EEM Options History — July 2020

In July 2020, EEM traded between $40.50 and $44.14. ATM implied volatility averaged 23.7%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.7% (HV 20d: 23.0%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.18.

Notable Days

2020-07-06: Highest Volume — 374,749 contracts
2020-07-06: Largest IV spike — 15.1% change
2020-07-13: Highest IV Rank — 20.6%
2020-07-13: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.04	$40.50	$44.14	$40.50	$43.22
Max Pain	$41.45	$40.00	$43.00	$40.00	$43.00
ATM IV	23.7%	20.4%	27.7%	23.5%	21.5%
Expected Move	6.7%	5.8%	7.9%	6.7%	6.1%
HV 20d	23.0%	20.3%	28.8%	25.3%	21.9%
HV 60d	26.0%	23.9%	27.7%	26.0%	24.3%
IV Rank	14.9%	10.2%	20.6%	14.7%	11.8%
IV Percentile	62.6%	54.4%	73.4%	64.3%	54.4%
Term Structure	0.1%	-0.8%	1.0%	0.5%	0.4%
VWIV	23.9%	19.8%	30.1%	25.2%	21.4%
Skew 25d	5.3%	4.3%	6.9%	6.9%	4.9%
Skew 10d	10.4%	8.5%	13.8%	13.8%	10.7%
Call IV 25d	21.6%	18.9%	25.3%	20.7%	19.3%
Put IV 25d	26.9%	23.5%	31.2%	27.6%	24.2%
Bid-Ask Spread %	3.05	2.30	4.67	3.43	3.35
Gamma HHI	0.05	0.04	0.06	0.05	0.05
Net GEX	7.0M	-104.8M	71.3M	-104.8M	525.5K
Net DEX	-1.36B	-2.39B	1.37B	1.37B	-1.16B
Net VEX	-40.1M	-41.8M	-38.1M	-41.5M	-38.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.29	2.67	0.87	0.70
Total Volume	164,353.818	35,358	374,749	76,263	251,955
Total OI	6,386,794.818	5,909,678	6,836,154	6,090,501	6,480,047

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
2020-07-01	$40.50	$40.00	23.5%	6.7%	25.3%	14.7%	25.2%	6.9%	0.5%	-104.8M	1.37B	-41.5M	0.87	3.43	40,759	35,504	1,845,003	4,245,498
2020-07-02	$41.38	$40.00	22.1%	5.9%	25.5%	12.7%	22.0%	6.0%	0.4%	-51.6M	172.8M	-40.7M	1.52	3.60	49,179	74,833	1,879,169	4,259,987
2020-07-06	$43.02	$40.00	25.5%	7.2%	27.3%	17.5%	24.4%	4.9%	-0.2%	-13.0M	-1.57B	-39.5M	1.01	2.80	186,757	187,992	1,884,979	4,260,253
2020-07-07	$42.45	$40.00	26.3%	7.5%	27.9%	18.7%	25.2%	4.8%	-0.5%	-12.2M	-1.11B	-40.5M	1.46	3.15	64,652	94,544	1,999,652	4,308,214
2020-07-08	$43.43	$40.00	25.5%	7.4%	28.8%	17.5%	24.8%	4.8%	-0.3%	5.3M	-2.14B	-40.0M	2.34	3.39	54,338	126,959	2,045,367	4,387,280
2020-07-09	$43.45	$40.00	26.9%	7.9%	28.7%	19.5%	26.5%	5.1%	-0.2%	4.6M	-2.10B	-40.6M	0.46	4.67	131,359	60,840	2,070,421	4,478,369
2020-07-10	$43.17	$40.00	26.5%	7.7%	21.3%	19.0%	24.7%	4.8%	0.0%	20.9M	-1.99B	-41.5M	0.92	3.03	72,931	66,810	2,175,557	4,462,504
2020-07-13	$43.06	$40.00	27.7%	7.9%	21.1%	20.6%	27.5%	5.5%	-0.3%	13.4M	-1.66B	-41.0M	0.57	3.14	57,514	32,638	2,148,502	4,425,684
2020-07-14	$43.03	$41.00	27.5%	7.9%	20.3%	20.3%	30.1%	6.3%	0.0%	17.3M	-1.58B	-41.8M	1.69	2.74	43,095	72,963	2,215,883	4,447,912
2020-07-15	$43.17	$41.00	25.8%	7.3%	20.3%	17.9%	25.6%	5.7%	-0.2%	34.9M	-1.81B	-41.3M	1.76	2.88	128,827	227,143	2,219,199	4,513,666
2020-07-16	$42.53	$41.00	24.7%	6.9%	21.3%	16.4%	24.7%	6.1%	-0.8%	1.2M	-993.5M	-41.0M	0.83	2.30	70,967	58,931	2,247,243	4,537,659
2020-07-17	$42.68	$41.00	22.3%	6.3%	21.2%	12.9%	22.6%	5.2%	-0.7%	-23.7M	-1.21B	-40.2M	0.78	2.67	76,728	60,110	2,280,452	4,555,702
2020-07-20	$43.31	$41.00	20.4%	5.8%	21.6%	10.2%	21.0%	4.6%	1.0%	6.1M	-1.27B	-38.8M	2.06	3.20	79,119	163,310	2,005,879	3,903,799
2020-07-21	$43.80	$43.00	21.1%	6.1%	21.6%	11.2%	21.8%	4.3%	0.2%	20.2M	-1.82B	-38.8M	0.81	2.56	121,633	97,970	2,053,752	3,969,777
2020-07-22	$43.47	$43.00	22.0%	6.3%	21.9%	12.4%	24.4%	4.7%	0.1%	1.1M	-1.38B	-39.6M	0.61	2.82	188,401	114,326	2,095,042	4,028,674
2020-07-23	$43.12	$43.00	22.3%	6.4%	21.5%	12.9%	23.2%	5.0%	0.1%	10.0M	-1.05B	-40.6M	1.14	3.27	16,494	18,864	2,259,264	4,076,062
2020-07-24	$43.09	$43.00	22.7%	6.5%	21.5%	13.4%	23.6%	5.5%	0.1%	31.1M	-986.0M	-40.6M	0.99	3.19	46,963	46,295	2,268,928	4,075,485
2020-07-27	$43.78	$43.00	21.8%	6.2%	21.4%	12.2%	24.1%	5.8%	0.4%	48.9M	-1.89B	-39.7M	2.67	2.53	27,955	74,501	2,264,935	4,063,491
2020-07-28	$43.50	$43.00	22.1%	6.2%	21.8%	12.6%	19.8%	5.5%	0.2%	28.3M	-1.52B	-39.1M	0.29	2.39	49,926	14,682	2,261,879	4,079,566
2020-07-29	$44.14	$43.00	21.3%	5.9%	21.9%	11.4%	20.7%	5.1%	0.4%	71.3M	-2.39B	-38.1M	0.60	3.01	73,416	44,125	2,257,770	4,081,921
2020-07-30	$43.59	$43.00	22.1%	6.2%	22.5%	12.6%	22.9%	5.4%	0.5%	43.6M	-1.76B	-38.5M	1.81	2.90	38,893	70,583	2,288,609	4,100,451
2020-07-31	$43.22	$43.00	21.5%	6.1%	21.9%	11.8%	21.4%	4.9%	0.4%	525.5K	-1.16B	-38.9M	0.70	3.35	148,366	103,589	2,304,761	4,175,286