EEM Options History — January 2020

In January 2020, EEM traded between $41.99 and $46.26. ATM implied volatility averaged 16.2%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.7% (HV 20d: 15.5%). Max pain ranged from $44.00 to $44.73. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.99.

Notable Days

2020-01-13: Highest Volume — 930,622 contracts
2020-01-27: Largest IV spike — 17.3% change
2020-01-31: Highest IV Rank — 75.1%
2020-01-31: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.84	$41.99	$46.26	$45.73	$41.99
Max Pain	$44.66	$44.00	$44.73	$44.00	$44.73
ATM IV	16.2%	14.0%	21.5%	15.0%	21.5%
Expected Move	4.7%	4.1%	6.5%	4.4%	6.5%
HV 20d	15.5%	12.4%	20.5%	12.4%	20.2%
HV 60d	13.3%	11.9%	15.6%	12.3%	15.6%
IV Rank	26.5%	6.0%	75.1%	15.2%	75.1%
IV Percentile	40.4%	3.6%	97.2%	21.8%	97.2%
Term Structure	0.1%	-0.3%	0.7%	0.7%	-0.3%
VWIV	16.7%	14.4%	22.2%	16.0%	22.2%
Skew 25d	2.9%	1.6%	5.0%	2.0%	5.0%
Skew 10d	5.9%	3.9%	10.0%	3.9%	10.0%
Call IV 25d	15.0%	13.3%	19.4%	14.3%	19.4%
Put IV 25d	18.0%	15.1%	24.4%	16.3%	24.4%
Bid-Ask Spread %	2.09	1.54	3.91	3.69	2.44
Gamma HHI	0.08	0.04	0.20	0.08	0.05
Net GEX	375.1M	-322.9M	906.9M	556.8M	-322.9M
Net DEX	-2.48B	-8.22B	6.46B	-6.38B	6.46B
Net VEX	-42.9M	-51.4M	-36.2M	-36.2M	-51.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.32	2.28	0.39	1.32
Total Volume	474,081.238	177,859	930,622	515,702	585,343
Total OI	8,401,143.524	6,806,715	9,734,860	8,052,796	9,058,354

Daily Data (21 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
2020-01-02	$45.73	$44.00	15.0%	4.4%	12.4%	15.2%	16.0%	2.0%	0.7%	556.8M	-6.38B	-36.2M	0.39	3.69	371,902	143,800	3,172,003	4,880,793
2020-01-03	$44.98	$44.00	16.3%	4.9%	14.2%	26.4%	17.5%	2.4%	0.4%	545.3M	-4.02B	-39.6M	0.85	1.71	138,893	118,391	3,325,657	4,972,073
2020-01-06	$44.78	$44.73	15.8%	4.6%	14.4%	22.2%	15.5%	2.7%	0.1%	569.5M	-3.31B	-38.3M	0.87	2.42	95,159	82,700	3,329,963	4,996,344
2020-01-07	$44.83	$44.73	14.3%	4.4%	14.3%	9.2%	14.8%	2.6%	0.4%	648.9M	-3.47B	-37.2M	0.46	3.91	182,030	84,429	3,358,975	5,039,444
2020-01-08	$45.17	$44.73	14.8%	4.4%	14.3%	13.3%	14.6%	2.4%	0.3%	783.7M	-5.00B	-37.1M	0.69	1.95	208,614	144,114	3,455,189	5,087,909
2020-01-09	$45.34	$44.73	14.5%	4.3%	14.3%	10.6%	14.4%	2.0%	0.0%	819.8M	-5.81B	-36.7M	0.32	2.78	411,074	130,674	3,553,013	5,144,288
2020-01-10	$45.58	$44.73	14.5%	4.2%	13.7%	10.6%	14.4%	2.3%	0.1%	784.4M	-6.17B	-37.4M	0.38	1.58	417,065	157,270	3,527,780	5,223,535
2020-01-13	$46.26	$44.73	14.4%	4.3%	13.1%	9.9%	17.7%	2.5%	0.5%	694.7M	-8.22B	-36.2M	2.14	1.97	296,705	633,917	3,521,386	5,084,283
2020-01-14	$46.01	$44.73	14.6%	4.2%	13.3%	11.5%	16.4%	2.4%	0.1%	721.4M	-7.23B	-41.9M	0.87	2.31	231,948	202,776	3,635,427	5,676,952
2020-01-15	$45.62	$44.73	14.6%	4.2%	12.8%	12.0%	14.9%	2.1%	0.0%	730.2M	-5.59B	-43.1M	1.08	1.56	104,846	113,099	3,642,909	5,831,796
2020-01-16	$45.93	$44.73	14.0%	4.1%	12.6%	6.0%	14.6%	1.6%	0.1%	906.9M	-6.94B	-41.9M	1.34	1.61	182,870	245,218	3,676,675	5,902,290
2020-01-17	$46.19	$44.73	14.2%	4.1%	12.6%	7.9%	14.5%	1.9%	-0.1%	738.4M	-7.63B	-42.4M	1.06	1.54	188,681	199,972	3,633,363	6,101,497
2020-01-21	$45.09	$44.73	16.2%	4.6%	15.6%	26.3%	15.5%	2.6%	-0.1%	136.9M	-889.6M	-44.7M	0.60	1.78	346,503	208,945	2,529,057	4,277,658
2020-01-22	$45.36	$44.73	15.3%	4.4%	15.7%	18.4%	15.5%	2.7%	-0.1%	161.3M	-1.46B	-44.9M	1.73	1.61	112,077	193,876	2,608,536	4,442,530
2020-01-23	$45.07	$44.73	16.2%	4.6%	15.9%	26.1%	15.5%	3.1%	-0.2%	65.1M	-538.9M	-46.2M	0.37	1.60	510,315	187,195	2,630,802	4,535,361
2020-01-24	$44.57	$44.73	17.7%	5.1%	16.4%	40.2%	19.5%	4.1%	0.1%	24.3M	679.0M	-47.9M	2.28	1.70	123,973	282,914	2,938,868	4,641,332
2020-01-27	$43.17	$44.73	20.8%	6.1%	19.6%	68.1%	21.5%	4.5%	-0.2%	-204.7M	3.80B	-47.7M	0.97	1.77	470,702	456,721	2,877,170	4,750,428
2020-01-28	$43.45	$44.73	19.1%	5.5%	19.8%	52.9%	18.9%	4.1%	-0.1%	-164.0M	3.02B	-49.4M	0.54	1.77	363,950	196,711	3,132,213	4,995,329
2020-01-29	$43.66	$44.73	17.9%	5.0%	19.9%	41.7%	17.9%	4.0%	0.1%	-87.1M	2.36B	-50.7M	1.78	2.05	85,569	152,104	3,442,371	5,106,009
2020-01-30	$42.94	$44.73	19.1%	5.6%	20.5%	52.4%	20.0%	4.4%	0.3%	-232.7M	4.33B	-50.8M	0.84	2.08	321,938	270,723	3,464,181	5,220,271
2020-01-31	$41.99	$44.73	21.5%	6.5%	20.2%	75.1%	22.2%	5.0%	-0.3%	-322.9M	6.46B	-51.4M	1.32	2.44	251,881	333,462	3,691,218	5,367,136