EEM Options History — January 2021

In January 2021, EEM traded between $52.08 and $56.40. ATM implied volatility averaged 22.1%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.8% (HV 20d: 18.3%). Max pain ranged from $49.00 to $54.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.82.

Notable Days

  • 2021-01-13: Highest Volume — 1,494,134 contracts
  • 2021-01-27: Largest IV spike — 13.4% change
  • 2021-01-29: Highest IV Rank — 15.1%
  • 2021-01-29: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.56$52.08$56.40$52.08$53.19
Max Pain$52.21$49.00$54.00$49.00$54.00
ATM IV22.1%19.9%26.1%21.8%26.1%
Expected Move6.3%5.6%7.5%6.2%7.5%
HV 20d18.3%14.9%23.5%14.9%23.5%
HV 60d17.9%16.6%19.2%16.6%19.2%
IV Rank10.8%7.6%15.1%11.4%15.1%
IV Percentile42.4%27.4%65.1%42.5%65.1%
Term Structure0.1%-1.4%1.6%-0.2%0.1%
VWIV22.8%20.4%26.6%22.2%26.6%
Skew 25d4.3%2.5%6.7%5.9%6.7%
Skew 10d9.5%2.1%14.8%13.6%14.8%
Call IV 25d20.9%18.8%24.1%20.1%23.3%
Put IV 25d25.3%22.3%30.0%26.0%30.0%
Bid-Ask Spread %7.912.6425.697.775.85
Gamma HHI0.100.050.130.120.05
Net GEX348.5M22.3M489.7M395.8M22.3M
Net DEX-6.62B-10.29B-876.8M-5.44B-876.8M
Net VEX-47.2M-59.8M-34.1M-38.1M-59.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.322.220.441.27
Total Volume486,154.684174,2101,494,134322,885386,437
Total OI7,787,537.3167,090,6619,346,7947,187,7858,120,698

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$52.08$49.0021.8%6.2%14.9%11.4%22.2%5.9%-0.2%395.8M-5.44B-38.1M0.447.77223,67399,2122,735,1794,452,606
2021-01-05$53.20$50.0021.5%6.1%16.2%10.8%20.9%5.4%-0.0%451.8M-7.23B-37.5M0.354.29514,334180,1462,755,5864,486,828
2021-01-06$52.83$50.0021.9%6.4%16.4%11.5%23.3%5.1%0.5%414.8M-6.47B-38.9M0.3214.06362,642117,7452,855,2924,555,125
2021-01-07$53.26$51.0019.9%5.9%16.6%8.6%20.5%4.2%-1.4%489.7M-7.23B-37.4M0.7125.69141,135100,5772,938,1454,639,976
2021-01-08$54.62$51.0020.1%5.6%17.9%8.8%20.4%3.5%1.6%484.4M-9.70B-34.1M0.4614.83505,599232,3482,949,1834,696,246
2021-01-11$54.02$51.0022.5%6.4%18.3%12.3%23.8%4.2%-0.3%470.3M-8.15B-37.8M0.6716.68313,828210,9153,069,7474,805,847
2021-01-12$54.52$51.0021.7%6.1%18.0%11.2%22.4%4.0%-0.3%424.0M-8.94B-37.9M0.499.59139,79768,0193,082,5824,890,498
2021-01-13$54.67$52.0021.4%6.0%16.7%10.8%20.9%4.1%-0.5%448.1M-9.18B-37.6M1.374.72631,451862,6833,096,8744,933,552
2021-01-14$55.20$52.0020.8%5.9%16.7%9.9%21.1%4.1%-0.3%476.4M-10.29B-48.9M0.774.32224,382171,9833,498,9425,710,717
2021-01-15$54.34$52.0021.3%6.2%18.2%10.7%21.0%4.8%0.4%312.5M-8.38B-51.3M0.947.98246,212231,6593,527,0935,819,701
2021-01-19$55.19$52.0021.3%6.1%18.7%10.4%22.3%3.8%0.2%337.8M-5.79B-51.1M0.662.81332,547219,6682,863,6784,226,983
2021-01-20$56.25$53.0021.4%6.1%19.2%9.0%22.3%2.8%0.3%331.8M-7.11B-50.9M0.532.71388,441205,6412,810,3644,351,044
2021-01-21$56.40$54.0020.5%5.8%18.3%7.6%21.0%2.5%0.5%322.4M-6.82B-50.0M0.552.64203,072110,9062,757,5104,483,983
2021-01-22$55.86$54.0021.7%6.2%18.4%8.6%22.4%3.3%0.3%315.7M-5.79B-55.1M0.353.01445,626158,0902,892,1634,561,959
2021-01-25$56.15$54.0023.9%6.9%18.2%12.0%25.8%4.4%0.4%303.3M-6.31B-55.0M1.722.94112,933194,6263,036,4524,554,840
2021-01-26$55.78$54.0022.7%6.5%18.4%10.1%25.3%3.2%0.4%296.0M-5.60B-57.0M2.222.98117,096259,6703,087,7654,682,789
2021-01-27$54.32$54.0025.7%7.4%21.6%14.6%25.4%5.5%0.0%144.6M-2.98B-59.8M0.859.10189,440160,1963,159,9144,805,525
2021-01-28$54.70$54.0024.0%6.9%21.2%12.0%25.4%5.3%0.1%179.2M-3.58B-58.7M0.938.3890,32883,8823,172,7734,895,050
2021-01-29$53.19$54.0026.1%7.5%23.5%15.1%26.6%6.7%0.1%22.3M-876.8M-59.4M1.275.85169,956216,4813,206,6244,914,074