EEM Options History — May 2018

In May 2018, EEM traded between $45.31 and $47.49. ATM implied volatility averaged 17.3%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.4% (HV 20d: 15.9%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.67.

Notable Days

2018-05-31: Highest Volume — 1,018,986 contracts
2018-05-29: Largest IV spike — 21.6% change
2018-05-29: Highest IV Rank — 47.0%
2018-05-29: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.44	$45.31	$47.49	$46.59	$45.83
Max Pain	$47.09	$47.00	$48.00	$48.00	$47.00
ATM IV	17.3%	15.7%	20.1%	17.6%	16.6%
Expected Move	5.1%	4.6%	6.3%	5.2%	5.0%
HV 20d	15.9%	12.3%	18.1%	15.4%	18.0%
HV 60d	20.3%	19.0%	23.9%	23.9%	19.5%
IV Rank	31.7%	23.1%	47.0%	33.3%	27.6%
IV Percentile	72.9%	64.3%	86.1%	75.8%	65.9%
Term Structure	0.1%	-0.9%	0.7%	0.3%	-0.4%
VWIV	18.1%	16.0%	22.2%	19.0%	18.2%
Skew 25d	3.7%	2.4%	5.8%	3.0%	4.9%
Skew 10d	7.3%	4.6%	11.2%	5.9%	9.6%
Call IV 25d	15.7%	14.6%	18.0%	16.2%	14.8%
Put IV 25d	19.4%	17.0%	23.8%	19.2%	19.7%
Bid-Ask Spread %	2.06	1.53	2.74	2.62	2.46
Gamma HHI	0.09	0.07	0.17	0.07	0.10
Net GEX	-381.4M	-686.8M	-114.0M	-355.7M	-464.8M
Net DEX	3.99B	703.8M	6.67B	3.71B	5.33B
Net VEX	-52.7M	-54.8M	-50.0M	-53.4M	-50.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.67	0.91	5.69	2.30	1.38
Total Volume	510,590.364	267,437	1,018,986	542,565	1,018,986
Total OI	9,714,482.409	9,098,209	10,600,182	9,115,526	9,760,917

Daily Data (22 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
2018-05-01	$46.59	$48.00	17.6%	5.2%	15.4%	33.3%	19.0%	3.0%	0.3%	-355.7M	3.71B	-53.4M	2.30	2.62	164,444	378,121	3,656,313	5,459,213
2018-05-02	$46.37	$48.00	17.2%	5.1%	15.4%	31.1%	19.1%	3.2%	0.5%	-424.3M	4.42B	-52.9M	5.69	2.74	70,730	402,593	3,742,784	5,625,015
2018-05-03	$46.24	$47.00	18.3%	5.4%	15.3%	36.9%	19.1%	3.1%	0.2%	-499.7M	5.05B	-53.6M	4.69	2.25	62,450	293,067	3,735,319	5,744,870
2018-05-04	$46.47	$47.00	17.0%	5.1%	13.6%	29.8%	18.1%	3.2%	0.4%	-442.1M	4.34B	-53.2M	3.46	2.27	110,333	381,618	3,759,691	5,721,485
2018-05-07	$46.14	$47.00	17.6%	5.2%	13.6%	33.6%	19.8%	3.5%	0.4%	-455.3M	5.16B	-52.0M	2.76	2.36	119,179	328,507	3,777,922	5,710,229
2018-05-08	$46.40	$47.00	17.0%	5.0%	12.3%	30.0%	17.4%	3.4%	0.5%	-421.7M	4.47B	-52.1M	3.65	1.76	66,597	242,995	3,817,587	5,734,341
2018-05-09	$46.41	$47.00	16.4%	4.9%	12.3%	27.0%	16.6%	3.0%	0.6%	-410.3M	4.41B	-51.6M	4.63	2.04	65,773	304,256	3,854,620	5,809,054
2018-05-10	$47.44	$47.00	16.4%	4.9%	14.9%	26.5%	16.6%	2.8%	0.7%	-148.1M	958.3M	-52.6M	1.37	1.87	333,801	457,080	3,851,712	5,909,528
2018-05-11	$47.42	$47.00	15.7%	4.6%	14.3%	23.1%	16.4%	2.4%	0.6%	-175.8M	935.3M	-54.4M	1.29	1.89	239,262	308,637	4,080,311	6,071,530
2018-05-14	$47.49	$47.00	16.0%	4.6%	14.3%	24.5%	16.6%	2.8%	-0.0%	-114.0M	703.8M	-53.2M	1.65	2.17	145,776	240,389	4,015,551	6,105,528
2018-05-15	$46.39	$47.00	18.0%	5.2%	16.4%	35.4%	19.5%	3.6%	-0.1%	-451.4M	4.83B	-54.1M	3.05	1.98	134,897	411,347	4,048,713	6,144,328
2018-05-16	$47.20	$47.00	17.3%	5.0%	17.4%	31.7%	16.1%	3.6%	0.2%	-227.0M	1.83B	-54.8M	1.52	1.68	167,675	254,759	4,091,702	6,233,444
2018-05-17	$46.45	$47.00	17.8%	5.1%	18.1%	34.6%	19.1%	3.7%	0.3%	-442.0M	4.87B	-54.3M	3.48	1.93	136,531	474,618	4,157,321	6,277,346
2018-05-18	$46.08	$47.00	17.8%	5.0%	17.6%	34.3%	18.2%	3.3%	0.4%	-686.8M	6.16B	-53.5M	3.29	1.53	102,351	336,798	4,198,533	6,401,649
2018-05-21	$46.27	$47.00	17.1%	4.8%	17.5%	30.4%	16.9%	4.3%	-0.3%	-371.5M	3.98B	-52.5M	0.91	1.78	425,230	385,468	3,559,167	5,539,042
2018-05-22	$46.51	$47.00	16.8%	4.7%	17.4%	28.7%	17.3%	4.2%	-0.2%	-299.4M	3.05B	-51.7M	1.88	1.92	148,073	277,844	3,659,535	5,624,269
2018-05-23	$46.50	$47.00	17.2%	4.8%	17.3%	30.9%	16.0%	4.5%	-0.1%	-293.4M	2.99B	-52.4M	1.51	2.02	271,318	408,378	3,712,515	5,643,278
2018-05-24	$46.20	$47.00	18.0%	5.1%	16.3%	35.3%	17.1%	4.7%	-0.2%	-424.7M	4.23B	-52.9M	1.52	2.31	187,948	285,115	3,717,798	5,841,769
2018-05-25	$46.34	$47.00	16.6%	4.8%	16.2%	27.5%	17.0%	4.8%	0.2%	-355.8M	3.80B	-52.9M	2.67	1.79	72,817	194,620	3,782,235	5,881,390
2018-05-29	$45.31	$47.00	20.1%	6.3%	17.9%	47.0%	22.2%	5.8%	-0.7%	-445.0M	6.67B	-50.8M	3.78	1.97	91,969	347,371	3,790,615	5,773,921
2018-05-30	$45.66	$47.00	18.3%	5.5%	18.0%	37.1%	21.0%	4.4%	-0.9%	-482.7M	5.92B	-50.3M	2.35	2.07	114,503	268,764	3,848,902	5,847,621
2018-05-31	$45.83	$47.00	16.6%	5.0%	18.0%	27.6%	18.2%	4.9%	-0.4%	-464.8M	5.33B	-50.0M	1.38	2.46	427,478	591,508	3,908,367	5,852,550