EEM Options History — December 2018

In December 2018, EEM traded between $38.24 and $41.91. ATM implied volatility averaged 23.8%, placing in the 65.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.0% (HV 20d: 22.8%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.29.

Notable Days

  • 2018-12-19: Highest Volume — 1,134,948 contracts
  • 2018-12-17: Largest IV spike — 15.0% change
  • 2018-12-24: Highest IV Rank — 83.3%
  • 2018-12-05: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.68$38.24$41.91$41.91$39.06
Max Pain$41.75$41.00$42.00$42.00$41.00
ATM IV23.8%20.4%26.9%20.4%23.5%
Expected Move7.0%6.2%7.9%6.8%6.9%
HV 20d22.8%19.9%25.7%24.7%20.4%
HV 60d24.2%23.6%24.8%23.6%24.3%
IV Rank65.6%46.9%83.3%46.9%61.8%
IV Percentile84.4%67.5%98.0%67.5%79.4%
Term Structure0.0%-0.5%0.7%0.1%0.0%
VWIV24.5%21.8%27.4%24.3%24.9%
Skew 25d4.8%4.2%5.8%4.9%4.5%
Skew 10d8.8%7.7%9.8%8.5%8.8%
Call IV 25d21.7%18.0%24.1%18.0%21.5%
Put IV 25d26.5%22.9%29.1%22.9%25.9%
Bid-Ask Spread %4.001.8720.293.162.16
Gamma HHI0.090.070.120.100.07
Net GEX-134.8M-498.8M431.4M431.4M-127.0M
Net DEX6.17B335.3M10.06B335.3M4.23B
Net VEX-38.5M-43.3M-35.3M-43.3M-36.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.422.440.421.75
Total Volume579,728.35189,9911,134,948873,009286,117
Total OI11,159,327.857,805,27512,807,63911,661,6367,858,485

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$41.91$42.0020.4%6.8%24.7%46.9%24.3%4.9%0.1%431.4M335.3M-43.3M0.423.16613,723259,2865,694,5605,967,076
2018-12-04$41.13$42.0022.8%7.8%25.7%60.3%26.6%5.1%-0.5%165.9M3.44B-43.3M0.633.73296,604187,3105,778,8856,048,834
2018-12-05$41.03$42.0022.9%7.9%25.7%60.8%27.4%5.0%-0.5%124.2M3.85B-42.5M0.6320.29303,484189,8995,778,8856,048,834
2018-12-06$40.65$42.0023.9%6.7%24.7%66.4%22.5%5.6%-0.2%-4.7M5.31B-41.8M0.434.83497,267211,6075,831,4816,129,574
2018-12-07$40.33$42.0023.1%6.5%22.9%61.7%22.8%5.3%-0.0%-93.2M6.35B-40.5M0.874.43101,51488,4775,980,9736,179,375
2018-12-10$39.50$42.0024.7%7.0%23.5%71.1%24.9%5.3%-0.1%-274.3M8.71B-37.1M1.133.25280,041317,0015,651,8576,043,807
2018-12-11$39.83$42.0023.5%6.7%23.0%64.3%23.8%4.9%0.3%-229.3M7.99B-38.6M0.942.90374,898354,1025,826,3286,217,271
2018-12-12$40.52$42.0022.4%6.6%23.4%58.4%21.8%4.4%0.5%-9.6M5.32B-40.4M0.493.63548,225269,2336,014,6536,320,195
2018-12-13$40.51$42.0021.9%6.4%23.3%55.5%22.6%4.2%0.7%-35.7M5.57B-41.3M1.482.59203,206300,3906,226,0986,463,311
2018-12-14$39.85$42.0021.4%6.2%23.0%52.7%23.6%5.0%0.5%-258.4M8.19B-38.2M1.692.80222,689377,2116,222,2106,528,675
2018-12-17$39.34$42.0024.6%7.1%23.2%70.7%26.7%5.8%-0.4%-361.3M8.96B-36.6M0.583.68300,163173,1286,046,2606,277,878
2018-12-18$39.24$42.0025.1%7.2%22.5%73.5%24.7%4.3%-0.3%-272.6M8.44B-37.8M2.082.48270,813563,1996,145,8766,334,057
2018-12-19$38.39$42.0025.1%7.2%22.6%73.4%24.2%4.3%-0.4%-498.8M10.06B-35.3M1.383.70476,729658,2196,210,2176,210,485
2018-12-20$38.78$42.0024.5%7.0%22.1%70.0%25.5%4.2%-0.1%-377.5M8.50B-36.8M2.443.04214,014522,1926,492,8466,295,940
2018-12-21$38.48$42.0025.1%7.2%21.9%73.2%25.6%4.3%-0.2%-291.4M9.17B-36.0M2.223.40224,622499,7526,572,1366,235,503
2018-12-24$38.24$41.0026.9%7.8%21.4%83.3%25.3%5.0%-0.0%-186.4M5.66B-35.7M2.343.0581,151189,7723,625,6524,179,623
2018-12-26$38.83$41.0024.5%7.1%22.1%68.8%23.9%4.7%0.2%-148.5M4.66B-35.8M0.682.48188,647128,2723,644,6864,164,285
2018-12-27$38.75$41.0025.3%7.4%19.9%73.3%25.1%4.6%0.0%-155.8M4.70B-35.9M1.842.46135,017248,8463,703,6924,183,894
2018-12-28$39.16$41.0024.2%7.1%20.5%66.3%24.4%4.5%0.6%-93.8M3.97B-36.7M1.701.87162,185275,5623,767,4734,284,687
2018-12-31$39.06$41.0023.5%6.9%20.4%61.8%24.9%4.5%0.0%-127.0M4.23B-36.0M1.752.16104,038182,0793,617,2624,241,223