EEM Options History — October 2019

In October 2019, EEM traded between $40.28 and $42.97. ATM implied volatility averaged 16.1%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.8% (HV 20d: 12.2%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.85.

Notable Days

2019-10-18: Highest Volume — 658,354 contracts
2019-10-11: Largest IV drop — 8.5% change
2019-10-03: Highest IV Rank — 33.4%
2019-10-08: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.75	$40.28	$42.97	$40.59	$42.44
Max Pain	$41.39	$41.00	$42.00	$41.00	$42.00
ATM IV	16.1%	13.5%	19.1%	18.4%	14.6%
Expected Move	4.5%	3.7%	5.6%	5.2%	4.2%
HV 20d	12.2%	10.5%	13.7%	12.1%	11.9%
HV 60d	15.7%	13.5%	16.5%	15.3%	13.7%
IV Rank	13.4%	0.0%	33.4%	28.8%	7.0%
IV Percentile	24.1%	0.0%	60.7%	53.6%	7.5%
Term Structure	0.1%	-0.9%	1.1%	-0.3%	0.5%
VWIV	15.9%	13.4%	22.3%	17.6%	14.5%
Skew 25d	3.7%	2.6%	5.1%	5.0%	2.6%
Skew 10d	7.3%	5.6%	10.2%	9.9%	5.7%
Call IV 25d	14.5%	12.6%	17.1%	16.1%	13.5%
Put IV 25d	18.2%	15.5%	22.3%	21.1%	16.1%
Bid-Ask Spread %	2.08	1.45	3.47	2.62	2.34
Gamma HHI	0.10	0.07	0.23	0.08	0.10
Net GEX	-54.3M	-444.1M	303.2M	-417.5M	116.6M
Net DEX	1.28B	-1.79B	6.08B	5.22B	-288.9M
Net VEX	-42.7M	-49.2M	-38.1M	-47.7M	-40.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.28	1.94	0.78	0.72
Total Volume	270,801.391	113,168	658,354	255,987	295,988
Total OI	9,079,353.087	7,897,708	10,043,823	9,071,454	8,945,846

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-10-01	$40.59	$41.00	18.4%	5.2%	12.1%	28.8%	17.6%	5.0%	-0.3%	-417.5M	5.22B	-47.7M	0.78	2.62	144,060	111,927	2,786,696	6,284,758
2019-10-02	$40.28	$41.00	19.1%	5.4%	10.8%	33.2%	20.9%	5.1%	-0.2%	-444.1M	6.08B	-49.2M	1.94	1.78	53,012	102,858	2,836,897	6,306,685
2019-10-03	$40.72	$41.00	19.1%	5.3%	10.5%	33.4%	22.3%	4.8%	0.1%	-379.2M	4.74B	-48.9M	1.80	1.45	77,172	139,001	2,871,555	6,337,188
2019-10-04	$41.00	$41.00	17.7%	5.1%	10.8%	24.0%	16.8%	4.5%	0.1%	-353.4M	3.81B	-47.7M	0.73	1.65	148,891	108,971	2,914,933	6,357,389
2019-10-07	$40.66	$41.00	18.6%	5.1%	11.1%	30.0%	17.1%	4.6%	-0.7%	-363.2M	4.65B	-47.1M	1.15	1.55	109,012	125,723	2,969,775	6,322,877
2019-10-08	$40.38	$41.00	18.9%	5.6%	11.3%	31.8%	19.4%	4.8%	0.6%	-398.9M	5.52B	-47.0M	1.65	1.52	57,608	95,163	3,031,369	6,369,843
2019-10-09	$40.69	$41.00	18.5%	5.1%	11.3%	29.4%	16.5%	4.2%	-0.9%	-327.2M	4.42B	-45.9M	0.51	2.41	216,525	110,378	3,074,113	6,405,454
2019-10-10	$41.08	$41.00	18.0%	5.1%	11.3%	26.3%	18.2%	4.3%	-0.2%	-189.9M	3.04B	-46.0M	0.84	1.81	177,741	148,833	3,213,234	6,445,304
2019-10-11	$41.88	$41.00	16.5%	4.7%	13.3%	16.1%	16.3%	3.6%	-0.1%	13.6M	-212.6M	-43.0M	0.47	3.47	255,352	120,231	3,295,297	6,486,766
2019-10-14	$41.57	$41.00	15.9%	4.5%	13.2%	11.8%	16.7%	3.7%	1.1%	-389.6K	943.4M	-43.2M	0.83	2.03	63,624	52,519	3,329,828	6,409,608
2019-10-15	$41.92	$41.00	15.0%	4.3%	13.5%	6.4%	14.4%	3.2%	0.5%	70.7M	-404.9M	-41.4M	0.33	2.65	84,809	28,359	3,310,562	6,435,131
2019-10-16	$42.03	$41.00	14.8%	4.3%	13.4%	5.1%	14.1%	3.2%	0.5%	97.7M	-827.9M	-40.5M	0.68	1.61	214,872	146,673	3,322,536	6,442,596
2019-10-17	$42.19	$41.00	15.1%	4.3%	13.4%	6.6%	14.6%	2.9%	0.4%	199.7M	-1.79B	-39.5M	0.36	1.93	246,053	87,374	3,383,116	6,545,910
2019-10-18	$42.00	$41.00	14.6%	4.1%	13.5%	3.2%	14.2%	2.9%	0.7%	303.2M	-801.9M	-39.9M	0.90	1.77	346,836	311,518	3,457,205	6,586,618
2019-10-21	$42.31	$42.00	14.1%	3.9%	13.7%	0.4%	13.7%	3.3%	0.0%	4.0M	381.6M	-38.8M	1.59	2.34	50,765	80,833	2,490,915	5,406,793
2019-10-22	$42.34	$42.00	14.6%	4.1%	13.2%	3.2%	14.3%	3.5%	-0.2%	16.1M	286.5M	-39.0M	0.66	2.22	123,920	82,307	2,514,882	5,433,837
2019-10-23	$42.41	$42.00	14.3%	3.9%	13.2%	1.7%	13.9%	3.3%	0.0%	61.1M	96.8M	-39.1M	0.48	1.93	174,290	82,974	2,587,236	5,508,300
2019-10-24	$42.45	$42.00	14.7%	4.0%	13.1%	4.3%	13.4%	3.2%	-0.2%	104.0M	-97.8M	-39.5M	0.28	1.89	311,576	87,064	2,654,799	5,534,947
2019-10-25	$42.69	$42.00	14.3%	3.9%	12.0%	1.8%	13.9%	3.0%	0.1%	107.6M	-958.0M	-39.8M	0.69	2.02	159,754	110,865	2,854,357	5,604,636
2019-10-28	$42.97	$42.00	14.2%	4.0%	12.0%	0.5%	14.6%	3.0%	0.3%	172.3M	-1.72B	-38.1M	0.45	2.26	266,217	118,934	2,843,361	5,548,623
2019-10-29	$42.72	$42.00	14.7%	4.1%	11.9%	4.2%	14.8%	2.9%	0.4%	148.9M	-1.05B	-39.9M	1.10	2.21	123,051	134,985	2,992,261	5,595,058
2019-10-30	$42.89	$42.00	13.5%	3.7%	11.3%	0.0%	13.5%	2.9%	0.5%	208.3M	-1.64B	-39.5M	0.56	2.47	89,600	50,214	3,081,810	5,694,217
2019-10-31	$42.44	$42.00	14.6%	4.2%	11.9%	7.0%	14.5%	2.6%	0.5%	116.6M	-288.9M	-40.8M	0.72	2.34	172,467	123,521	3,217,612	5,728,234