EEM Options History — September 2018

In September 2018, EEM traded between $41.13 and $43.22. ATM implied volatility averaged 19.2%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.4% (HV 20d: 20.6%). Max pain ranged from $42.50 to $44.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.98.

Notable Days

2018-09-21: Highest Volume — 832,963 contracts
2018-09-18: Largest IV drop — 7.9% change
2018-09-05: Highest IV Rank — 53.9%
2018-09-05: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.23	$41.13	$43.22	$42.31	$42.83
Max Pain	$42.97	$42.50	$44.00	$44.00	$43.00
ATM IV	19.2%	17.4%	21.4%	20.8%	17.4%
Expected Move	5.5%	4.9%	6.3%	6.1%	4.9%
HV 20d	20.6%	15.5%	23.7%	23.7%	15.5%
HV 60d	19.3%	18.6%	19.7%	19.5%	18.7%
IV Rank	41.0%	30.2%	53.9%	51.0%	30.2%
IV Percentile	74.1%	56.0%	90.1%	88.5%	56.0%
Term Structure	-0.0%	-0.6%	0.5%	-0.2%	0.5%
VWIV	18.8%	17.1%	21.7%	21.6%	18.1%
Skew 25d	3.7%	2.8%	4.7%	4.1%	3.4%
Skew 10d	7.2%	5.1%	9.2%	7.5%	6.1%
Call IV 25d	17.6%	16.0%	19.4%	19.4%	16.2%
Put IV 25d	21.3%	19.0%	23.7%	23.4%	19.6%
Bid-Ask Spread %	1.93	1.50	2.90	1.50	1.63
Gamma HHI	0.09	0.07	0.12	0.08	0.10
Net GEX	-184.6M	-538.1M	279.6M	-312.8M	116.7M
Net DEX	5.73B	1.30B	10.00B	6.66B	2.81B
Net VEX	-43.3M	-45.3M	-40.3M	-45.3M	-43.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.41	1.86	1.19	1.24
Total Volume	464,385.684	226,663	832,963	427,950	353,296
Total OI	10,050,819.895	7,809,212	11,667,781	9,908,528	8,147,215

Daily Data (19 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
2018-09-04	$42.31	$44.00	20.8%	6.1%	23.7%	51.0%	21.6%	4.1%	-0.2%	-312.8M	6.66B	-45.3M	1.19	1.50	195,224	232,726	4,511,090	5,397,438
2018-09-05	$41.75	$44.00	21.4%	6.3%	23.6%	53.9%	21.7%	4.5%	-0.3%	-423.1M	8.31B	-43.8M	1.86	1.65	176,532	328,222	4,601,740	5,485,134
2018-09-06	$41.75	$43.00	20.9%	5.8%	23.6%	51.1%	18.8%	4.5%	-0.1%	-429.5M	8.48B	-43.8M	0.90	1.99	244,804	219,740	4,701,956	5,612,740
2018-09-07	$41.55	$43.00	20.8%	5.8%	23.6%	50.5%	19.9%	4.6%	-0.2%	-538.1M	8.92B	-43.1M	1.13	2.01	184,331	207,475	4,840,773	5,640,941
2018-09-10	$41.19	$43.00	20.7%	5.8%	22.6%	50.1%	19.4%	4.6%	-0.4%	-517.3M	9.95B	-40.7M	1.63	1.74	146,363	238,489	4,822,566	5,659,030
2018-09-11	$41.13	$43.00	20.3%	5.7%	22.1%	47.9%	18.9%	4.7%	-0.3%	-537.0M	10.00B	-40.3M	1.01	1.58	157,157	158,450	4,855,258	5,694,584
2018-09-12	$41.49	$43.00	19.9%	5.6%	22.3%	45.8%	18.8%	4.1%	-0.6%	-479.0M	8.88B	-41.5M	0.41	2.08	383,671	159,203	4,934,628	5,714,336
2018-09-13	$41.97	$42.50	19.2%	5.4%	20.0%	41.8%	18.5%	3.6%	-0.4%	-293.4M	7.10B	-44.1M	0.68	1.94	347,714	237,235	5,222,605	5,807,676
2018-09-14	$42.03	$42.50	18.9%	5.5%	19.8%	40.5%	18.8%	3.5%	0.0%	-248.4M	6.57B	-44.1M	0.74	1.72	320,652	238,567	5,333,358	5,730,991
2018-09-17	$41.56	$42.50	20.1%	5.8%	19.9%	46.8%	19.7%	3.7%	-0.1%	-350.4M	8.06B	-42.4M	1.37	1.91	188,999	258,622	5,392,992	5,690,304
2018-09-18	$42.00	$43.00	18.5%	5.3%	20.3%	37.2%	17.9%	3.5%	0.2%	-292.1M	6.94B	-42.9M	0.57	2.21	300,213	169,867	5,420,534	5,786,968
2018-09-19	$42.54	$42.50	18.1%	5.2%	20.2%	34.0%	17.5%	2.9%	0.1%	-74.0M	4.55B	-44.0M	0.49	1.88	303,715	148,988	5,525,513	5,804,873
2018-09-20	$43.05	$42.50	17.6%	5.1%	20.5%	31.4%	17.1%	3.0%	0.0%	154.2M	2.29B	-44.1M	0.75	2.00	343,664	257,885	5,640,286	5,800,389
2018-09-21	$43.22	$43.00	17.6%	5.0%	19.6%	31.3%	18.2%	2.8%	0.4%	177.0M	1.30B	-44.4M	1.01	2.09	413,801	419,162	5,709,198	5,958,583
2018-09-24	$42.75	$43.00	18.6%	5.4%	18.9%	36.6%	19.2%	3.5%	0.2%	759.2K	2.83B	-43.3M	0.99	2.17	113,921	112,742	3,289,611	4,521,540
2018-09-25	$42.98	$43.00	18.1%	5.2%	18.2%	33.7%	17.6%	3.1%	0.2%	58.3M	2.19B	-43.8M	0.63	1.82	273,660	171,570	3,324,873	4,484,339
2018-09-26	$43.14	$43.00	18.1%	5.3%	18.3%	33.8%	18.7%	3.3%	0.2%	201.0M	1.60B	-43.9M	0.64	2.90	247,081	157,001	3,416,538	4,467,290
2018-09-27	$43.19	$43.00	17.5%	5.0%	18.1%	30.5%	17.3%	3.3%	0.3%	279.6M	1.43B	-44.1M	1.48	1.77	166,632	245,954	3,520,955	4,496,733
2018-09-28	$42.83	$43.00	17.4%	4.9%	15.5%	30.2%	18.1%	3.4%	0.5%	116.7M	2.81B	-43.9M	1.24	1.63	158,032	195,264	3,518,044	4,629,171