EEM Options History — March 2019

In March 2019, EEM traded between $41.64 and $43.75. ATM implied volatility averaged 16.7%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.1% (HV 20d: 15.7%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.29.

Notable Days

  • 2019-03-14: Highest Volume — 966,699 contracts
  • 2019-03-22: Largest IV spike — 14.0% change
  • 2019-03-08: Highest IV Rank — 26.5%
  • 2019-03-25: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.73$41.64$43.75$42.50$42.95
Max Pain$42.71$42.00$43.00$42.00$43.00
ATM IV16.7%15.0%18.6%17.0%16.3%
Expected Move4.9%4.4%5.3%4.7%4.8%
HV 20d15.7%13.1%18.7%13.2%17.8%
HV 60d17.2%16.2%17.9%17.8%17.2%
IV Rank13.7%1.8%26.5%15.8%10.8%
IV Percentile21.2%1.2%48.4%20.6%14.7%
Term Structure0.1%-0.3%0.3%0.0%0.3%
VWIV17.4%15.3%19.3%15.3%17.6%
Skew 25d3.4%2.6%4.0%3.1%3.4%
Skew 10d6.8%4.9%8.2%6.9%7.0%
Call IV 25d15.1%13.8%16.5%15.7%14.7%
Put IV 25d18.5%16.6%20.5%18.8%18.1%
Bid-Ask Spread %2.251.433.121.952.16
Gamma HHI0.090.070.170.080.08
Net GEX10.0M-271.1M336.5M60.0M-56.9M
Net DEX-223.5M-3.03B2.58B-672.9M684.7M
Net VEX-51.8M-54.4M-49.0M-52.4M-53.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.290.826.301.501.17
Total Volume387,179.571172,285966,699292,659448,154
Total OI9,526,978.6677,738,29211,535,92510,408,5568,731,699

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$42.50$42.0017.0%4.7%13.2%15.8%15.3%3.1%0.0%60.0M-672.9M-52.4M1.501.95117,298175,3614,048,0446,360,512
2019-03-04$42.55$42.0017.5%4.9%13.2%18.7%17.7%3.7%-0.1%79.6M-911.9M-51.1M1.401.6887,910123,3703,949,9036,271,245
2019-03-05$43.02$42.0016.6%4.4%13.7%12.7%16.8%3.4%-0.0%250.7M-2.59B-50.3M3.441.7163,790219,2264,002,5436,333,414
2019-03-06$42.74$42.0017.1%4.7%13.1%16.4%17.6%3.4%0.1%137.5M-1.65B-50.7M1.931.74119,387230,2454,012,2756,426,570
2019-03-07$41.92$42.0018.1%5.1%14.0%23.3%19.3%3.9%0.2%-183.1M1.47B-51.9M3.251.5684,899275,5424,081,0246,531,728
2019-03-08$41.64$42.0018.6%5.3%13.8%26.5%18.2%4.0%0.1%-241.1M2.58B-51.9M1.051.43266,251278,8434,100,7136,625,113
2019-03-11$42.45$43.0017.1%5.1%15.3%16.4%17.7%3.5%0.1%11.7M-629.1M-50.3M2.553.1273,294187,0624,079,4016,644,761
2019-03-12$42.72$43.0016.7%5.0%15.4%13.2%17.0%3.5%0.1%99.0M-1.58B-49.8M3.492.4438,335133,9504,119,8956,701,340
2019-03-13$42.67$43.0016.6%4.9%15.2%12.9%16.7%3.3%-0.1%100.8M-1.54B-49.0M0.822.77295,870241,6264,123,0056,790,404
2019-03-14$42.49$43.0015.9%4.9%15.0%8.1%16.5%3.3%0.2%57.7M-949.9M-49.2M6.301.83132,508834,1914,151,5396,808,029
2019-03-15$43.02$43.0015.0%4.7%15.6%1.8%17.2%2.8%0.1%336.5M-3.03B-51.9M1.752.86282,877493,6094,293,5407,242,385
2019-03-18$43.57$43.0015.2%4.6%16.0%3.2%16.8%2.6%-0.1%158.8M-1.49B-50.8M1.112.1586,29995,5762,589,8595,148,433
2019-03-19$43.51$43.0015.3%4.6%15.8%3.9%18.1%3.0%-0.1%150.5M-1.32B-51.0M2.511.99155,745390,7132,628,4815,192,634
2019-03-20$43.75$43.0015.7%4.7%15.8%6.2%17.2%2.6%-0.1%139.8M-1.69B-51.5M2.122.4498,488208,9892,644,1075,406,443
2019-03-21$43.66$43.0015.4%4.6%15.8%4.3%16.8%2.8%0.1%118.0M-1.47B-52.1M2.891.8772,394208,9502,685,5735,441,999
2019-03-22$42.41$43.0017.5%5.1%18.7%19.3%17.6%3.6%-0.3%-160.6M1.99B-54.2M2.353.01144,725340,4262,695,5065,496,546
2019-03-25$42.53$43.0018.1%5.3%18.1%23.1%18.3%3.8%0.2%-166.3M1.69B-54.2M1.262.6398,555124,3062,717,6655,543,505
2019-03-26$42.49$43.0017.2%5.1%18.1%17.1%18.3%3.6%0.2%-185.2M1.85B-53.7M1.412.5488,845125,5992,753,5715,609,059
2019-03-27$42.26$43.0017.3%5.2%17.9%17.4%18.6%3.8%0.3%-271.1M2.57B-54.4M2.482.33131,501326,4672,786,7405,685,871
2019-03-28$42.50$43.0017.2%5.1%17.4%16.9%17.4%3.8%0.2%-227.0M2.00B-54.1M3.283.0053,596175,9992,808,8495,802,629
2019-03-29$42.95$43.0016.3%4.8%17.8%10.8%17.6%3.4%0.3%-56.9M684.7M-53.4M1.172.16206,055242,0992,830,6975,901,002