EEM Options History — May 2020

In May 2020, EEM traded between $35.39 and $37.74. ATM implied volatility averaged 29.6%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.6% (HV 20d: 28.0%). Max pain ranged from $36.00 to $39.73. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.60.

Notable Days

  • 2020-05-08: Highest Volume — 567,918 contracts
  • 2020-05-18: Largest IV drop — 15.4% change
  • 2020-05-01: Highest IV Rank — 33.0%
  • 2020-05-01: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.66$35.39$37.74$35.39$37.74
Max Pain$39.00$36.00$39.73$36.00$39.00
ATM IV29.6%26.3%36.3%36.3%26.3%
Expected Move8.6%7.6%10.8%10.8%7.7%
HV 20d28.0%25.4%33.7%33.7%25.4%
HV 60d53.9%53.7%54.5%53.8%54.0%
IV Rank23.3%18.7%33.0%33.0%18.7%
IV Percentile81.3%75.0%88.9%88.9%75.0%
Term Structure-0.2%-3.5%0.8%-3.5%-0.8%
VWIV30.5%23.5%42.3%42.3%29.6%
Skew 25d9.6%6.9%13.1%13.1%6.9%
Skew 10d18.3%13.7%25.3%25.3%13.7%
Call IV 25d25.5%22.8%29.9%29.8%23.7%
Put IV 25d35.1%30.6%42.9%42.9%30.6%
Bid-Ask Spread %3.592.794.333.003.74
Gamma HHI0.050.040.120.060.04
Net GEX-180.8M-269.9M-145.5M-191.7M-167.3M
Net DEX5.54B3.86B7.27B7.27B3.86B
Net VEX-41.3M-42.6M-39.9M-41.9M-40.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.335.003.822.25
Total Volume162,104.142,935567,918216,226268,594
Total OI8,395,423.17,995,5338,804,7068,295,8638,434,105

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$35.39$36.0036.3%10.8%33.7%33.0%42.3%13.1%-3.5%-191.7M7.27B-41.9M3.823.0044,880171,3463,174,5675,121,296
2020-05-04$35.67$39.7335.3%10.1%32.7%31.6%34.4%11.8%0.1%-190.5M6.93B-41.6M1.173.7371,98184,3393,133,8125,105,587
2020-05-05$35.91$39.7332.3%9.5%27.8%27.3%32.4%11.6%0.1%-193.9M6.67B-41.6M1.253.1957,39471,6563,177,9545,144,241
2020-05-06$35.84$39.7331.5%9.4%27.4%26.1%32.0%11.2%0.5%-195.9M6.80B-41.1M0.573.0138,75122,2753,223,3765,188,002
2020-05-07$36.06$39.7330.8%9.1%27.5%25.1%27.5%10.4%0.6%-198.5M6.49B-41.3M0.474.17142,04166,0463,242,5485,196,727
2020-05-08$36.82$39.0027.3%8.4%28.3%20.0%31.1%8.8%0.8%-156.6M5.22B-42.2M1.443.94233,014334,9043,363,6665,211,471
2020-05-11$36.67$39.0028.0%8.1%28.4%21.1%30.8%8.6%0.0%-184.6M5.69B-42.0M1.694.1222,57438,1923,347,9275,276,177
2020-05-12$36.50$39.0029.1%8.4%27.5%22.7%26.3%9.2%-0.3%-186.8M5.90B-41.6M1.304.1079,036102,3803,357,5645,263,461
2020-05-13$36.27$39.0031.8%9.2%26.3%26.6%35.5%10.7%0.5%-183.9M6.20B-41.9M1.493.0573,037108,8913,421,5705,290,902
2020-05-14$36.45$39.0031.6%9.2%26.3%26.3%34.0%10.3%0.6%-184.5M5.90B-42.6M2.103.0734,59672,5803,456,0675,339,875
2020-05-15$36.01$39.0031.4%9.1%25.8%26.0%28.9%10.3%0.4%-269.9M6.55B-40.9M1.134.0284,35795,4343,469,5425,335,164
2020-05-18$37.49$39.0026.6%7.6%29.2%19.1%23.5%8.7%0.0%-160.5M4.27B-41.6M0.442.7948,65921,2173,146,3214,849,212
2020-05-19$37.27$39.0027.6%7.9%27.5%20.5%27.5%9.2%-1.2%-158.6M4.61B-41.5M1.303.5068,75689,5353,206,3114,886,379
2020-05-20$37.62$39.0026.8%7.7%26.5%19.3%24.6%8.4%-0.0%-150.0M4.03B-42.1M0.333.3668,87322,6113,259,1094,931,163
2020-05-21$37.25$39.0027.7%7.9%26.9%20.7%28.8%8.8%0.3%-145.5M4.56B-41.7M1.764.0115,56227,3733,303,1374,937,330
2020-05-22$36.40$39.0027.9%8.0%28.3%20.9%30.9%8.3%-0.0%-166.5M5.83B-39.9M1.583.1332,47851,4273,310,1244,946,625
2020-05-26$37.25$39.0028.0%8.0%28.5%21.0%30.2%8.6%-0.4%-167.9M4.55B-39.9M5.003.8932,033160,1603,258,1004,902,239
2020-05-27$37.34$39.0026.6%8.0%28.5%19.1%29.7%8.2%0.1%-179.7M4.61B-40.3M0.863.5994,91481,3293,273,7855,038,853
2020-05-28$37.22$39.0028.3%8.4%26.8%21.6%30.0%8.4%-1.0%-184.0M4.78B-40.6M2.154.3334,55274,3053,301,8495,082,324
2020-05-29$37.74$39.0026.3%7.7%25.4%18.7%29.6%6.9%-0.8%-167.3M3.86B-40.5M2.253.7482,523186,0713,321,9835,112,122