EEM Options History — February 2021

In February 2021, EEM traded between $54.03 and $57.95. ATM implied volatility averaged 21.2%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.9% (HV 20d: 23.2%). Max pain ranged from $52.00 to $55.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2021-02-17: Highest Volume — 611,227 contracts
  • 2021-02-12: Largest IV drop — 14.5% change
  • 2021-02-25: Highest IV Rank — 12.9%
  • 2021-02-25: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.35$54.03$57.95$54.77$54.03
Max Pain$53.53$52.00$55.00$54.00$55.00
ATM IV21.2%18.9%26.1%23.2%25.0%
Expected Move6.1%5.5%7.7%6.5%7.4%
HV 20d23.2%21.2%25.5%25.4%22.8%
HV 60d19.2%18.6%20.3%19.9%19.8%
IV Rank7.1%3.6%12.9%10.9%11.3%
IV Percentile31.2%8.3%65.1%50.8%59.5%
Term Structure-0.1%-5.9%0.9%0.1%-0.5%
VWIV21.9%19.7%27.0%24.1%26.3%
Skew 25d4.0%2.3%6.0%5.5%6.0%
Skew 10d8.3%-2.0%16.1%11.1%16.1%
Call IV 25d19.9%17.7%24.3%21.6%23.1%
Put IV 25d23.9%20.9%30.3%27.0%29.1%
Bid-Ask Spread %6.782.2030.2125.123.60
Gamma HHI0.100.050.290.070.10
Net GEX259.7M-169.6M618.1M145.0M-169.6M
Net DEX-5.44B-9.62B1.12B-3.44B1.12B
Net VEX-55.1M-58.4M-48.8M-58.4M-57.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.242.171.071.36
Total Volume286,138.158119,900611,227272,799339,707
Total OI8,315,245.2637,656,8929,157,8257,962,9438,026,322

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$54.77$54.0023.2%6.5%25.4%10.9%24.1%5.5%0.1%145.0M-3.44B-58.4M1.0725.12131,954140,8453,049,5134,913,430
2021-02-02$55.51$54.0022.2%6.1%25.5%9.3%21.6%4.6%0.4%234.1M-4.85B-58.2M0.7630.21140,884107,6513,136,8674,975,392
2021-02-03$55.86$54.0020.6%5.5%24.6%7.0%19.7%4.1%0.3%292.4M-5.38B-57.2M1.6824.6982,960139,3053,160,5254,982,270
2021-02-04$55.65$52.0020.0%5.9%24.5%6.2%22.3%4.0%0.2%265.9M-5.14B-57.0M2.172.6764,353139,6303,217,2845,092,400
2021-02-05$56.16$52.0019.0%5.7%24.5%4.7%20.7%3.2%0.6%320.2M-5.79B-57.1M0.782.2086,07867,3813,229,8825,171,908
2021-02-08$56.28$52.0018.9%5.7%23.0%4.5%20.0%3.9%0.9%335.0M-6.47B-54.2M1.232.5253,64966,2513,180,6185,135,119
2021-02-09$56.98$52.0018.9%5.6%22.8%4.4%20.3%3.2%0.5%400.8M-7.82B-53.4M0.485.83214,018102,6003,180,8035,149,360
2021-02-10$57.06$52.0019.9%5.8%22.7%5.9%20.2%2.8%0.3%417.2M-7.85B-53.1M0.332.90164,35153,9123,170,2195,213,617
2021-02-11$57.73$52.0022.7%5.7%22.9%10.1%20.6%3.2%-5.9%464.5M-9.62B-48.8M0.652.86271,742177,8293,219,0815,250,537
2021-02-12$57.75$52.0019.4%5.6%22.8%4.4%19.9%2.7%0.4%439.1M-9.12B-52.2M0.833.11227,884188,4303,244,3385,320,286
2021-02-16$57.93$53.0020.2%5.8%21.8%5.6%20.2%2.3%0.3%460.3M-9.31B-51.6M0.244.63304,26674,0113,307,9825,434,688
2021-02-17$57.95$53.0019.4%5.6%21.3%4.4%20.3%3.2%0.6%450.2M-9.13B-52.6M0.952.44314,136297,0913,363,7565,499,639
2021-02-18$57.10$55.0020.7%5.9%21.2%6.3%21.2%3.6%-0.1%316.4M-6.80B-55.2M0.872.62141,051122,3953,442,6675,574,557
2021-02-19$57.51$55.0019.9%5.6%21.3%3.6%21.5%4.3%0.8%618.1M-7.79B-55.2M1.182.64162,211191,5313,490,4335,667,392
2021-02-22$55.91$55.0022.5%6.5%23.5%7.5%23.1%4.7%-0.1%12.8M-2.04B-56.7M0.992.47120,663119,0442,702,7344,954,158
2021-02-23$56.14$55.0022.3%6.4%23.4%7.1%23.8%4.5%-0.0%15.8M-2.40B-55.9M1.122.7663,94171,3632,752,6455,011,320
2021-02-24$55.69$55.0022.8%6.6%23.5%7.9%22.4%4.6%-0.3%-16.1M-1.61B-56.7M0.572.36182,008102,9482,775,7365,031,280
2021-02-25$54.56$55.0026.1%7.7%22.7%12.9%27.0%5.9%-0.8%-67.9M53.7M-57.2M0.963.17106,215102,3372,878,5145,082,388
2021-02-26$54.03$55.0025.0%7.4%22.8%11.3%26.3%6.0%-0.5%-169.6M1.12B-57.0M1.363.60144,100195,6072,910,0675,116,255