EEM Options History — November 2020

In November 2020, EEM traded between $45.15 and $49.99. ATM implied volatility averaged 20.1%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.0% (HV 20d: 19.2%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2020-11-06: Highest Volume — 563,909 contracts
  • 2020-11-04: Largest IV drop — 17.4% change
  • 2020-11-02: Highest IV Rank — 23.3%
  • 2020-11-02: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.26$45.15$49.99$45.15$48.81
Max Pain$43.34$43.00$45.00$45.00$43.73
ATM IV20.1%17.6%29.5%29.5%19.5%
Expected Move6.1%5.3%9.3%9.3%6.2%
HV 20d19.2%16.0%20.4%16.0%18.6%
HV 60d17.0%15.8%17.5%15.8%17.0%
IV Rank9.8%6.2%23.3%23.3%8.9%
IV Percentile32.4%18.7%78.2%78.2%29.0%
Term Structure0.1%-1.0%1.4%-0.5%1.2%
VWIV21.8%17.8%33.4%32.5%22.9%
Skew 25d4.4%2.8%8.6%8.6%3.7%
Skew 10d9.0%4.6%17.6%17.6%10.0%
Call IV 25d18.5%16.4%25.6%25.6%18.4%
Put IV 25d22.9%19.7%34.2%34.2%22.2%
Bid-Ask Spread %3.262.148.752.145.02
Gamma HHI0.100.050.190.050.09
Net GEX308.5M-23.4M540.7M-23.4M284.1M
Net DEX-6.00B-7.89B-995.7M-995.7M-5.21B
Net VEX-32.8M-38.9M-29.8M-38.9M-32.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.362.030.441.23
Total Volume284,680.95165,852563,909247,124246,925
Total OI7,780,432.56,923,0278,679,8496,923,0277,893,204

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$45.15$45.0029.5%9.3%16.0%23.3%32.5%8.6%-0.5%-23.4M-995.7M-38.9M0.442.14171,53075,5942,482,9154,440,112
2020-11-03$45.50$45.0027.4%8.6%16.2%20.3%33.4%8.3%-0.4%3.4M-1.39B-38.8M0.862.43108,96293,7332,482,9154,440,112
2020-11-04$46.89$45.0022.6%6.7%18.9%13.4%25.9%6.0%0.1%141.5M-3.92B-36.2M0.722.30232,489168,1192,598,6464,515,887
2020-11-05$47.70$43.0022.3%6.6%19.6%12.9%23.4%5.4%0.1%179.9M-5.35B-34.3M0.403.64253,958102,3682,629,0294,562,169
2020-11-06$48.09$43.0019.9%6.1%19.6%9.5%21.9%3.9%0.7%230.7M-6.35B-32.3M0.582.87356,101207,8082,748,8524,644,838
2020-11-09$48.42$43.0019.1%5.8%19.5%8.4%19.7%3.7%0.7%347.0M-7.14B-31.6M0.423.08223,05794,3492,955,6344,746,474
2020-11-10$47.80$43.0019.4%6.0%20.2%8.7%21.5%4.3%1.4%302.7M-5.99B-32.6M0.822.21140,694115,3513,008,2424,783,522
2020-11-11$47.93$43.0018.3%5.6%20.0%7.1%21.8%3.7%1.0%325.3M-6.27B-30.7M1.672.3282,721138,2193,006,3824,822,556
2020-11-12$47.59$43.0019.9%5.9%19.8%9.4%22.8%4.4%0.5%255.6M-5.30B-33.7M1.852.5383,696154,9623,034,7754,903,994
2020-11-13$48.31$43.0018.1%5.5%20.3%6.9%17.8%4.2%1.3%350.5M-6.72B-32.2M0.362.51162,71559,3573,053,7365,026,166
2020-11-16$48.88$43.0018.8%5.5%20.4%7.9%20.0%4.0%-0.4%409.4M-7.61B-31.9M0.742.59216,889160,2853,041,7014,959,037
2020-11-17$48.90$43.0018.7%5.4%20.2%7.7%18.8%3.9%-0.4%405.6M-7.38B-31.4M0.522.66129,36866,9623,061,7725,028,862
2020-11-18$48.77$43.0019.5%5.6%20.3%8.9%18.5%3.7%-1.0%399.5M-7.15B-33.0M0.633.43248,428157,7113,145,9665,076,030
2020-11-19$48.77$43.0019.1%5.5%20.3%8.3%19.2%3.8%-0.9%405.3M-7.30B-31.6M1.122.4585,24995,8393,295,3635,267,626
2020-11-20$49.11$43.0018.3%5.3%20.3%7.2%18.8%3.6%-0.3%503.6M-7.89B-32.6M0.392.31189,41774,2803,330,5005,349,349
2020-11-23$49.18$43.0018.6%5.5%19.4%7.5%19.9%3.1%-0.2%331.3M-6.27B-30.6M0.994.1383,22582,6272,933,6424,765,858
2020-11-24$49.84$43.0017.6%5.3%19.6%6.2%18.7%3.3%-0.3%387.3M-7.22B-30.2M2.033.6888,614179,6072,977,7334,820,055
2020-11-25$49.58$43.0017.9%5.4%17.1%6.6%20.4%2.8%-0.8%390.3M-6.93B-29.8M0.738.75188,558136,9813,044,2314,755,340
2020-11-27$49.99$43.0017.9%5.5%17.0%6.6%18.3%3.0%-0.5%540.7M-7.68B-30.9M0.594.09148,61088,2613,140,0854,835,340
2020-11-30$48.81$43.7319.5%6.2%18.6%8.9%22.9%3.7%1.2%284.1M-5.21B-32.2M1.235.02110,975135,9503,070,2834,822,921