EEM Options History — November 2018

In November 2018, EEM traded between $39.26 and $41.61. ATM implied volatility averaged 25.0%, placing in the 72.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 3.2% (HV 20d: 28.1%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2018-11-16: Highest Volume — 1,363,128 contracts
  • 2018-11-07: Largest IV drop — 9.2% change
  • 2018-11-20: Highest IV Rank — 91.0%
  • 2018-11-20: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.48$39.26$41.61$40.53$41.00
Max Pain$41.81$40.00$42.00$40.00$42.00
ATM IV25.0%22.2%28.2%23.7%24.5%
Expected Move7.5%6.6%8.1%7.2%8.0%
HV 20d28.1%23.7%29.7%29.1%23.7%
HV 60d23.2%22.7%23.6%23.2%23.2%
IV Rank72.4%57.2%91.0%65.5%69.8%
IV Percentile92.9%84.1%99.2%92.1%88.1%
Term Structure-0.4%-2.0%1.6%-0.2%-0.7%
VWIV26.0%21.8%29.5%25.0%27.3%
Skew 25d4.5%3.1%5.3%4.9%4.8%
Skew 10d8.3%5.7%10.1%10.0%8.6%
Call IV 25d22.7%20.3%25.4%21.6%21.6%
Put IV 25d27.2%24.2%30.4%26.6%26.5%
Bid-Ask Spread %3.122.285.202.662.81
Gamma HHI0.090.070.180.080.08
Net GEX-52.5M-327.8M222.4M-57.8M159.6M
Net DEX4.61B903.2M8.43B4.26B3.14B
Net VEX-41.2M-45.9M-36.3M-41.5M-45.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.522.930.520.75
Total Volume711,095328,9741,363,128719,129665,673
Total OI10,224,451.8579,377,18911,707,3019,677,50311,707,301

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$40.53$40.0023.7%7.2%29.1%65.5%25.0%4.9%-0.2%-57.8M4.26B-41.5M0.522.66473,155245,9744,361,7755,315,728
2018-11-02$40.90$40.0024.7%7.7%29.3%70.8%28.9%4.9%-0.4%65.6M3.07B-43.6M0.732.30514,997374,5734,549,7435,379,768
2018-11-05$40.95$42.0024.6%7.3%29.2%70.7%26.4%4.8%-0.2%70.9M2.92B-43.2M0.782.28201,915158,1204,744,1175,267,368
2018-11-06$40.76$42.0024.5%7.2%29.2%69.9%25.0%4.7%-0.3%37.3M3.57B-42.5M1.652.86176,161291,0184,741,2165,321,774
2018-11-07$41.61$42.0022.2%6.6%28.0%57.2%21.8%3.9%-0.4%222.4M903.2M-41.9M0.522.73583,733304,9084,793,9325,366,745
2018-11-08$40.50$42.0022.7%7.0%29.7%59.8%24.5%3.8%-0.4%-30.5M4.70B-40.0M2.122.99139,128294,6764,865,1045,442,941
2018-11-09$39.87$42.0023.5%7.0%29.1%64.1%25.4%4.2%-0.2%-207.9M6.85B-38.7M1.803.15151,867273,1264,954,2215,504,611
2018-11-12$39.26$42.0024.2%7.4%29.5%68.1%25.7%4.4%1.6%-279.9M8.43B-36.3M0.752.80516,611385,0024,678,3935,511,627
2018-11-13$39.68$42.0025.1%7.5%28.7%73.3%24.7%4.1%0.8%-327.8M7.75B-37.3M0.634.67407,555256,4964,323,9885,640,553
2018-11-14$40.03$42.0025.1%7.5%28.7%73.0%26.5%4.3%0.7%-276.2M6.69B-38.3M0.904.17221,140199,2624,472,2625,706,147
2018-11-15$40.79$42.0025.5%7.6%27.9%75.5%25.9%3.6%0.6%-66.6M4.09B-40.3M0.995.20637,503633,7804,537,2905,733,816
2018-11-16$41.04$42.0025.4%7.5%27.8%74.7%24.3%3.1%0.7%186.5M2.81B-41.5M0.572.91870,526492,6024,865,0266,090,480
2018-11-19$40.36$42.0027.4%7.9%28.4%86.0%27.4%4.6%-1.6%-95.8M4.75B-42.2M1.263.35292,825369,1444,243,5825,133,607
2018-11-20$39.53$42.0028.2%8.1%29.1%91.0%29.5%5.0%-1.0%-247.4M6.95B-40.0M2.932.90158,153463,0104,295,3095,222,833
2018-11-21$40.18$42.0026.7%7.7%28.2%82.3%24.1%4.9%-1.5%-175.3M5.62B-41.3M0.672.46381,530256,5284,409,2765,386,311
2018-11-23$39.74$42.0026.5%7.8%28.4%81.2%26.2%5.3%-2.0%-318.1M6.60B-40.3M1.083.29158,463170,5114,676,0375,390,373
2018-11-26$40.21$42.0025.7%7.8%28.3%76.5%26.6%5.0%-0.7%-102.1M5.40B-39.8M0.923.13300,562275,8874,623,7035,226,364
2018-11-27$40.46$42.0024.9%7.8%26.3%72.2%27.3%5.0%-0.9%-48.4M4.75B-40.8M0.932.62454,260424,1134,792,2715,332,446
2018-11-28$41.44$42.0024.5%7.8%26.2%69.9%26.6%4.9%-0.7%183.0M1.50B-45.4M0.683.19612,892414,9185,165,6395,529,726
2018-11-29$41.29$42.0024.4%7.8%25.9%69.6%26.2%4.5%-0.6%205.8M2.08B-45.9M0.702.97430,931299,7675,581,4725,828,614
2018-11-30$41.00$42.0024.5%8.0%23.7%69.8%27.3%4.8%-0.7%159.6M3.14B-45.0M0.752.81379,485286,1885,673,3636,033,938