M	2.52B	-53.2M	1.31	2.22	158,047	206,860	3,584,731	5,440,660