EEM Options History — August 2020

In August 2020, EEM traded between $43.57 and $45.50. ATM implied volatility averaged 20.3%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.1% (HV 20d: 16.2%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.81.

Notable Days

2020-08-28: Highest Volume — 320,359 contracts
2020-08-31: Largest IV spike — 12.8% change
2020-08-31: Highest IV Rank — 12.4%
2020-08-07: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.48	$43.57	$45.50	$43.57	$44.64
Max Pain	$41.60	$41.00	$43.00	$43.00	$41.73
ATM IV	20.3%	19.2%	21.9%	21.6%	21.9%
Expected Move	5.8%	5.4%	6.4%	6.2%	6.3%
HV 20d	16.2%	14.2%	17.6%	17.3%	16.0%
HV 60d	22.8%	20.5%	24.5%	24.3%	20.5%
IV Rank	10.0%	8.4%	12.4%	11.9%	12.4%
IV Percentile	50.5%	46.8%	57.5%	54.8%	57.5%
Term Structure	0.3%	-0.3%	1.1%	-0.1%	0.8%
VWIV	21.8%	18.6%	26.1%	23.1%	25.1%
Skew 25d	4.9%	4.5%	5.4%	5.3%	5.4%
Skew 10d	10.2%	8.7%	12.2%	10.2%	12.1%
Call IV 25d	18.4%	17.0%	20.0%	19.6%	20.0%
Put IV 25d	23.3%	21.6%	25.4%	24.9%	25.4%
Bid-Ask Spread %	2.77	2.07	3.85	3.10	2.53
Gamma HHI	0.08	0.05	0.28	0.05	0.06
Net GEX	83.6M	10.8M	475.6M	18.8M	27.7M
Net DEX	-2.47B	-3.82B	-1.47B	-1.47B	-2.08B
Net VEX	-36.5M	-37.7M	-34.4M	-37.7M	-36.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.81	0.44	5.44	2.18	1.77
Total Volume	150,297.905	76,877	320,359	86,132	213,854
Total OI	6,780,670.762	6,353,867	7,234,117	6,353,867	7,046,235

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
2020-08-03	$43.57	$43.00	21.6%	6.2%	17.3%	11.9%	23.1%	5.3%	-0.1%	18.8M	-1.47B	-37.7M	2.18	3.10	27,071	59,061	2,233,977	4,119,890
2020-08-04	$44.06	$43.00	20.9%	5.9%	16.8%	10.9%	20.7%	4.9%	-0.2%	52.4M	-2.08B	-36.9M	2.06	3.03	34,418	70,792	2,233,878	4,153,752
2020-08-05	$44.65	$43.00	20.2%	5.7%	15.6%	9.9%	21.4%	4.5%	-0.2%	92.2M	-2.94B	-36.3M	1.04	3.85	62,535	65,298	2,251,454	4,175,832
2020-08-06	$44.70	$41.00	20.4%	5.9%	15.6%	10.2%	24.4%	4.7%	-0.1%	93.4M	-3.08B	-35.6M	0.76	2.80	43,774	33,103	2,267,590	4,197,367
2020-08-07	$43.84	$41.00	21.4%	6.4%	17.0%	11.7%	24.2%	5.0%	-0.3%	24.2M	-1.72B	-37.3M	2.36	2.92	81,781	192,674	2,319,441	4,201,214
2020-08-10	$43.90	$41.00	21.4%	6.2%	17.0%	11.6%	23.9%	5.1%	0.3%	10.8M	-1.70B	-37.6M	4.01	2.88	21,410	85,889	2,295,573	4,334,541
2020-08-11	$43.88	$41.00	21.5%	6.3%	17.0%	11.8%	26.1%	5.4%	0.5%	13.2M	-1.66B	-37.6M	5.44	2.57	23,619	128,421	2,310,972	4,356,495
2020-08-12	$44.48	$41.00	20.3%	5.8%	17.6%	10.1%	22.0%	4.7%	0.1%	63.7M	-2.49B	-37.1M	2.20	2.72	25,277	55,549	2,316,908	4,413,868
2020-08-13	$44.28	$41.00	19.8%	5.9%	16.6%	9.3%	20.6%	4.6%	1.1%	46.5M	-2.24B	-37.1M	0.44	3.00	183,326	80,902	2,327,247	4,451,502
2020-08-14	$44.17	$41.00	20.3%	6.0%	16.7%	10.0%	20.6%	4.5%	0.9%	44.2M	-2.14B	-37.5M	0.86	2.07	68,929	58,973	2,411,576	4,492,885
2020-08-17	$44.75	$41.00	19.4%	5.6%	16.5%	8.7%	19.5%	4.6%	0.6%	136.0M	-3.12B	-35.8M	1.37	2.18	54,544	74,866	2,429,038	4,482,254
2020-08-18	$44.69	$41.00	19.2%	5.5%	16.2%	8.4%	19.4%	4.5%	0.7%	103.7M	-2.84B	-36.5M	1.57	2.32	42,103	66,154	2,426,794	4,537,655
2020-08-19	$44.26	$41.73	19.9%	5.7%	16.3%	9.4%	21.9%	4.5%	-0.2%	40.3M	-2.18B	-36.8M	3.07	2.72	23,631	72,465	2,448,227	4,565,222
2020-08-20	$44.06	$41.73	20.1%	5.7%	16.1%	9.7%	20.6%	4.8%	0.7%	19.2M	-1.84B	-37.0M	1.58	2.79	109,530	172,821	2,458,150	4,615,989
2020-08-21	$44.19	$41.73	19.3%	5.5%	16.1%	8.5%	19.6%	4.5%	0.6%	28.1M	-2.22B	-36.7M	1.22	2.33	56,785	69,128	2,515,493	4,718,624
2020-08-24	$44.74	$41.73	19.9%	5.5%	15.7%	9.4%	18.6%	4.8%	0.1%	62.3M	-2.49B	-36.1M	0.76	3.13	104,181	78,993	2,283,517	4,419,787
2020-08-25	$45.23	$41.73	19.4%	5.5%	15.8%	8.8%	20.6%	5.1%	-0.1%	129.6M	-3.26B	-35.9M	0.70	3.12	49,052	34,556	2,359,984	4,469,864
2020-08-26	$45.35	$41.73	19.2%	5.4%	15.1%	8.4%	20.9%	4.9%	0.6%	142.3M	-3.48B	-35.3M	1.51	2.89	32,649	49,392	2,379,116	4,488,498
2020-08-27	$45.07	$41.73	20.6%	5.8%	14.5%	10.4%	24.9%	5.2%	0.2%	130.9M	-3.10B	-35.4M	2.32	2.68	38,664	89,727	2,391,486	4,518,044
2020-08-28	$45.50	$41.73	19.4%	5.4%	14.2%	8.8%	20.9%	5.0%	-0.2%	475.6M	-3.82B	-34.4M	0.70	2.51	188,053	132,306	2,405,704	4,568,443
2020-08-31	$44.64	$41.73	21.9%	6.3%	16.0%	12.4%	25.1%	5.4%	0.8%	27.7M	-2.08B	-36.9M	1.77	2.53	77,325	136,529	2,464,160	4,582,075