EEM Options History — December 2020

In December 2020, EEM traded between $49.64 and $51.77. ATM implied volatility averaged 19.8%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.4% (HV 20d: 16.3%). Max pain ranged from $43.73 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.82.

Notable Days

2020-12-11: Highest Volume — 2,686,042 contracts
2020-12-08: Largest IV drop — 7.7% change
2020-12-07: Highest IV Rank — 10.9%
2020-12-01: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.58	$49.64	$51.77	$49.64	$51.52
Max Pain	$47.21	$43.73	$50.00	$43.73	$50.00
ATM IV	19.8%	18.4%	21.0%	19.5%	19.6%
Expected Move	5.8%	5.2%	6.3%	6.3%	5.6%
HV 20d	16.3%	14.6%	18.9%	18.9%	14.8%
HV 60d	16.5%	16.2%	17.3%	17.3%	16.6%
IV Rank	9.0%	6.4%	10.9%	8.9%	8.1%
IV Percentile	27.6%	13.9%	37.3%	29.4%	24.2%
Term Structure	0.5%	-0.2%	1.7%	1.7%	0.6%
VWIV	20.6%	19.1%	23.8%	21.9%	20.0%
Skew 25d	4.2%	2.1%	5.6%	3.9%	5.1%
Skew 10d	9.3%	4.0%	12.9%	7.0%	12.1%
Call IV 25d	18.6%	17.1%	20.7%	19.1%	18.0%
Put IV 25d	22.8%	21.5%	24.9%	22.9%	23.2%
Bid-Ask Spread %	6.29	3.98	10.80	4.23	4.35
Gamma HHI	0.12	0.08	0.22	0.11	0.12
Net GEX	383.9M	155.2M	560.3M	357.8M	346.6M
Net DEX	-5.07B	-8.88B	-1.88B	-6.50B	-4.67B
Net VEX	-37.6M	-41.8M	-32.8M	-33.0M	-39.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.05	3.39	0.50	0.83
Total Volume	393,329.182	85,195	2,686,042	145,647	274,191
Total OI	8,089,464.5	6,937,394	9,061,984	8,040,428	7,168,099

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
2020-12-01	$49.64	$43.73	19.5%	6.3%	18.9%	8.9%	21.9%	3.9%	1.7%	357.8M	-6.50B	-33.0M	0.50	4.23	96,878	48,769	3,141,484	4,898,944
2020-12-02	$49.83	$43.73	19.6%	6.1%	18.9%	9.1%	23.8%	3.2%	1.5%	391.1M	-6.85B	-32.8M	0.83	3.98	143,916	119,497	3,172,028	4,922,526
2020-12-03	$50.30	$44.00	20.7%	6.2%	16.4%	10.6%	21.6%	2.1%	1.5%	446.6M	-7.48B	-33.7M	0.49	7.16	518,780	253,853	3,307,277	5,010,600
2020-12-04	$50.83	$44.23	20.5%	6.2%	15.9%	10.4%	21.4%	2.3%	1.7%	472.6M	-8.62B	-34.4M	0.49	7.56	370,029	180,212	3,498,608	5,090,417
2020-12-07	$50.69	$44.23	20.9%	6.1%	15.9%	10.9%	21.6%	2.8%	0.2%	477.5M	-8.15B	-35.7M	0.28	5.29	227,768	62,693	3,697,764	5,150,904
2020-12-08	$50.82	$44.23	19.3%	5.7%	15.8%	8.6%	20.0%	2.6%	0.5%	499.8M	-8.30B	-34.8M	0.53	9.83	116,710	62,380	3,745,604	5,203,452
2020-12-09	$50.40	$44.23	20.1%	5.8%	15.3%	9.8%	20.2%	3.0%	0.5%	448.6M	-7.54B	-34.0M	1.16	10.80	133,836	155,308	3,753,987	5,239,819
2020-12-10	$51.12	$44.23	19.4%	5.5%	15.8%	8.7%	21.0%	2.5%	-0.0%	524.5M	-8.88B	-34.2M	1.35	4.71	120,070	161,507	3,763,349	5,298,635
2020-12-11	$50.75	$44.23	19.9%	5.7%	15.8%	9.5%	20.3%	3.6%	-0.2%	478.8M	-7.49B	-34.1M	0.05	8.40	2,557,469	128,573	3,648,856	5,405,390
2020-12-14	$50.01	$48.00	20.7%	5.9%	16.4%	10.6%	19.8%	4.8%	-0.2%	284.1M	-2.15B	-37.4M	0.63	5.18	303,209	191,580	2,931,825	5,467,219
2020-12-15	$50.44	$48.00	20.0%	5.8%	16.2%	9.6%	19.6%	4.5%	0.5%	363.3M	-2.74B	-38.2M	0.52	5.22	421,039	216,973	2,880,881	5,562,761
2020-12-16	$50.75	$48.00	19.3%	5.5%	16.3%	8.4%	20.0%	4.5%	0.4%	462.4M	-3.59B	-39.7M	0.86	4.27	130,700	112,661	3,045,794	5,725,243
2020-12-17	$51.02	$48.73	18.4%	5.3%	16.2%	7.2%	19.6%	4.5%	0.4%	560.3M	-4.11B	-40.5M	0.78	6.27	170,946	132,587	3,110,096	5,777,422
2020-12-18	$50.84	$49.00	18.7%	5.4%	16.3%	7.5%	19.8%	4.6%	-0.2%	527.4M	-3.77B	-39.7M	0.82	4.58	190,749	156,219	3,142,861	5,887,111
2020-12-21	$50.31	$50.00	19.9%	5.8%	16.8%	9.3%	19.9%	5.3%	0.4%	210.8M	-2.57B	-41.8M	0.26	9.30	73,755	19,480	2,599,223	4,338,171
2020-12-22	$49.85	$50.00	21.0%	6.2%	17.2%	10.9%	23.2%	5.5%	0.3%	155.2M	-1.88B	-41.8M	1.35	7.76	52,758	71,152	2,637,587	4,352,058
2020-12-23	$50.42	$50.00	19.8%	5.6%	17.0%	9.0%	20.1%	5.3%	0.6%	237.2M	-2.81B	-41.6M	1.01	4.33	66,451	67,157	2,660,396	4,393,496
2020-12-24	$50.16	$50.00	20.0%	5.6%	17.0%	9.1%	19.7%	5.2%	0.4%	188.7M	-2.24B	-41.8M	0.60	4.61	81,613	48,800	2,679,095	4,437,607
2020-12-28	$50.27	$50.00	19.7%	5.7%	16.8%	8.3%	20.6%	5.3%	0.4%	227.9M	-2.57B	-39.8M	3.39	9.02	19,387	65,808	2,668,518	4,388,855
2020-12-29	$51.01	$50.00	19.4%	5.4%	14.9%	7.9%	20.0%	5.6%	0.4%	341.7M	-3.84B	-39.1M	0.69	6.70	80,976	56,195	2,669,612	4,382,201
2020-12-30	$51.77	$50.00	18.4%	5.2%	14.6%	6.4%	19.1%	5.3%	0.6%	442.3M	-4.91B	-39.6M	0.64	4.82	116,544	74,064	2,695,408	4,417,036
2020-12-31	$51.52	$50.00	19.6%	5.6%	14.8%	8.1%	20.0%	5.1%	0.6%	346.6M	-4.67B	-39.5M	0.83	4.35	150,091	124,100	2,703,046	4,465,053