EEM Options History — July 2018

In July 2018, EEM traded between $42.75 and $45.00. ATM implied volatility averaged 17.0%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.3% (HV 20d: 18.3%). Max pain ranged from $43.50 to $45.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2018-07-20: Highest Volume — 752,538 contracts
  • 2018-07-11: Largest IV spike — 10.5% change
  • 2018-07-02: Highest IV Rank — 51.0%
  • 2018-07-02: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.87$42.75$45.00$42.75$44.86
Max Pain$44.00$43.50$45.00$45.00$44.00
ATM IV17.0%15.6%20.9%20.9%16.0%
Expected Move4.9%4.4%6.2%6.2%4.6%
HV 20d18.3%15.8%19.8%16.8%16.7%
HV 60d17.2%16.2%17.8%16.6%17.8%
IV Rank29.8%22.2%51.0%51.0%24.5%
IV Percentile61.6%49.6%89.3%89.3%50.8%
Term Structure0.1%-0.2%0.4%-0.2%-0.0%
VWIV17.3%15.4%21.2%21.2%15.9%
Skew 25d3.9%2.7%5.5%5.5%3.4%
Skew 10d8.0%6.0%11.5%10.9%7.2%
Call IV 25d15.4%14.0%18.0%18.0%14.8%
Put IV 25d19.2%17.6%23.5%23.5%18.2%
Bid-Ask Spread %2.031.583.151.703.15
Gamma HHI0.110.070.470.110.07
Net GEX-347.1M-1.25B85.0M-531.3M85.0M
Net DEX4.87B989.4M8.54B8.54B1.02B
Net VEX-45.7M-48.0M-43.9M-46.0M-48.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.633.012.980.66
Total Volume457,646.333288,060752,538447,121660,196
Total OI8,672,5337,482,8259,612,5858,396,0878,549,559

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$42.75$45.0020.9%6.2%16.8%51.0%21.2%5.5%-0.2%-531.3M8.54B-46.0M2.981.70112,376334,7453,096,5805,299,507
2018-07-03$42.93$45.0019.7%5.8%17.0%44.9%21.0%5.4%-0.2%-499.9M8.08B-46.3M3.012.7485,168256,4293,170,2165,245,634
2018-07-05$42.84$45.0019.5%5.5%15.8%43.6%19.5%5.3%-0.1%-517.4M8.37B-45.2M1.281.99300,258383,9603,199,2475,284,499
2018-07-06$43.34$44.0017.9%5.1%16.5%34.9%17.9%3.9%0.1%-456.0M6.88B-47.0M1.342.01209,685280,8613,410,7575,412,768
2018-07-09$44.11$43.5017.1%5.0%18.1%30.5%17.8%3.9%0.1%-365.1M4.57B-46.4M1.041.82187,338195,1663,463,1285,404,118
2018-07-10$44.02$43.5016.4%4.7%18.1%26.9%18.9%3.6%-0.1%-363.6M4.65B-45.6M2.152.01111,047239,1783,516,9215,408,104
2018-07-11$43.25$43.5018.1%5.2%18.8%36.3%17.3%4.4%-0.1%-521.0M7.25B-44.6M1.741.93135,058234,4873,518,4325,458,996
2018-07-12$43.78$44.0016.3%4.7%19.6%26.3%17.5%3.9%0.3%-430.4M5.54B-45.5M0.941.58197,872185,5903,564,4715,497,099
2018-07-13$43.82$44.0015.6%4.5%19.6%22.6%17.9%3.4%0.2%-410.9M5.49B-45.3M2.331.92103,265240,5583,647,4135,540,126
2018-07-16$43.65$44.0016.3%4.7%19.4%26.0%16.3%3.9%0.3%-483.7M6.11B-44.1M1.681.77171,098287,8363,650,1935,474,914
2018-07-17$44.00$43.5015.6%4.5%19.3%22.2%15.4%3.5%0.4%-385.3M4.72B-45.2M1.431.91127,278182,2463,743,5535,557,772
2018-07-18$43.85$43.5015.7%4.5%18.3%22.7%17.2%3.4%0.3%-415.2M5.25B-44.8M2.472.0482,897205,1633,801,8505,597,039
2018-07-19$43.26$44.0016.6%4.7%18.8%27.7%16.8%3.7%0.2%-515.0M7.46B-43.9M1.991.93182,401363,1223,834,2155,623,889
2018-07-20$44.00$43.5015.7%4.4%19.1%22.7%15.8%3.8%0.4%-1.25B4.57B-44.2M1.851.91264,260488,2783,904,9505,707,635
2018-07-23$43.61$44.0016.9%4.8%18.9%29.7%15.4%3.9%0.3%-228.0M4.43B-44.1M2.461.9898,738242,4102,837,3254,645,500
2018-07-24$44.28$44.0016.3%4.6%19.1%26.4%16.0%3.6%0.3%-63.6M2.77B-45.3M0.631.63301,110188,8772,899,1884,718,747
2018-07-25$45.00$44.0016.0%4.5%19.8%24.8%16.6%3.2%0.2%43.4M989.4M-46.2M0.792.32266,543209,3673,025,7894,775,274
2018-07-26$44.52$44.0016.2%4.5%18.6%25.6%17.0%2.7%0.1%3.5M2.04B-46.9M0.961.68250,887241,8463,245,0364,842,348
2018-07-27$44.71$44.0016.6%4.7%18.5%28.0%15.9%3.3%0.2%19.8M1.57B-47.3M0.752.38304,386229,1943,280,5594,938,473
2018-07-30$44.62$44.0016.9%4.8%17.8%29.5%17.0%3.6%-0.2%-64.1K1.90B-47.4M1.122.20221,700247,6993,394,0474,937,322
2018-07-31$44.86$44.0016.0%4.6%16.7%24.5%15.9%3.4%-0.0%85.0M1.02B-48.0M0.663.15398,303261,8933,547,6315,001,928