EEM Options History — June 2020

In June 2020, EEM traded between $38.57 and $41.20. ATM implied volatility averaged 27.6%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 0.7% (HV 20d: 28.3%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.72.

Notable Days

2020-06-12: Highest Volume — 1,038,464 contracts
2020-06-11: Largest IV spike — 39.5% change
2020-06-11: Highest IV Rank — 30.2%
2020-06-11: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.08	$38.57	$41.20	$38.57	$39.97
Max Pain	$38.59	$37.00	$40.00	$39.00	$40.00
ATM IV	27.6%	23.6%	34.3%	25.8%	25.2%
Expected Move	7.9%	6.8%	9.7%	7.9%	7.0%
HV 20d	28.3%	23.2%	33.3%	23.2%	26.5%
HV 60d	38.6%	27.6%	54.1%	54.0%	27.6%
IV Rank	20.5%	14.7%	30.2%	17.9%	17.1%
IV Percentile	75.9%	68.3%	86.5%	74.2%	68.3%
Term Structure	0.1%	-0.9%	0.9%	0.9%	0.0%
VWIV	29.2%	24.4%	36.9%	26.6%	25.1%
Skew 25d	7.3%	3.5%	9.6%	6.9%	7.4%
Skew 10d	14.4%	6.6%	20.3%	12.2%	15.1%
Call IV 25d	24.9%	22.3%	31.9%	22.8%	22.3%
Put IV 25d	32.2%	26.2%	39.5%	29.7%	29.7%
Bid-Ask Spread %	3.21	2.55	4.14	3.02	2.80
Gamma HHI	0.05	0.03	0.20	0.04	0.05
Net GEX	-96.8M	-150.8M	42.8M	-148.2M	-147.4M
Net DEX	1.05B	-2.25B	3.27B	2.45B	2.06B
Net VEX	-41.8M	-43.2M	-39.5M	-40.7M	-41.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	0.26	3.51	0.90	1.41
Total Volume	256,894.409	96,705	1,038,464	191,937	219,704
Total OI	7,989,704.818	5,871,518	9,329,686	8,515,766	6,190,057

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
2020-06-01	$38.57	$39.00	25.8%	7.9%	23.2%	17.9%	26.6%	6.9%	0.9%	-148.2M	2.45B	-40.7M	0.90	3.02	100,909	91,028	3,355,469	5,160,297
2020-06-02	$39.41	$39.00	24.8%	7.5%	24.0%	16.5%	25.7%	5.5%	-0.0%	-113.7M	844.0M	-41.2M	1.09	3.40	74,790	81,751	3,426,411	5,202,926
2020-06-03	$40.45	$39.00	24.4%	7.3%	25.1%	15.9%	26.2%	5.1%	0.1%	-73.2M	-1.05B	-40.9M	0.76	3.48	181,602	138,837	3,456,904	5,206,281
2020-06-04	$39.78	$37.00	24.3%	7.1%	26.2%	15.8%	24.5%	4.7%	-0.3%	-101.0M	234.0M	-41.1M	0.84	2.55	128,858	108,798	3,484,739	5,269,380
2020-06-05	$40.88	$37.00	23.6%	6.8%	27.4%	14.7%	25.4%	3.5%	-0.4%	-58.3M	-1.89B	-40.2M	1.11	2.88	86,792	96,051	3,503,334	5,274,942
2020-06-08	$41.10	$37.00	24.4%	7.1%	26.8%	15.9%	24.4%	4.0%	0.4%	-55.2M	-2.16B	-39.5M	1.45	2.80	107,187	155,804	3,481,824	5,271,199
2020-06-09	$40.92	$38.00	24.9%	7.1%	26.9%	16.6%	29.5%	4.1%	0.1%	-68.4M	-1.76B	-39.9M	2.42	2.78	54,490	131,878	3,573,844	5,382,518
2020-06-10	$41.20	$38.00	24.6%	7.1%	26.6%	16.2%	24.9%	4.4%	0.2%	-62.6M	-2.25B	-39.9M	1.86	2.97	43,135	80,033	3,582,377	5,457,344
2020-06-11	$39.18	$38.00	34.3%	9.7%	33.1%	30.2%	33.6%	7.4%	-0.4%	-141.2M	1.89B	-42.6M	1.60	4.14	114,973	183,827	3,611,543	5,484,969
2020-06-12	$39.75	$38.00	33.6%	9.4%	33.3%	29.1%	36.9%	9.3%	-0.9%	-116.4M	1.14B	-42.8M	0.26	3.80	826,880	211,584	3,690,534	5,593,698
2020-06-15	$39.25	$38.00	33.0%	9.4%	33.3%	28.2%	34.0%	8.9%	-0.2%	-141.4M	3.27B	-41.8M	2.34	3.13	84,358	197,780	3,280,897	5,492,386
2020-06-16	$39.52	$39.00	31.8%	9.1%	30.5%	26.5%	35.5%	9.6%	0.5%	-130.0M	3.09B	-42.1M	3.02	3.81	67,088	202,587	3,242,337	5,568,419
2020-06-17	$39.89	$39.00	30.6%	8.8%	30.5%	24.9%	33.6%	9.4%	0.0%	-84.4M	2.53B	-43.0M	3.23	3.53	68,667	221,523	3,285,173	5,728,749
2020-06-18	$39.89	$39.00	29.5%	8.4%	30.4%	23.2%	33.3%	9.3%	0.2%	-62.4M	2.52B	-42.8M	3.51	3.08	95,067	334,128	3,294,516	5,787,197
2020-06-19	$39.97	$39.00	28.0%	8.0%	30.0%	21.1%	29.7%	8.5%	0.1%	42.8M	2.44B	-43.1M	1.45	2.74	116,055	167,748	3,332,368	5,997,318
2020-06-22	$40.40	$39.00	26.8%	7.6%	28.4%	19.4%	32.1%	8.3%	0.2%	-105.6M	1.56B	-42.7M	1.73	3.15	35,452	61,253	1,793,992	4,077,526
2020-06-23	$40.83	$39.00	25.4%	7.2%	27.7%	17.4%	24.9%	8.2%	0.4%	-84.0M	1.06B	-42.6M	1.64	3.27	90,933	149,346	1,834,681	4,113,846
2020-06-24	$40.32	$39.00	28.8%	8.2%	28.4%	22.3%	29.6%	9.2%	0.5%	-102.0M	1.62B	-43.2M	1.41	3.64	43,417	61,007	1,854,302	4,120,234
2020-06-25	$40.34	$39.00	27.8%	7.8%	28.3%	20.8%	27.8%	9.0%	0.2%	-102.1M	1.54B	-42.9M	0.75	2.95	71,803	53,697	1,878,192	4,148,486
2020-06-26	$39.97	$39.00	28.4%	8.1%	28.4%	21.6%	30.7%	8.9%	-0.6%	-150.8M	2.02B	-42.9M	3.03	3.39	40,723	123,273	1,934,833	4,183,173
2020-06-29	$40.09	$40.00	27.5%	7.7%	27.5%	20.3%	28.7%	9.0%	0.2%	-124.0M	1.94B	-42.5M	2.04	3.37	48,299	98,562	1,914,651	4,249,640
2020-06-30	$39.97	$40.00	25.2%	7.0%	26.5%	17.1%	25.1%	7.4%	0.0%	-147.4M	2.06B	-41.6M	1.41	2.80	91,246	128,458	1,920,539	4,269,518