EEM Options History — September 2019

In September 2019, EEM traded between $39.90 and $42.24. ATM implied volatility averaged 16.5%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.9% (HV 20d: 13.6%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.86.

Notable Days

  • 2019-09-05: Highest Volume — 596,802 contracts
  • 2019-09-24: Largest IV spike — 11.2% change
  • 2019-09-03: Highest IV Rank — 35.6%
  • 2019-09-03: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.35$39.90$42.24$39.90$40.89
Max Pain$40.55$40.00$41.00$41.00$41.00
ATM IV16.5%15.1%19.4%19.4%17.2%
Expected Move4.8%4.4%5.8%5.8%4.8%
HV 20d13.6%10.0%17.9%16.9%11.9%
HV 60d15.8%15.1%16.7%16.4%15.3%
IV Rank16.4%6.8%35.6%35.6%20.6%
IV Percentile27.0%10.7%61.1%61.1%35.7%
Term Structure0.3%-0.2%0.8%-0.1%0.0%
VWIV17.0%14.5%20.1%20.1%16.2%
Skew 25d4.0%3.4%5.3%5.3%4.8%
Skew 10d8.2%6.8%10.5%10.5%9.7%
Call IV 25d14.7%13.5%17.3%17.3%15.4%
Put IV 25d18.7%17.0%22.7%22.7%20.3%
Bid-Ask Spread %2.191.582.981.581.84
Gamma HHI0.080.060.160.110.08
Net GEX-277.6M-703.5M-50.2M-443.2M-423.3M
Net DEX2.48B-865.6M6.49B6.49B4.55B
Net VEX-52.2M-54.8M-48.8M-54.4M-48.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.464.611.411.71
Total Volume311,788.1115,446596,802224,604282,405
Total OI10,622,256.858,864,13612,115,26010,349,4289,276,566

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$39.90$41.0019.4%5.8%16.9%35.6%20.1%5.3%-0.1%-443.2M6.49B-54.4M1.411.5893,204131,4003,310,7467,038,682
2019-09-04$40.59$41.0018.1%5.4%17.5%27.1%18.3%4.5%0.2%-349.6M4.36B-54.5M3.641.64110,050400,1813,336,4897,121,540
2019-09-05$41.10$40.0016.6%4.8%17.9%16.5%17.8%3.8%0.1%-287.0M2.80B-54.7M1.372.47252,011344,7913,382,0307,336,877
2019-09-06$41.23$40.0016.3%4.8%17.4%14.9%17.0%3.5%0.2%-274.1M2.40B-54.8M0.552.16126,90469,6523,450,6587,413,536
2019-09-09$41.34$40.0015.9%4.6%17.1%12.3%15.5%3.8%0.1%-223.5M2.13B-53.9M1.692.2069,501117,7913,468,1777,417,412
2019-09-10$41.34$40.0016.1%4.7%16.1%13.1%16.2%3.8%0.2%-230.1M2.23B-54.0M1.212.67163,813197,8033,477,3677,491,296
2019-09-11$41.66$40.0015.9%4.7%15.9%12.3%16.7%3.7%0.5%-150.8M1.06B-53.8M3.122.5073,801230,4303,591,7387,582,773
2019-09-12$42.03$40.0015.1%4.5%12.2%6.8%15.7%3.5%0.6%-76.6M-128.3M-53.0M0.461.88186,82285,3863,604,8847,730,678
2019-09-13$42.24$40.0015.4%4.5%12.2%9.0%15.9%3.4%0.4%-50.2M-865.6M-52.4M0.622.20291,296181,1523,662,5377,781,114
2019-09-16$41.84$40.0016.4%4.7%12.6%15.1%17.8%4.0%-0.2%-124.1M633.6M-54.1M0.702.19132,37092,3663,841,4957,773,867
2019-09-17$41.91$40.0015.9%4.6%12.6%11.9%15.9%3.8%0.2%-146.2M445.9M-52.8M0.982.42271,417265,4973,761,5527,772,504
2019-09-18$41.74$41.0016.4%4.7%12.8%15.4%19.3%3.9%0.1%-167.6M1.12B-50.8M4.612.8675,909349,6243,976,2157,945,654
2019-09-19$41.57$41.0016.0%4.6%12.9%12.4%16.8%3.6%0.1%-262.0M2.08B-51.5M1.052.9892,19896,4404,005,2378,089,447
2019-09-20$41.58$41.0015.5%4.4%11.9%9.4%15.9%3.5%0.3%-221.8M2.14B-50.6M1.852.24153,434283,3624,000,5128,114,748
2019-09-23$41.64$41.0015.5%4.4%10.0%9.3%14.5%3.9%0.8%-256.2M2.13B-48.8M1.091.8673,91680,5612,663,9496,200,187
2019-09-24$41.25$41.0017.2%4.9%11.0%20.8%17.8%4.6%0.5%-361.0M3.47B-50.6M1.882.2940,08575,3612,814,2786,345,289
2019-09-25$41.25$41.0016.8%4.8%11.0%17.9%17.6%4.4%0.7%-389.2M3.46B-49.6M3.162.0133,066104,3792,808,6906,377,507
2019-09-26$41.17$41.0016.8%4.8%11.1%17.7%16.6%4.2%0.8%-411.0M3.66B-49.9M2.101.7446,66098,1072,825,1606,379,273
2019-09-27$40.64$41.0018.5%5.3%11.9%29.3%18.4%4.8%0.4%-703.5M5.43B-50.9M4.001.9992,507370,1102,839,4876,434,986
2019-09-30$40.89$41.0017.2%4.8%11.9%20.6%16.2%4.8%0.0%-423.3M4.55B-48.9M1.711.84104,112178,2932,842,4296,434,137