EEM Options History — August 2018

In August 2018, EEM traded between $41.54 and $44.48. ATM implied volatility averaged 17.6%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 1.4% (HV 20d: 19.0%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.48.

Notable Days

2018-08-15: Highest Volume — 1,016,511 contracts
2018-08-15: Largest IV spike — 23.8% change
2018-08-15: Highest IV Rank — 52.0%
2018-08-15: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.31	$41.54	$44.48	$44.48	$43.25
Max Pain	$44.46	$44.00	$45.00	$44.00	$44.00
ATM IV	17.6%	14.8%	21.0%	16.2%	19.3%
Expected Move	5.0%	4.4%	6.0%	4.6%	5.6%
HV 20d	19.0%	15.3%	22.6%	17.2%	22.6%
HV 60d	18.0%	17.0%	19.1%	17.8%	19.0%
IV Rank	33.3%	17.9%	52.0%	25.8%	42.6%
IV Percentile	65.3%	36.1%	89.7%	53.6%	79.8%
Term Structure	0.2%	-0.4%	1.3%	0.0%	-0.4%
VWIV	17.7%	15.0%	21.2%	17.1%	19.0%
Skew 25d	3.5%	2.5%	5.0%	3.5%	3.6%
Skew 10d	6.9%	4.7%	10.1%	6.9%	7.0%
Call IV 25d	16.2%	13.8%	19.0%	14.9%	17.6%
Put IV 25d	19.7%	16.7%	24.0%	18.4%	21.2%
Bid-Ask Spread %	1.82	1.51	2.48	2.22	1.74
Gamma HHI	0.08	0.07	0.12	0.07	0.07
Net GEX	-175.2M	-570.2M	389.0M	43.9M	8.6M
Net DEX	4.71B	326.6M	10.16B	2.36B	3.72B
Net VEX	-45.9M	-49.6M	-40.4M	-49.2M	-48.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.30	5.54	1.02	1.11
Total Volume	537,620.696	204,513	1,016,511	396,647	489,733
Total OI	9,378,258.261	8,466,124	10,298,996	8,905,347	10,298,996

Daily Data (23 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
2018-08-01	$44.48	$44.00	16.2%	4.6%	17.2%	25.8%	17.1%	3.5%	0.0%	43.9M	2.36B	-49.2M	1.02	2.22	196,537	200,110	3,844,141	5,061,206
2018-08-02	$43.87	$44.50	16.8%	4.7%	18.0%	29.0%	16.9%	3.7%	0.0%	-194.6M	4.22B	-48.3M	0.66	2.09	387,811	256,823	3,794,396	5,132,212
2018-08-03	$44.19	$44.50	16.2%	4.6%	17.7%	25.8%	15.0%	3.1%	0.0%	-109.2M	3.24B	-48.4M	0.75	2.15	184,134	138,855	3,830,168	5,212,325
2018-08-06	$43.90	$45.00	15.8%	4.6%	16.8%	23.6%	16.7%	3.3%	0.0%	-159.0M	4.08B	-46.0M	1.14	2.15	129,801	148,103	3,846,755	5,152,391
2018-08-07	$44.34	$45.00	15.3%	4.5%	17.1%	20.5%	15.5%	3.1%	0.2%	-19.1M	2.60B	-46.9M	0.67	1.78	189,129	127,595	3,893,247	5,186,747
2018-08-08	$44.30	$45.00	14.8%	4.4%	15.8%	17.9%	16.2%	2.8%	0.2%	-60.5M	2.85B	-46.9M	2.49	1.66	58,586	145,927	3,903,347	5,236,859
2018-08-09	$44.18	$45.00	15.2%	4.5%	15.3%	20.2%	15.7%	2.9%	0.2%	-109.7M	3.32B	-46.3M	1.48	1.80	246,949	366,199	3,916,832	5,255,818
2018-08-10	$43.18	$45.00	17.8%	5.2%	17.4%	34.4%	18.9%	3.9%	0.1%	-369.3M	6.45B	-46.1M	2.80	1.70	207,541	581,997	4,085,594	5,367,537
2018-08-13	$42.56	$45.00	18.8%	5.4%	18.0%	39.6%	19.0%	4.4%	0.0%	-513.5M	8.11B	-43.5M	5.54	1.97	85,782	474,995	4,041,482	5,478,420
2018-08-14	$42.81	$45.00	17.0%	4.9%	17.9%	30.0%	17.0%	3.9%	0.1%	-522.3M	7.36B	-42.4M	1.32	2.48	157,265	208,232	3,977,323	5,377,905
2018-08-15	$41.54	$45.00	21.0%	6.0%	20.6%	52.0%	21.2%	5.0%	-0.1%	-567.0M	10.16B	-40.4M	2.28	2.02	309,970	706,541	4,060,153	5,416,374
2018-08-16	$41.84	$44.50	19.3%	5.5%	20.5%	42.7%	19.5%	4.4%	-0.1%	-570.2M	9.42B	-42.2M	2.42	2.04	186,961	451,851	4,242,821	5,624,830
2018-08-17	$42.25	$44.50	19.5%	5.6%	19.8%	43.7%	18.8%	4.3%	-0.2%	-516.0M	8.21B	-43.7M	1.03	1.68	237,435	244,904	4,331,347	5,711,820
2018-08-20	$42.39	$44.50	18.2%	5.2%	19.7%	36.7%	19.1%	4.0%	1.1%	-295.6M	6.27B	-42.4M	2.34	1.80	127,241	298,024	3,630,126	4,835,998
2018-08-21	$42.96	$44.00	17.3%	5.0%	19.5%	31.7%	17.4%	3.5%	0.6%	-213.9M	4.78B	-43.7M	1.19	1.62	233,930	277,395	3,760,796	4,981,277
2018-08-22	$43.30	$44.00	17.3%	4.9%	18.7%	31.3%	18.1%	2.9%	1.3%	-144.6M	3.81B	-45.5M	1.03	1.51	252,659	261,162	3,860,461	5,139,056
2018-08-23	$42.58	$44.00	18.2%	5.2%	19.2%	36.8%	18.5%	2.5%	0.4%	-245.1M	5.74B	-44.8M	1.77	1.65	141,691	250,538	3,970,637	5,157,178
2018-08-24	$43.35	$44.00	17.5%	4.9%	20.4%	32.8%	17.2%	2.6%	1.3%	-106.3M	3.48B	-45.8M	0.65	1.62	498,092	323,111	4,035,271	5,248,333
2018-08-27	$43.95	$44.00	18.0%	5.1%	21.1%	35.2%	17.7%	3.1%	0.2%	175.6M	1.30B	-47.8M	0.30	1.64	708,466	212,114	4,289,269	5,341,634
2018-08-28	$43.79	$44.00	17.7%	5.0%	21.0%	33.6%	17.6%	3.2%	0.1%	215.3M	1.55B	-48.8M	0.92	1.53	191,555	176,970	4,585,086	5,363,658
2018-08-29	$44.10	$44.00	17.6%	4.9%	21.0%	33.5%	16.8%	3.1%	0.0%	389.0M	326.6M	-49.6M	0.47	1.53	415,728	196,999	4,702,229	5,409,105
2018-08-30	$42.92	$44.00	19.8%	5.5%	22.6%	45.3%	19.3%	3.4%	-0.2%	-146.4M	4.92B	-48.4M	0.73	1.53	392,566	287,269	4,671,113	5,437,667
2018-08-31	$43.25	$44.00	19.3%	5.6%	22.6%	42.6%	19.0%	3.6%	-0.4%	8.6M	3.72B	-48.8M	1.11	1.74	232,625	257,108	4,822,302	5,476,694