EEM Options History — September 2020 In September 2020, EEM traded between $42.86 and $45.25. ATM implied volatility averaged 22.5%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.1% (HV 20d: 17.4%). Max pain ranged from $41.73 to $44.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.43.
Notable Days 2020-09-09 : Highest Volume — 257,380 contracts2020-09-03 : Largest IV spike — 16.5% change2020-09-03 : Highest IV Rank — 19.7%2020-09-03 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $44.13 $42.86 $45.25 $45.25 $44.07 Max Pain $43.78 $41.73 $44.00 $41.73 $44.00 ATM IV 22.5% 19.1% 27.1% 21.7% 22.6% Expected Move 6.4% 5.3% 8.0% 6.2% 6.3% HV 20d 17.4% 15.6% 18.5% 16.2% 17.2% HV 60d 18.7% 16.6% 21.0% 20.6% 16.6% IV Rank 13.2% 8.3% 19.7% 12.0% 13.3% IV Percentile 56.0% 40.5% 71.0% 56.7% 56.3% Term Structure 0.7% -0.6% 2.6% 0.9% 2.4% VWIV 23.3% 19.5% 28.4% 22.2% 23.9% Skew 25d 6.0% 5.2% 8.1% 5.7% 5.5% Skew 10d 12.1% 9.6% 17.5% 13.7% 10.5% Call IV 25d 20.2% 17.2% 24.7% 18.8% 20.3% Put IV 25d 26.1% 22.4% 32.8% 24.5% 25.8% Bid-Ask Spread % 2.67 2.05 5.67 2.70 2.43 Gamma HHI 0.07 0.05 0.12 0.07 0.05 Net GEX -9.7M -178.1M 170.2M 106.2M -69.3M Net DEX -1.03B -3.20B 1.49B -3.18B -78.4M Net VEX -36.7M -39.4M -35.0M -36.4M -36.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 0.51 3.14 1.05 0.85 Total Volume 154,713.714 69,559 257,380 69,559 176,077 Total OI 6,862,398.952 5,587,333 7,813,370 7,141,891 6,082,190
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 2020-09-01 $45.25 $41.73 21.7% 6.2% 16.2% 12.0% 22.2% 5.7% 0.9% 106.2M -3.18B -36.4M 1.05 2.70 33,863 35,696 2,519,708 4,622,183 2020-09-02 $45.22 $41.73 23.2% 6.6% 15.6% 14.2% 24.8% 5.9% -0.1% 102.7M -3.10B -36.8M 1.16 2.53 50,258 58,307 2,542,163 4,632,248 2020-09-03 $44.35 $44.00 27.1% 8.0% 17.1% 19.7% 25.4% 8.1% 0.0% 8.5M -1.66B -39.4M 0.51 3.47 144,162 73,140 2,560,076 4,667,609 2020-09-04 $44.44 $44.00 24.6% 7.4% 15.6% 16.3% 28.4% 7.9% 0.2% 19.0M -1.87B -38.3M 3.14 5.67 61,585 193,433 2,619,876 4,719,851 2020-09-08 $43.68 $44.00 26.3% 7.4% 16.8% 18.6% 25.3% 7.5% -0.6% -34.9M -666.9M -38.2M 2.48 3.65 51,969 128,814 2,579,242 4,728,255 2020-09-09 $44.19 $44.00 22.3% 6.5% 17.4% 12.8% 22.2% 5.7% 0.3% 28.5M -1.64B -36.8M 2.26 2.22 78,898 178,482 2,603,594 4,816,037 2020-09-10 $43.64 $44.00 22.3% 6.3% 17.2% 12.9% 24.5% 6.1% -0.5% -55.6M -583.9M -37.5M 1.53 2.26 54,918 83,965 2,648,215 4,940,374 2020-09-11 $43.90 $44.00 20.8% 6.1% 17.3% 10.7% 21.9% 5.8% 0.7% -74.9M -967.9M -37.0M 1.83 2.10 40,281 73,671 2,680,256 4,985,382 2020-09-14 $44.69 $44.00 20.2% 5.8% 18.5% 9.9% 22.1% 5.8% 1.0% 96.8M -2.43B -35.4M 0.61 2.05 69,842 42,578 2,616,483 4,994,508 2020-09-15 $45.06 $44.00 20.1% 5.8% 18.1% 9.7% 19.5% 5.2% 0.5% 161.2M -3.17B -35.0M 0.67 2.17 74,001 49,593 2,646,035 5,022,163 2020-09-16 $45.09 $44.00 20.7% 5.9% 18.1% 10.6% 20.1% 5.5% 0.1% 170.2M -3.20B -35.0M 1.10 2.65 73,035 80,232 2,654,739 5,035,346 2020-09-17 $44.88 $44.00 19.9% 5.7% 17.8% 9.4% 21.1% 5.5% 0.9% 124.4M -2.75B -35.8M 0.89 2.47 123,712 110,207 2,694,987 5,066,507 2020-09-18 $44.59 $44.00 19.1% 5.3% 17.9% 8.3% 20.8% 5.2% 1.7% -7.3M -2.26B -35.6M 1.91 2.15 59,255 113,174 2,685,679 5,127,691 2020-09-21 $44.06 $44.00 22.0% 6.2% 18.4% 12.5% 23.8% 5.5% 0.4% -39.1M 31.1M -36.1M 1.20 3.09 52,971 63,428 1,954,658 3,632,675 2020-09-22 $43.83 $44.00 22.1% 6.3% 17.9% 12.6% 24.3% 5.8% 0.3% -60.9M 272.1M -35.9M 1.74 2.58 74,729 129,704 1,989,361 3,667,667 2020-09-23 $43.16 $44.00 24.2% 6.9% 18.0% 15.7% 23.0% 6.3% -0.2% -113.7M 1.09B -37.5M 1.30 2.42 46,210 60,080 2,036,909 3,751,885 2020-09-24 $42.97 $44.00 23.9% 6.8% 17.9% 15.2% 24.9% 5.9% 0.3% -140.7M 1.34B -37.2M 0.91 2.73 41,970 38,012 2,057,664 3,790,035 2020-09-25 $42.86 $44.00 23.2% 6.5% 17.9% 14.2% 23.4% 5.4% 0.3% -178.1M 1.49B -37.2M 3.04 2.20 36,980 112,586 2,060,205 3,810,859 2020-09-28 $43.39 $44.00 22.7% 6.4% 18.1% 13.5% 23.3% 5.7% 2.6% -124.6M 859.7M -36.4M 0.63 2.33 107,849 68,161 2,025,405 3,855,755 2020-09-29 $43.42 $44.00 23.2% 6.5% 17.0% 14.1% 23.9% 5.6% 2.6% -121.2M 785.2M -36.7M 1.23 2.14 46,339 56,821 2,085,988 3,899,915 2020-09-30 $44.07 $44.00 22.6% 6.3% 17.2% 13.3% 23.9% 5.5% 2.4% -69.3M -78.4M -36.7M 0.85 2.43 95,298 80,779 2,152,011 3,930,179
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