EEM Options History — March 2020

In March 2020, EEM traded between $30.57 and $41.83. ATM implied volatility averaged 51.0%, placing in the 72.1% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 5.6% (HV 20d: 56.7%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 2.05.

Notable Days

2020-03-12: Highest Volume — 892,137 contracts
2020-03-12: Largest IV spike — 45.9% change
2020-03-09: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 23.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.56	$30.57	$41.83	$41.14	$34.09
Max Pain	$41.55	$39.00	$43.00	$43.00	$39.00
ATM IV	51.0%	25.1%	82.9%	30.2%	47.8%
Expected Move	14.8%	7.7%	23.8%	9.9%	14.0%
HV 20d	56.7%	23.0%	83.2%	25.2%	82.6%
HV 60d	37.3%	20.3%	50.8%	20.4%	50.6%
IV Rank	72.1%	41.5%	100.0%	59.4%	49.5%
IV Percentile	98.4%	95.2%	100.0%	99.2%	95.2%
Term Structure	-2.7%	-12.9%	-0.1%	-0.1%	-0.9%
VWIV	52.9%	29.3%	86.0%	36.4%	53.8%
Skew 25d	18.1%	8.5%	29.2%	9.7%	15.8%
Skew 10d	34.4%	16.7%	55.6%	19.2%	27.7%
Call IV 25d	42.0%	21.7%	68.8%	26.1%	39.6%
Put IV 25d	60.1%	30.2%	96.4%	35.8%	55.4%
Bid-Ask Spread %	8.09	2.53	32.78	2.53	3.59
Gamma HHI	0.04	0.04	0.05	0.04	0.04
Net GEX	-242.3M	-403.3M	-124.0M	-344.5M	-167.3M
Net DEX	11.19B	5.52B	15.74B	7.12B	9.02B
Net VEX	-42.9M	-55.9M	-26.1M	-55.5M	-39.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.05	0.41	6.45	1.27	4.82
Total Volume	333,889.045	140,178	892,137	533,839	247,276
Total OI	9,480,633.409	7,475,341	10,833,278	9,426,039	8,362,410

Daily Data (22 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
2020-03-02	$41.14	$43.00	30.2%	9.9%	25.2%	59.4%	36.4%	9.7%	-0.1%	-344.5M	7.12B	-55.5M	1.27	2.53	235,333	298,506	3,298,311	6,127,728
2020-03-03	$41.30	$43.00	30.2%	9.8%	24.7%	59.6%	35.5%	9.8%	-0.7%	-342.6M	6.93B	-55.9M	1.05	3.43	158,193	166,000	3,403,437	6,247,020
2020-03-04	$41.83	$43.00	25.1%	8.2%	23.0%	41.5%	29.3%	8.5%	-0.6%	-312.7M	5.52B	-55.1M	1.08	3.73	217,975	235,087	3,511,123	6,221,854
2020-03-05	$40.91	$42.50	29.1%	7.7%	23.8%	55.5%	29.7%	9.9%	-1.2%	-375.7M	7.72B	-54.8M	2.71	3.87	113,378	307,698	3,595,451	6,262,046
2020-03-06	$40.07	$43.00	33.5%	9.0%	24.5%	70.9%	34.0%	11.1%	-1.7%	-398.1M	9.48B	-55.2M	1.79	5.37	97,297	173,952	3,663,095	6,347,594
2020-03-09	$37.57	$42.50	43.5%	11.5%	32.3%	100.0%	41.6%	16.3%	-2.8%	-359.1M	12.95B	-49.0M	4.84	4.68	58,119	281,335	3,656,076	6,307,049
2020-03-10	$39.19	$42.50	37.5%	10.3%	36.6%	80.2%	38.5%	13.4%	-1.7%	-403.3M	10.93B	-53.0M	1.41	4.68	78,187	110,437	3,694,014	6,407,626
2020-03-11	$37.59	$42.50	43.8%	12.0%	38.1%	100.0%	44.5%	16.6%	-1.3%	-369.7M	13.09B	-49.7M	6.45	9.66	27,931	180,023	3,735,929	6,453,376
2020-03-12	$33.92	$42.50	63.9%	17.6%	49.8%	100.0%	58.5%	23.1%	-3.7%	-231.7M	15.18B	-40.5M	2.58	7.24	249,033	643,104	3,769,293	6,427,872
2020-03-13	$35.69	$42.00	60.6%	16.3%	54.8%	93.6%	59.0%	29.2%	-3.8%	-253.1M	13.89B	-46.7M	1.12	32.78	220,860	248,095	3,981,014	6,446,573
2020-03-16	$32.16	$42.00	77.7%	22.0%	63.8%	100.0%	74.1%	27.8%	-7.5%	-164.4M	15.08B	-37.2M	1.12	12.15	98,665	110,324	3,989,718	6,445,897
2020-03-17	$33.52	$42.00	67.1%	19.1%	67.0%	83.5%	70.7%	23.3%	-1.4%	-184.6M	14.71B	-40.5M	1.27	7.88	104,636	132,765	4,063,863	6,474,540
2020-03-18	$30.60	$42.00	82.9%	23.8%	71.8%	100.0%	86.0%	27.6%	-12.9%	-124.0M	15.17B	-33.1M	3.11	20.94	105,223	327,015	4,126,195	6,489,341
2020-03-19	$31.20	$41.50	73.9%	21.3%	73.1%	87.0%	71.1%	25.7%	-3.0%	-141.7M	15.53B	-32.3M	1.05	11.99	125,280	131,801	4,215,949	6,588,725
2020-03-20	$31.43	$41.50	65.6%	19.2%	73.5%	75.2%	67.6%	22.7%	-4.1%	-163.2M	15.74B	-31.3M	1.87	10.56	94,198	176,153	4,238,771	6,594,507
2020-03-23	$30.57	$41.50	59.4%	17.5%	73.2%	66.1%	58.3%	20.1%	-1.0%	-129.1M	11.12B	-26.1M	2.40	5.23	86,000	206,280	2,591,103	4,884,238
2020-03-24	$32.73	$41.00	52.2%	15.8%	79.1%	55.9%	55.9%	19.0%	-2.0%	-168.1M	10.49B	-32.4M	0.89	5.31	126,547	112,542	2,672,789	4,945,582
2020-03-25	$34.32	$40.00	50.1%	14.8%	81.6%	52.9%	60.8%	16.7%	-2.2%	-186.7M	9.31B	-37.9M	0.41	5.04	317,699	129,678	2,741,324	4,972,930
2020-03-26	$35.06	$39.00	47.1%	14.3%	82.3%	48.6%	44.4%	16.2%	-1.1%	-187.0M	8.48B	-42.0M	0.90	7.39	107,893	96,680	3,046,242	5,077,063
2020-03-27	$33.59	$39.00	53.8%	16.6%	83.2%	58.1%	53.3%	18.9%	-4.3%	-159.3M	9.44B	-38.7M	1.06	5.35	130,270	137,913	3,115,469	5,109,467
2020-03-30	$33.84	$39.00	47.8%	14.8%	82.5%	49.6%	61.4%	17.0%	-1.3%	-165.5M	9.30B	-38.4M	1.88	4.50	48,743	91,435	3,172,044	5,099,287
2020-03-31	$34.09	$39.00	47.8%	14.0%	82.6%	49.5%	53.8%	15.8%	-0.9%	-167.3M	9.02B	-39.6M	4.82	3.59	42,520	204,756	3,211,880	5,150,530