EEM Options History — June 2018

In June 2018, EEM traded between $42.37 and $47.07. ATM implied volatility averaged 16.8%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.2% (HV 20d: 17.0%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.14.

Notable Days

2018-06-28: Highest Volume — 1,570,277 contracts
2018-06-25: Largest IV spike — 10.4% change
2018-06-27: Highest IV Rank — 49.8%
2018-06-27: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.94	$42.37	$47.07	$46.31	$43.39
Max Pain	$46.29	$45.00	$47.00	$47.00	$45.00
ATM IV	16.8%	14.8%	20.6%	15.4%	18.5%
Expected Move	4.9%	4.3%	6.2%	4.6%	5.3%
HV 20d	17.0%	14.4%	20.0%	18.4%	17.4%
HV 60d	18.4%	16.2%	19.8%	19.7%	16.9%
IV Rank	29.1%	18.1%	49.8%	21.1%	38.4%
IV Percentile	66.9%	53.6%	88.5%	57.9%	79.0%
Term Structure	0.1%	-0.3%	0.5%	-0.3%	0.0%
VWIV	17.7%	14.3%	20.9%	17.1%	19.5%
Skew 25d	4.3%	3.3%	5.7%	3.8%	4.8%
Skew 10d	8.3%	6.5%	11.6%	7.1%	10.0%
Call IV 25d	15.2%	13.1%	18.4%	14.4%	16.6%
Put IV 25d	19.5%	16.8%	24.1%	18.3%	21.4%
Bid-Ask Spread %	2.31	1.71	2.98	2.30	1.81
Gamma HHI	0.11	0.08	0.15	0.09	0.10
Net GEX	-422.8M	-831.7M	-37.1M	-240.5M	-501.4M
Net DEX	5.51B	134.3M	10.63B	3.05B	7.42B
Net VEX	-47.0M	-50.8M	-43.8M	-50.8M	-47.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.14	0.97	3.72	1.80	1.28
Total Volume	529,471.905	235,792	1,570,277	413,287	593,493
Total OI	9,042,287.238	6,772,158	10,600,663	9,973,573	8,560,733

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
2018-06-01	$46.31	$47.00	15.4%	4.6%	18.4%	21.1%	17.1%	3.8%	-0.3%	-240.5M	3.05B	-50.8M	1.80	2.30	147,576	265,711	4,078,674	5,894,899
2018-06-04	$46.88	$46.50	14.8%	4.3%	18.8%	18.1%	15.1%	4.2%	0.1%	-96.7M	915.5M	-50.0M	2.48	2.40	67,780	168,012	4,016,849	5,919,273
2018-06-05	$46.47	$46.50	15.2%	4.4%	18.9%	20.0%	16.5%	4.0%	0.2%	-223.4M	2.46B	-49.3M	2.81	2.36	73,189	205,897	4,022,548	5,920,268
2018-06-06	$47.07	$46.50	14.8%	4.4%	19.3%	18.1%	14.3%	3.7%	-0.0%	-37.1M	134.3M	-49.3M	1.12	2.25	152,140	169,897	4,044,829	5,922,779
2018-06-07	$46.43	$46.50	16.1%	4.6%	20.0%	25.3%	16.2%	4.6%	0.1%	-225.3M	2.62B	-50.1M	1.68	2.15	118,957	200,058	4,162,301	5,948,729
2018-06-08	$46.40	$46.50	15.4%	4.6%	18.2%	21.6%	16.5%	4.2%	0.3%	-236.4M	2.69B	-50.0M	1.91	2.07	142,877	272,771	4,201,996	6,007,171
2018-06-11	$46.32	$46.50	15.7%	4.6%	18.2%	22.9%	14.7%	4.1%	0.2%	-276.4M	3.12B	-48.6M	0.97	2.35	134,876	131,420	4,216,234	6,029,230
2018-06-12	$46.12	$46.50	15.6%	4.5%	18.2%	22.6%	18.3%	4.0%	0.2%	-301.5M	3.82B	-47.9M	1.18	2.18	172,625	203,879	4,290,367	6,044,130
2018-06-13	$45.93	$46.50	15.8%	4.5%	16.3%	23.6%	16.6%	3.9%	-0.2%	-401.5M	4.78B	-47.9M	2.71	2.89	113,945	308,814	4,320,357	6,129,822
2018-06-14	$45.64	$46.50	15.7%	4.6%	15.0%	22.7%	16.4%	3.7%	0.4%	-509.3M	6.21B	-46.4M	2.80	2.41	134,640	377,580	4,376,207	6,221,428
2018-06-15	$45.17	$46.50	15.6%	4.6%	14.4%	22.6%	16.4%	3.3%	0.3%	-346.3M	7.45B	-45.1M	2.29	2.35	220,239	504,444	4,360,488	6,240,175
2018-06-18	$44.66	$46.50	16.6%	4.8%	14.7%	28.0%	18.4%	3.7%	0.1%	-437.0M	5.96B	-44.1M	2.71	2.91	145,653	395,049	2,469,085	4,303,073
2018-06-19	$43.90	$46.50	17.2%	4.9%	15.5%	31.0%	18.6%	5.7%	0.5%	-458.5M	6.90B	-43.8M	3.72	2.25	153,538	570,576	2,527,332	4,531,720
2018-06-20	$44.11	$46.00	17.2%	4.9%	15.5%	31.3%	18.7%	3.7%	0.3%	-479.5M	6.42B	-45.0M	3.32	1.97	127,947	424,851	2,596,430	4,587,249
2018-06-21	$43.44	$46.00	18.3%	5.2%	16.1%	37.0%	20.0%	4.2%	0.0%	-524.2M	7.71B	-44.0M	2.90	2.30	265,617	769,225	2,609,795	4,665,652
2018-06-22	$43.92	$46.00	17.2%	4.9%	16.8%	31.1%	18.2%	4.1%	0.1%	-582.9M	6.96B	-47.6M	1.20	2.00	193,048	232,082	2,773,446	5,260,602
2018-06-25	$43.36	$46.00	19.0%	5.5%	17.1%	40.8%	19.2%	4.9%	-0.2%	-652.9M	8.25B	-45.7M	1.90	2.98	183,132	348,420	2,713,909	5,234,384
2018-06-26	$43.24	$46.00	18.7%	5.5%	15.5%	39.3%	19.7%	4.7%	0.2%	-707.2M	8.43B	-45.0M	1.18	1.97	156,476	184,751	2,805,552	5,308,757
2018-06-27	$42.37	$46.00	20.6%	6.2%	16.3%	49.8%	20.9%	5.7%	-0.2%	-808.4M	10.63B	-44.9M	1.65	2.81	195,250	322,198	2,836,843	5,440,214
2018-06-28	$42.67	$46.00	20.0%	5.7%	16.5%	46.3%	20.3%	5.3%	0.2%	-831.7M	9.72B	-44.0M	3.28	1.71	367,152	1,203,125	2,881,004	5,413,498
2018-06-29	$43.39	$45.00	18.5%	5.3%	17.4%	38.4%	19.5%	4.8%	0.0%	-501.4M	7.42B	-47.0M	1.28	1.81	260,186	333,307	3,162,753	5,397,980