EEM Options History — November 2019

In November 2019, EEM traded between $42.56 and $44.08. ATM implied volatility averaged 15.7%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.7% (HV 20d: 12.0%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.84.

Notable Days

2019-11-04: Highest Volume — 917,462 contracts
2019-11-04: Largest IV spike — 7.1% change
2019-11-21: Highest IV Rank — 24.5%
2019-11-13: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.21	$42.56	$44.08	$43.22	$42.56
Max Pain	$42.00	$42.00	$42.00	$42.00	$42.00
ATM IV	15.7%	14.5%	16.9%	14.5%	15.5%
Expected Move	4.9%	4.1%	5.2%	4.1%	5.0%
HV 20d	12.0%	11.3%	13.1%	13.1%	12.6%
HV 60d	12.4%	11.4%	13.9%	13.9%	11.6%
IV Rank	15.3%	6.4%	24.5%	6.4%	14.6%
IV Percentile	26.2%	6.3%	43.3%	6.3%	25.0%
Term Structure	0.2%	-1.1%	1.5%	0.3%	-0.3%
VWIV	16.6%	13.9%	18.3%	13.9%	17.1%
Skew 25d	2.8%	2.3%	3.4%	2.3%	2.9%
Skew 10d	4.9%	3.7%	6.5%	4.9%	3.7%
Call IV 25d	14.2%	13.2%	14.9%	13.3%	13.7%
Put IV 25d	17.0%	15.5%	18.1%	15.5%	16.6%
Bid-Ask Spread %	1.87	1.32	2.85	1.47	1.32
Gamma HHI	0.10	0.07	0.14	0.14	0.07
Net GEX	341.2M	115.7M	585.0M	409.8M	115.7M
Net DEX	-2.39B	-6.47B	665.0M	-3.11B	665.0M
Net VEX	-40.1M	-42.8M	-37.1M	-39.6M	-37.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.17	1.89	0.17	0.78
Total Volume	368,447.35	66,973	917,462	859,972	250,345
Total OI	10,222,231.15	9,203,222	10,824,301	9,203,222	10,682,496

Daily Data (20 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
2019-11-01	$43.22	$42.00	14.5%	4.1%	13.1%	6.4%	13.9%	2.3%	0.3%	409.8M	-3.11B	-39.6M	0.17	1.47	734,876	125,096	3,403,008	5,800,214
2019-11-04	$43.62	$42.00	15.5%	5.1%	12.6%	13.5%	16.1%	2.6%	0.3%	456.3M	-4.38B	-39.4M	0.17	2.46	782,998	134,464	3,518,960	5,819,665
2019-11-05	$43.86	$42.00	15.2%	5.0%	12.0%	11.1%	17.0%	2.4%	0.4%	477.3M	-5.28B	-39.6M	0.22	1.93	604,501	130,922	3,698,098	5,908,907
2019-11-06	$43.74	$42.00	15.4%	5.0%	12.2%	12.5%	16.5%	2.5%	0.4%	515.8M	-5.05B	-42.0M	0.19	1.99	361,296	68,166	4,067,829	5,964,125
2019-11-07	$44.08	$42.00	14.8%	4.8%	12.1%	8.4%	16.1%	2.3%	0.4%	585.0M	-6.47B	-41.0M	0.56	1.67	220,387	123,308	4,204,333	6,005,852
2019-11-08	$43.66	$42.00	15.0%	4.9%	11.4%	9.7%	16.7%	2.4%	0.4%	558.7M	-4.85B	-42.3M	0.77	1.75	176,441	135,116	4,287,989	6,055,983
2019-11-11	$43.38	$42.00	15.6%	5.1%	11.3%	14.3%	16.5%	3.0%	1.3%	450.0M	-3.56B	-42.8M	0.66	2.23	181,448	120,063	4,360,338	6,092,920
2019-11-12	$43.06	$42.00	15.9%	5.1%	11.5%	15.9%	17.4%	2.9%	1.5%	367.7M	-2.30B	-42.2M	1.69	1.46	110,327	186,861	4,442,876	6,159,704
2019-11-13	$42.75	$42.00	16.3%	5.2%	11.9%	19.1%	17.3%	2.9%	1.5%	155.3M	-782.2M	-42.4M	1.89	1.41	104,228	196,556	4,451,596	6,223,612
2019-11-14	$42.75	$42.00	16.5%	5.1%	11.9%	20.1%	18.3%	2.8%	1.4%	167.9M	-761.2M	-42.0M	1.58	1.47	133,450	210,719	4,443,671	6,223,545
2019-11-15	$43.11	$42.00	15.8%	4.9%	12.0%	15.7%	16.4%	2.5%	1.5%	296.3M	-2.35B	-41.6M	0.72	1.40	325,741	234,452	4,501,475	6,322,826
2019-11-18	$43.03	$42.00	16.5%	4.9%	11.8%	20.0%	16.6%	3.2%	-0.6%	256.2M	-1.23B	-40.5M	1.21	2.24	57,032	68,807	4,228,886	5,782,980
2019-11-19	$43.16	$42.00	16.4%	4.8%	11.8%	19.4%	16.4%	3.0%	-0.8%	322.4M	-1.66B	-39.9M	1.10	1.95	112,061	123,388	4,245,084	5,821,969
2019-11-20	$42.93	$42.00	16.9%	4.9%	12.0%	23.1%	17.4%	3.3%	-0.8%	212.5M	-788.5M	-39.8M	0.61	2.01	104,452	63,588	4,262,265	5,849,189
2019-11-21	$42.84	$42.00	16.8%	4.9%	12.1%	24.5%	17.6%	3.4%	-0.9%	156.2M	-333.6M	-39.1M	1.76	2.22	39,860	70,325	4,289,746	5,870,322
2019-11-22	$42.86	$42.00	16.0%	4.7%	11.9%	18.5%	15.3%	3.1%	-1.1%	204.0M	-407.9M	-38.1M	0.46	2.20	111,606	51,768	4,306,402	5,893,115
2019-11-25	$43.28	$42.00	15.3%	4.7%	12.2%	13.2%	16.6%	2.6%	-0.8%	380.2M	-2.05B	-37.5M	0.20	1.79	413,385	82,136	4,250,261	5,866,995
2019-11-26	$43.08	$42.00	15.5%	4.8%	12.1%	14.4%	16.6%	2.7%	-0.3%	345.7M	-1.32B	-37.7M	1.30	1.67	153,090	198,715	4,542,116	5,916,290
2019-11-27	$43.18	$42.00	15.0%	4.7%	12.1%	11.4%	16.7%	2.5%	-0.5%	390.8M	-1.72B	-38.3M	0.76	2.85	38,109	28,864	4,635,488	6,043,493
2019-11-29	$42.56	$42.00	15.5%	5.0%	12.6%	14.6%	17.1%	2.9%	-0.3%	115.7M	665.0M	-37.1M	0.78	1.32	140,268	110,077	4,633,357	6,049,139