EEM Options History — October 2020

In October 2020, EEM traded between $44.06 and $46.28. ATM implied volatility averaged 24.0%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 9.9% (HV 20d: 14.1%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.18.

Notable Days

2020-10-28: Highest Volume — 337,824 contracts
2020-10-26: Largest IV spike — 18.1% change
2020-10-28: Highest IV Rank — 22.8%
2020-10-28: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.43	$44.06	$46.28	$44.38	$44.59
Max Pain	$44.50	$44.00	$45.00	$44.00	$45.00
ATM IV	24.0%	21.4%	29.2%	21.9%	28.6%
Expected Move	6.9%	5.9%	8.7%	5.9%	8.7%
HV 20d	14.1%	11.2%	17.4%	17.4%	15.8%
HV 60d	15.9%	15.1%	16.4%	16.0%	16.1%
IV Rank	15.3%	11.7%	22.8%	12.3%	22.0%
IV Percentile	58.7%	46.0%	77.8%	51.6%	76.2%
Term Structure	0.2%	-0.7%	3.4%	3.3%	-0.6%
VWIV	25.2%	19.8%	32.5%	19.8%	32.5%
Skew 25d	5.8%	4.0%	8.9%	5.1%	7.5%
Skew 10d	11.4%	7.6%	16.8%	9.2%	15.9%
Call IV 25d	21.6%	19.4%	25.8%	19.4%	25.5%
Put IV 25d	27.4%	24.3%	34.7%	24.5%	33.0%
Bid-Ask Spread %	2.15	1.82	2.84	2.17	2.29
Gamma HHI	0.05	0.05	0.07	0.05	0.05
Net GEX	8.7M	-110.0M	131.6M	-48.4M	-110.0M
Net DEX	-1.63B	-3.06B	94.0M	-419.5M	94.0M
Net VEX	-37.3M	-40.5M	-34.8M	-36.7M	-40.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.31	2.63	1.05	1.70
Total Volume	193,736.682	83,381	337,824	136,764	300,709
Total OI	6,430,896.545	5,816,473	7,026,095	5,816,473	7,026,095

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
2020-10-01	$44.38	$44.00	21.9%	5.9%	17.4%	12.3%	19.8%	5.1%	3.3%	-48.4M	-419.5M	-36.7M	1.05	2.17	66,807	69,957	1,932,176	3,884,297
2020-10-02	$44.06	$44.00	23.4%	6.3%	16.2%	14.5%	23.2%	5.2%	3.4%	-91.5M	-4.2M	-37.6M	0.85	2.70	119,700	101,647	1,977,584	3,940,861
2020-10-05	$44.52	$44.00	24.3%	7.3%	16.6%	15.8%	25.3%	6.2%	0.6%	-45.2M	-556.8M	-37.1M	0.31	2.59	84,802	26,337	1,938,223	3,965,780
2020-10-06	$44.64	$44.00	25.2%	7.4%	15.3%	17.1%	25.5%	5.7%	0.3%	-30.2M	-826.7M	-36.7M	0.61	1.82	83,541	50,593	2,001,310	3,967,099
2020-10-07	$45.16	$44.00	25.3%	7.4%	15.3%	17.1%	26.5%	6.0%	0.3%	18.2M	-1.50B	-36.6M	2.13	2.84	87,973	187,209	2,049,742	3,984,112
2020-10-08	$45.49	$44.00	23.8%	7.0%	14.6%	15.1%	23.1%	5.6%	0.2%	48.8M	-1.90B	-36.6M	0.79	2.08	111,341	87,662	2,094,827	4,113,317
2020-10-09	$45.84	$44.00	21.4%	6.2%	14.7%	11.7%	23.5%	4.8%	-0.1%	131.6M	-2.61B	-36.1M	0.97	2.07	65,319	63,251	2,197,086	4,168,737
2020-10-12	$46.25	$44.00	22.3%	6.3%	13.7%	12.9%	22.9%	4.0%	-0.3%	106.2M	-3.06B	-34.8M	0.61	1.93	179,133	109,481	2,166,714	4,112,107
2020-10-13	$46.09	$44.00	22.3%	6.3%	13.6%	12.8%	22.7%	4.2%	-0.1%	114.9M	-2.92B	-36.3M	2.63	1.97	47,569	125,247	2,307,231	4,193,870
2020-10-14	$45.84	$44.00	21.5%	6.1%	13.8%	11.8%	21.6%	4.4%	-0.3%	78.5M	-2.51B	-36.6M	0.62	1.85	160,374	98,934	2,329,952	4,272,984
2020-10-15	$45.41	$44.00	22.8%	6.7%	14.2%	13.6%	23.0%	4.9%	0.4%	24.0M	-1.80B	-37.0M	2.53	1.99	57,562	145,355	2,348,548	4,309,277
2020-10-16	$45.53	$45.00	22.5%	6.3%	13.9%	13.1%	23.8%	4.6%	-0.7%	-36.8M	-2.09B	-37.1M	2.30	2.10	77,291	178,101	2,396,051	4,398,483
2020-10-19	$45.41	$45.00	23.3%	6.6%	13.1%	14.4%	28.7%	5.7%	-0.4%	-39.0M	-1.28B	-37.2M	1.57	2.13	32,431	50,950	2,161,484	4,149,907
2020-10-20	$46.00	$45.00	23.4%	6.7%	13.5%	14.4%	24.9%	6.1%	-0.5%	12.2M	-2.14B	-36.4M	0.74	2.13	110,697	81,789	2,183,956	4,190,884
2020-10-21	$46.09	$45.00	23.8%	6.8%	11.7%	15.0%	27.0%	6.4%	-0.5%	33.5M	-2.37B	-36.8M	1.06	2.09	82,247	87,043	2,261,785	4,243,827
2020-10-22	$46.09	$45.00	23.3%	6.7%	11.5%	14.3%	23.4%	6.0%	-0.2%	62.3M	-2.38B	-37.1M	0.49	2.23	73,357	35,850	2,314,130	4,271,829
2020-10-23	$46.28	$45.00	21.8%	6.3%	11.2%	12.2%	22.1%	6.0%	-0.1%	62.7M	-2.69B	-36.8M	1.06	2.30	94,539	100,207	2,344,933	4,288,306
2020-10-26	$45.66	$45.00	25.8%	7.6%	12.3%	17.9%	27.1%	6.8%	-0.1%	-1.3M	-1.62B	-37.8M	0.95	1.98	79,974	76,199	2,329,418	4,269,805
2020-10-27	$45.98	$45.00	25.4%	7.5%	12.4%	17.3%	26.9%	6.5%	-0.2%	27.4M	-2.15B	-37.6M	1.47	1.97	63,292	93,043	2,371,500	4,293,876
2020-10-28	$44.89	$45.00	29.2%	8.7%	14.9%	22.8%	30.1%	8.9%	-0.5%	-79.1M	-298.2M	-40.5M	0.81	2.22	186,590	151,234	2,403,455	4,367,839
2020-10-29	$45.28	$45.00	26.9%	8.1%	15.0%	19.5%	30.1%	7.4%	-0.3%	-46.3M	-930.1M	-40.0M	0.70	1.92	104,111	72,759	2,488,147	4,468,180
2020-10-30	$44.59	$45.00	28.6%	8.7%	15.8%	22.0%	32.5%	7.5%	-0.6%	-110.0M	94.0M	-40.3M	1.70	2.29	111,475	189,234	2,549,217	4,476,878