EEM Options History — April 2020

In April 2020, EEM traded between $32.70 and $37.48. ATM implied volatility averaged 36.7%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 20.3% (HV 20d: 57.0%). Max pain ranged from $36.00 to $42.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.01.

Notable Days

2020-04-15: Highest Volume — 615,484 contracts
2020-04-30: Largest IV spike — 15.7% change
2020-04-01: Highest IV Rank — 56.9%
2020-04-01: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.41	$32.70	$37.48	$32.70	$36.50
Max Pain	$38.43	$36.00	$42.00	$39.00	$36.00
ATM IV	36.7%	27.4%	52.9%	52.9%	31.7%
Expected Move	10.6%	8.0%	16.4%	16.4%	9.4%
HV 20d	57.0%	32.7%	84.2%	82.9%	32.7%
HV 60d	53.0%	51.2%	53.6%	51.2%	53.5%
IV Rank	33.6%	20.2%	56.9%	56.9%	26.4%
IV Percentile	89.6%	83.3%	96.4%	96.4%	85.7%
Term Structure	-0.4%	-2.1%	1.9%	-1.7%	0.5%
VWIV	38.7%	31.2%	62.5%	62.5%	32.1%
Skew 25d	11.6%	8.4%	17.4%	17.4%	12.7%
Skew 10d	23.2%	17.4%	33.9%	33.9%	20.4%
Call IV 25d	31.7%	24.0%	45.1%	45.1%	27.3%
Put IV 25d	43.3%	32.4%	62.5%	62.5%	40.0%
Bid-Ask Spread %	3.13	2.05	5.04	5.04	3.58
Gamma HHI	0.04	0.04	0.05	0.04	0.04
Net GEX	-179.0M	-209.7M	-153.8M	-153.8M	-176.7M
Net DEX	7.17B	4.49B	9.86B	9.86B	5.75B
Net VEX	-42.0M	-43.9M	-37.2M	-37.5M	-43.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.01	0.88	4.73	4.73	2.52
Total Volume	154,472.143	66,874	615,484	119,671	149,445
Total OI	8,391,578.667	7,697,675	9,165,279	8,423,387	8,211,349

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
2020-04-01	$32.70	$39.00	52.9%	16.4%	82.9%	56.9%	62.5%	17.4%	-1.7%	-153.8M	9.86B	-37.5M	4.73	5.04	20,894	98,777	3,149,323	5,274,064
2020-04-02	$33.73	$42.00	48.1%	12.9%	84.2%	49.9%	46.2%	15.5%	-0.7%	-168.6M	9.15B	-40.3M	2.66	3.87	21,607	57,532	3,162,144	5,305,150
2020-04-03	$33.06	$42.00	44.3%	12.3%	84.2%	44.5%	45.8%	14.4%	-0.9%	-181.4M	9.77B	-37.2M	0.88	3.18	132,975	116,800	3,174,899	5,338,798
2020-04-06	$34.75	$42.00	39.1%	10.6%	84.1%	37.1%	37.8%	11.8%	-2.0%	-183.3M	8.26B	-41.3M	1.93	2.21	72,218	139,631	3,164,001	5,376,163
2020-04-07	$35.26	$42.00	38.3%	11.3%	82.6%	35.8%	38.5%	12.2%	1.4%	-184.1M	7.67B	-43.4M	1.25	3.57	70,088	87,712	3,205,350	5,411,833
2020-04-08	$35.42	$41.00	36.9%	10.8%	81.6%	33.9%	37.3%	11.5%	0.7%	-189.4M	7.59B	-43.1M	1.56	3.24	30,713	47,967	3,254,290	5,467,573
2020-04-09	$35.44	$40.00	36.2%	10.8%	72.6%	32.8%	39.4%	13.0%	1.9%	-198.8M	7.53B	-43.0M	2.01	2.94	50,820	102,059	3,276,179	5,494,930
2020-04-13	$35.40	$40.00	36.8%	10.6%	70.2%	33.8%	36.1%	11.2%	-1.4%	-183.0M	7.59B	-41.3M	1.63	2.38	27,421	44,695	3,288,310	5,471,316
2020-04-14	$36.16	$40.00	33.8%	9.7%	58.9%	29.4%	38.2%	9.7%	-0.3%	-193.1M	6.78B	-42.3M	2.07	2.49	33,364	69,156	3,304,930	5,486,627
2020-04-15	$35.35	$40.00	36.8%	10.5%	58.1%	33.7%	36.7%	10.5%	-2.1%	-181.3M	7.58B	-40.5M	1.33	3.54	264,499	350,985	3,315,816	5,500,739
2020-04-16	$35.47	$38.00	36.8%	10.6%	46.4%	33.8%	38.0%	11.0%	-1.5%	-168.3M	7.03B	-42.2M	1.71	2.60	51,103	87,522	3,459,486	5,564,582
2020-04-17	$36.19	$37.00	32.5%	9.3%	46.4%	27.5%	37.1%	9.3%	0.3%	-159.3M	6.12B	-43.5M	2.11	2.05	55,588	117,361	3,522,599	5,642,680
2020-04-20	$35.82	$36.00	35.1%	10.1%	46.8%	31.2%	35.0%	11.1%	-1.1%	-175.6M	6.53B	-42.4M	0.93	2.87	63,822	59,351	2,874,821	4,822,854
2020-04-21	$34.92	$36.00	39.0%	11.3%	46.6%	36.9%	40.3%	11.8%	-1.3%	-168.3M	7.34B	-41.5M	1.67	3.26	46,455	77,454	2,929,636	4,853,804
2020-04-22	$35.76	$36.00	34.5%	10.0%	41.2%	30.5%	37.8%	10.2%	0.3%	-175.5M	6.53B	-43.2M	2.23	3.30	40,216	89,585	2,952,831	4,898,673
2020-04-23	$35.74	$36.00	36.0%	10.4%	37.9%	32.6%	39.1%	11.2%	-1.0%	-173.8M	6.54B	-43.8M	1.68	3.04	24,917	41,957	3,000,641	4,959,520
2020-04-24	$35.60	$36.00	34.1%	9.5%	37.3%	29.8%	35.3%	11.0%	-0.7%	-209.7M	6.77B	-42.8M	1.95	3.09	37,663	73,313	3,018,382	4,986,650
2020-04-27	$36.35	$36.00	29.8%	8.5%	34.1%	23.7%	36.5%	9.7%	0.8%	-180.4M	5.97B	-42.8M	3.72	3.11	20,389	75,791	3,018,611	4,953,900
2020-04-28	$36.48	$36.00	30.3%	8.8%	34.1%	24.4%	31.2%	9.3%	0.1%	-185.1M	5.79B	-42.8M	2.08	2.98	50,287	104,842	3,031,490	4,989,060
2020-04-29	$37.48	$36.00	27.4%	8.0%	35.0%	20.2%	31.5%	8.4%	0.6%	-168.6M	4.49B	-43.9M	1.57	3.39	53,367	83,574	3,101,546	5,007,602
2020-04-30	$36.50	$36.00	31.7%	9.4%	32.7%	26.4%	32.1%	12.7%	0.5%	-176.7M	5.75B	-43.5M	2.52	3.58	42,420	107,025	3,157,609	5,053,740