EEM Options History — February 2020

In February 2020, EEM traded between $40.18 and $44.80. ATM implied volatility averaged 20.8%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.8% (HV 20d: 23.6%). Max pain ranged from $43.23 to $44.73. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.31.

Notable Days

  • 2020-02-24: Highest Volume — 1,062,740 contracts
  • 2020-02-28: Largest IV spike — 36.8% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.13$40.18$44.80$42.56$40.18
Max Pain$43.76$43.23$44.73$44.73$43.23
ATM IV20.8%15.9%41.7%20.3%41.7%
Expected Move6.1%4.6%13.6%6.0%13.6%
HV 20d23.6%20.6%26.1%20.6%24.5%
HV 60d17.7%15.8%19.8%15.8%19.8%
IV Rank55.3%23.6%100.0%64.2%100.0%
IV Percentile77.7%43.3%100.0%93.7%100.0%
Term Structure-0.4%-2.1%0.3%-0.5%-2.1%
VWIV21.8%16.4%47.0%19.6%47.0%
Skew 25d4.9%3.0%14.0%4.8%14.0%
Skew 10d9.5%5.8%27.0%9.6%27.0%
Call IV 25d18.7%14.9%36.5%18.1%36.5%
Put IV 25d23.6%17.9%50.4%22.9%50.4%
Bid-Ask Spread %2.692.054.892.754.89
Gamma HHI0.050.040.070.050.04
Net GEX-7.0M-446.2M532.6M-237.0M-333.1M
Net DEX2.45B-3.13B8.79B4.55B8.79B
Net VEX-52.3M-56.8M-48.9M-52.1M-56.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.323.940.331.39
Total Volume496,846.579220,7511,062,740516,417803,645
Total OI9,560,669.2638,665,49210,160,2469,012,1299,475,622

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$42.56$44.7320.3%6.0%20.6%64.2%19.6%4.8%-0.5%-237.0M4.55B-52.1M0.332.75387,011129,4063,679,5115,332,618
2020-02-04$43.72$44.0018.9%5.6%23.1%51.5%19.0%4.1%-0.2%121.2M627.2M-54.2M0.322.40325,687105,0253,989,5555,387,142
2020-02-05$43.97$44.0018.1%5.3%23.2%44.2%18.0%3.7%-0.2%197.9M-220.9M-53.3M0.422.19177,21873,7794,061,9635,428,987
2020-02-06$44.00$43.7318.0%5.1%23.0%42.5%17.1%3.7%-0.2%206.2M-201.7M-53.5M0.492.57314,080154,8464,081,1685,469,386
2020-02-07$43.34$43.7318.3%5.3%23.4%45.5%17.8%4.3%-0.2%14.7M2.13B-53.3M2.392.51124,234297,0194,174,7555,558,177
2020-02-10$43.59$43.7317.8%5.0%23.4%40.7%17.8%3.8%-0.3%72.7M1.47B-52.7M0.752.57266,510198,9674,133,4995,655,688
2020-02-11$44.14$43.7317.3%4.8%23.2%36.0%17.1%3.4%-0.3%302.4M-573.4M-52.5M0.952.06148,618141,9294,174,6955,699,638
2020-02-12$44.80$43.7315.9%4.6%24.0%23.6%16.4%3.0%0.3%532.6M-3.13B-51.6M0.612.05222,794135,5274,163,1795,674,949
2020-02-13$44.19$43.7317.6%4.9%24.3%38.9%19.3%3.2%-0.6%298.3M-588.3M-52.5M0.752.42139,354104,9304,176,2475,721,908
2020-02-14$44.22$43.7316.7%4.7%24.1%31.1%17.8%3.0%-0.2%304.4M-589.6M-51.3M0.962.21209,156201,5254,206,3945,765,823
2020-02-18$43.92$43.7316.6%4.8%24.0%30.0%18.3%3.3%-0.0%82.0M920.4M-49.5M0.682.76131,08689,6653,995,2865,812,976
2020-02-19$44.25$43.7316.5%4.7%22.8%28.7%16.4%3.2%-0.1%246.9M-360.7M-48.9M0.612.59168,101102,5423,966,3555,873,868
2020-02-20$43.56$43.7317.5%5.0%23.2%38.5%18.4%3.4%0.2%-90.9M2.38B-48.9M0.862.42422,120363,6893,959,2295,920,595
2020-02-21$43.32$43.7318.6%5.3%23.2%47.8%20.2%3.8%0.3%-180.2M3.29B-50.3M2.432.43192,135467,6434,024,8436,135,403
2020-02-24$41.76$43.7322.9%6.8%26.1%87.6%25.3%5.9%0.1%-419.4M6.52B-51.9M3.943.86215,276847,4643,020,9815,644,511
2020-02-25$41.45$43.7325.6%7.6%23.9%100.0%27.8%6.9%-0.5%-446.2M7.09B-52.7M2.172.52136,867297,3873,086,6365,915,500
2020-02-26$41.68$43.7325.9%7.7%23.9%100.0%28.4%6.9%-1.4%-429.4M6.58B-53.1M2.733.02171,082467,7133,153,5985,991,896
2020-02-27$40.90$43.2330.5%9.4%24.4%100.0%32.7%8.5%-0.8%-376.7M7.84B-53.8M2.082.94229,133476,9223,276,4865,863,649
2020-02-28$40.18$43.2341.7%13.6%24.5%100.0%47.0%14.0%-2.1%-333.1M8.79B-56.8M1.394.89335,646467,9993,442,6156,033,007