EEM Options History — June 2019

In June 2019, EEM traded between $40.78 and $42.97. ATM implied volatility averaged 17.7%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.0% (HV 20d: 15.7%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.79.

Notable Days

  • 2019-06-20: Highest Volume — 732,132 contracts
  • 2019-06-24: Largest IV spike — 6.1% change
  • 2019-06-03: Highest IV Rank — 37.4%
  • 2019-06-03: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.87$40.78$42.97$41.07$42.83
Max Pain$41.15$41.00$42.00$41.50$41.50
ATM IV17.7%16.2%19.7%19.7%17.9%
Expected Move5.1%4.6%5.7%5.7%5.1%
HV 20d15.7%12.6%20.5%20.5%15.1%
HV 60d16.2%16.0%16.6%16.6%16.1%
IV Rank24.2%13.9%37.4%37.4%25.4%
IV Percentile39.5%15.9%65.5%65.5%43.7%
Term Structure0.2%-0.1%0.6%-0.1%0.4%
VWIV18.4%16.3%21.6%21.6%18.9%
Skew 25d3.9%3.0%5.1%5.1%3.2%
Skew 10d7.8%5.6%10.3%10.3%6.8%
Call IV 25d16.2%15.0%17.6%17.6%16.6%
Put IV 25d20.1%18.1%22.7%22.7%19.8%
Bid-Ask Spread %2.361.843.062.342.14
Gamma HHI0.090.070.110.100.07
Net GEX-248.2M-570.1M256.2M-446.7M14.7M
Net DEX2.65B-2.13B6.17B5.23B-163.1M
Net VEX-57.3M-59.8M-55.1M-59.6M-57.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.385.381.781.03
Total Volume391,648.35137,233732,132321,298495,366
Total OI10,438,7858,399,42411,697,81810,506,0578,949,239

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$41.07$41.5019.7%5.7%20.5%37.4%21.6%5.1%-0.1%-446.7M5.23B-59.6M1.782.34115,675205,6233,252,0737,253,984
2019-06-04$41.15$41.5019.3%5.6%19.6%34.4%20.9%5.1%-0.1%-452.3M4.98B-59.8M2.411.8440,26996,9643,286,5927,324,950
2019-06-05$40.78$42.0018.7%5.4%18.3%30.8%19.4%5.0%-0.1%-518.6M6.17B-59.2M3.592.1942,433152,4283,292,4847,315,533
2019-06-06$40.90$41.0018.0%5.2%18.3%25.9%18.1%4.7%0.1%-517.6M5.79B-58.2M3.252.7162,726203,9783,312,2167,341,582
2019-06-07$41.25$41.0018.2%5.2%17.8%27.1%18.9%4.3%0.1%-430.1M4.65B-57.7M2.002.35171,524343,5163,350,8127,362,241
2019-06-10$41.66$41.0017.5%5.0%18.1%22.5%17.8%4.2%0.0%-374.3M3.53B-56.7M4.372.3553,438233,5303,345,8497,396,745
2019-06-11$42.09$41.0017.2%5.0%13.7%20.7%17.6%4.2%0.3%-275.5M2.15B-56.5M0.822.34159,272130,6733,355,1567,534,170
2019-06-12$41.58$41.0018.0%5.2%13.8%25.9%19.7%4.0%0.1%-409.3M3.99B-57.8M1.842.70104,777193,2723,457,6707,593,075
2019-06-13$41.50$41.0017.4%5.0%13.8%22.0%18.6%3.8%0.0%-426.7M4.34B-57.7M1.182.22248,387292,3823,510,9117,656,325
2019-06-14$41.12$41.0018.2%5.3%14.1%27.3%18.6%4.1%0.3%-549.0M5.78B-58.0M0.643.06376,181242,5873,580,2567,725,924
2019-06-17$40.92$41.0017.8%5.1%12.6%24.5%18.5%4.1%0.0%-570.1M6.10B-57.1M5.382.7668,812370,0743,481,7277,744,223
2019-06-18$41.94$41.0017.5%5.0%15.0%22.9%17.9%3.5%-0.1%-249.0M2.10B-56.5M1.062.55312,228330,8963,503,0557,799,451
2019-06-19$42.34$41.0016.6%4.7%14.9%16.5%16.4%3.2%0.3%-8.6M306.0M-56.3M0.552.33402,535219,3623,691,7507,753,962
2019-06-20$42.92$41.0016.5%4.7%15.4%15.8%16.4%3.0%0.1%256.2M-2.13B-55.1M0.742.39419,805312,3273,858,2687,766,134
2019-06-21$42.83$41.0016.2%4.6%13.8%13.9%17.4%3.0%0.3%73.7M-1.46B-56.3M1.472.17186,698273,7113,809,1447,888,674
2019-06-24$42.68$41.0017.2%4.9%14.0%20.5%17.1%3.3%0.5%-24.8M290.8M-55.9M0.722.35119,21686,0992,594,2945,805,130
2019-06-25$42.26$41.0017.5%5.0%14.8%23.0%19.4%3.5%0.3%-79.4M1.28B-56.7M1.422.1585,727121,7502,658,4285,847,170
2019-06-26$42.70$41.0017.7%5.1%14.9%24.0%16.3%3.2%0.6%-23.9M289.3M-56.7M0.381.99156,22158,6342,691,2745,915,395
2019-06-27$42.97$41.5017.6%5.0%15.0%23.6%17.9%3.6%0.5%48.2M-324.2M-56.7M1.182.21158,025185,8462,820,2695,949,565
2019-06-28$42.83$41.5017.9%5.1%15.1%25.4%18.9%3.2%0.4%14.7M-163.1M-57.6M1.032.14244,084251,2822,898,6286,050,611