EEM Options History — December 2019

In December 2019, EEM traded between $42.25 and $45.00. ATM implied volatility averaged 14.4%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.5% (HV 20d: 11.9%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2019-12-13: Highest Volume — 3,106,973 contracts
  • 2019-12-13: Largest IV drop — 11.6% change
  • 2019-12-03: Highest IV Rank — 23.5%
  • 2019-12-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.92$42.25$45.00$42.50$44.90
Max Pain$43.35$42.00$44.00$42.00$44.00
ATM IV14.4%13.3%16.7%15.8%15.2%
Expected Move4.3%3.7%5.6%5.3%4.4%
HV 20d11.9%10.1%13.4%10.7%11.7%
HV 60d12.1%11.5%12.8%11.6%11.9%
IV Rank7.8%0.0%23.5%17.0%16.8%
IV Percentile10.5%0.0%43.7%28.6%27.8%
Term Structure0.3%-0.1%0.9%-0.1%0.5%
VWIV15.2%13.1%19.1%16.9%15.9%
Skew 25d2.1%-0.0%3.1%2.9%2.4%
Skew 10d3.5%-0.0%5.3%3.8%4.8%
Call IV 25d13.7%12.8%15.4%14.2%14.9%
Put IV 25d15.8%13.3%17.7%17.0%17.3%
Bid-Ask Spread %6.301.3787.291.591.57
Gamma HHI0.130.070.410.080.10
Net GEX601.4M01.87B138.7M566.0M
Net DEX-2.39B-7.58B1.80B929.3M-3.89B
Net VEX-37.5M-66.9M0-35.9M-39.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.132.200.761.10
Total Volume471,269.429147,3933,106,973233,576223,960
Total OI9,890,339015,359,32210,593,6638,121,245

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$42.50$42.0015.8%5.3%10.7%17.0%16.9%2.9%-0.1%138.7M929.3M-35.9M0.761.59132,713100,8634,562,9056,030,758
2019-12-03$42.25$42.0016.7%5.6%10.1%23.5%19.1%3.0%-0.1%9.3M1.80B-36.8M1.012.1189,07290,2024,633,3586,077,834
2019-12-04$42.62$42.0015.2%5.2%10.5%12.2%17.9%2.8%0.3%159.8M533.3M-36.4M0.891.85171,545151,9454,680,3576,124,872
2019-12-05$42.88$43.0014.4%4.2%10.8%6.5%15.8%2.4%0.3%263.0M-404.6M-35.9M1.611.57102,019163,7944,676,3796,153,133
2019-12-06$43.11$43.0014.4%4.2%10.6%6.7%14.2%2.4%0.1%376.5M-1.28B-35.7M0.361.45152,81255,3794,691,9836,263,578
2019-12-09$42.91$43.0014.3%4.2%10.2%5.7%14.7%2.3%0.4%226.5M-201.4M-33.7M2.202.2848,981107,9834,574,8066,241,050
2019-12-10$43.06$43.0014.4%4.2%10.1%6.4%14.7%1.8%0.4%306.7M-862.0M-33.9M1.043.5490,16194,0654,605,5616,310,390
2019-12-11$43.66$43.0014.6%4.2%10.9%8.1%14.7%1.2%0.1%715.1M-3.60B-34.2M0.431.96261,576113,5584,641,7686,377,634
2019-12-12$44.48$43.0015.1%4.4%12.2%11.6%15.5%0.5%0.4%1.13B-7.58B-33.8M0.331.92916,353304,3064,717,7896,376,906
2019-12-13$44.41$43.0013.3%3.9%12.2%0.0%15.9%-0.0%0.8%1.87B-6.59B-32.8M0.131.832,753,330353,6435,030,1016,514,575
2019-12-16$43.85$44.0013.3%3.7%13.0%0.0%14.1%1.7%0.9%479.0M-955.3M-36.8M1.6787.29140,144234,1263,833,4086,598,632
2019-12-17$44.30$0.0014.5%4.2%13.4%8.4%15.9%2.5%0.2%0000.703.36185,538130,19200
2019-12-18$44.49$44.0013.8%4.0%13.4%3.4%14.5%2.5%-0.0%1.17B-4.37B-66.9M1.011.96297,326299,7575,699,9969,659,326
2019-12-19$44.50$44.0013.5%3.9%13.2%1.5%13.9%2.1%-0.0%1.13B-2.82B-51.7M0.631.87263,580165,9124,254,4278,334,224
2019-12-20$44.59$44.0013.6%3.9%13.1%2.0%13.8%2.1%0.0%1.48B-2.86B-48.9M1.174.60276,502322,4734,149,2168,212,434
2019-12-23$44.65$44.0013.6%3.9%13.1%2.2%13.5%2.2%0.2%468.8M-3.20B-38.4M0.441.44186,10282,3252,960,9294,692,464
2019-12-24$44.49$44.0013.5%3.9%12.9%1.2%13.1%2.3%0.5%481.7M-2.91B-39.5M0.632.26118,25574,0933,095,3854,770,676
2019-12-26$44.88$44.0013.7%3.9%12.9%3.0%13.7%2.4%0.3%564.2M-4.08B-38.9M0.432.19102,91144,4823,142,0034,836,059
2019-12-27$45.00$44.0014.3%4.1%12.9%8.3%14.8%2.5%0.5%558.3M-4.40B-39.1M0.864.26150,347129,4913,136,7104,865,947
2019-12-30$44.76$44.0015.4%4.5%11.7%18.5%15.7%3.1%0.1%536.9M-3.50B-39.4M0.801.37119,33295,5103,196,0864,852,215
2019-12-31$44.90$44.0015.2%4.4%11.7%16.8%15.9%2.4%0.5%566.0M-3.89B-39.2M1.101.57106,728117,2323,188,5504,932,695