EEM Options History — March 2021

In March 2021, EEM traded between $51.84 and $55.24. ATM implied volatility averaged 22.3%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.3% (HV 20d: 24.6%). Max pain ranged from $55.00 to $56.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.60.

Notable Days

2021-03-15: Highest Volume — 375,964 contracts
2021-03-04: Largest IV spike — 8.6% change
2021-03-04: Highest IV Rank — 12.4%
2021-03-04: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.62	$51.84	$55.24	$55.24	$53.44
Max Pain	$55.35	$55.00	$56.00	$55.00	$56.00
ATM IV	22.3%	19.7%	25.8%	22.5%	19.7%
Expected Move	6.4%	5.5%	7.4%	6.7%	5.5%
HV 20d	24.6%	18.8%	27.1%	21.7%	25.9%
HV 60d	22.3%	20.0%	23.7%	20.0%	23.4%
IV Rank	8.5%	5.9%	12.4%	7.4%	5.9%
IV Percentile	42.3%	14.3%	64.7%	45.6%	14.3%
Term Structure	0.0%	-0.6%	0.5%	0.0%	0.1%
VWIV	22.8%	20.3%	25.5%	20.4%	20.8%
Skew 25d	4.7%	3.9%	6.7%	5.0%	4.0%
Skew 10d	9.0%	-3.9%	15.2%	12.3%	8.0%
Call IV 25d	20.7%	18.4%	23.7%	20.8%	18.4%
Put IV 25d	25.4%	22.4%	30.4%	25.8%	22.4%
Bid-Ask Spread %	15.58	2.58	51.80	9.75	3.64
Gamma HHI	0.06	0.05	0.13	0.06	0.06
Net GEX	-114.5M	-223.8M	18.6M	18.6M	-142.2M
Net DEX	1.45B	-1.22B	3.56B	-1.22B	1.67B
Net VEX	-53.9M	-56.8M	-49.5M	-55.0M	-49.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.46	5.43	0.97	1.81
Total Volume	235,446.217	96,331	375,964	221,459	228,524
Total OI	7,947,730.348	6,793,844	9,010,922	7,854,395	7,187,795

Daily Data (23 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
2021-03-01	$55.24	$55.00	22.5%	6.7%	21.7%	7.4%	20.4%	5.0%	0.0%	18.6M	-1.22B	-55.0M	0.97	9.75	112,168	109,291	2,796,325	5,058,070
2021-03-02	$54.72	$55.00	23.1%	6.9%	19.5%	8.3%	23.2%	4.5%	0.1%	-15.5M	-353.8M	-54.7M	0.95	5.41	49,337	46,994	2,878,023	5,106,486
2021-03-03	$54.59	$55.00	23.7%	7.0%	18.8%	9.3%	24.2%	4.9%	-0.2%	-20.0M	-89.6M	-55.3M	0.68	2.58	108,825	73,641	2,899,492	5,143,791
2021-03-04	$53.33	$55.00	25.8%	7.4%	20.2%	12.4%	25.5%	6.7%	-0.4%	-105.4M	2.00B	-56.8M	1.38	34.70	130,676	180,845	2,924,235	5,194,931
2021-03-05	$53.85	$55.00	24.0%	6.8%	20.7%	9.7%	22.7%	5.8%	-0.2%	-141.5M	1.54B	-56.0M	1.43	29.04	102,453	146,297	2,970,974	5,320,468
2021-03-08	$52.36	$55.00	25.4%	7.4%	22.3%	11.9%	24.8%	6.1%	0.5%	-206.1M	3.56B	-54.9M	1.54	8.60	84,196	130,021	2,959,285	5,297,354
2021-03-09	$53.57	$55.00	23.3%	6.6%	24.1%	8.7%	23.8%	5.3%	-0.3%	-144.1M	1.74B	-53.4M	1.41	6.61	67,875	95,562	2,980,358	5,360,931
2021-03-10	$53.30	$55.00	22.6%	6.6%	23.5%	7.6%	24.7%	4.6%	0.4%	-203.3M	2.30B	-53.9M	2.91	3.63	43,325	126,047	3,010,672	5,429,614
2021-03-11	$54.95	$55.00	21.7%	6.3%	26.3%	6.2%	21.8%	4.1%	0.2%	12.2M	-492.0M	-54.2M	0.46	2.99	225,648	102,827	3,032,330	5,489,583
2021-03-12	$53.94	$55.00	22.9%	6.5%	26.5%	8.1%	24.9%	5.1%	-0.0%	-62.4M	1.08B	-54.7M	1.39	51.80	72,782	100,803	3,191,866	5,539,581
2021-03-15	$54.08	$55.00	22.5%	6.5%	26.5%	7.4%	24.4%	4.2%	0.4%	-63.2M	848.4M	-53.5M	5.43	34.21	58,505	317,459	3,188,124	5,446,689
2021-03-16	$54.36	$55.00	21.5%	6.2%	26.6%	5.9%	21.0%	4.3%	-0.6%	-44.2M	490.4M	-54.4M	1.60	7.32	93,726	150,048	3,216,124	5,593,674
2021-03-17	$54.48	$55.00	21.8%	6.2%	26.6%	6.3%	20.6%	4.3%	-0.3%	-6.4M	370.7M	-54.0M	0.85	7.36	139,101	118,077	3,240,265	5,540,125
2021-03-18	$53.44	$55.00	22.7%	6.5%	26.9%	7.8%	23.3%	4.2%	-0.1%	-141.9M	2.07B	-53.8M	1.57	4.86	112,602	176,516	3,291,054	5,575,049
2021-03-19	$54.00	$55.00	21.2%	6.0%	27.1%	6.3%	20.3%	4.4%	0.2%	-214.6M	1.22B	-53.0M	1.27	13.26	152,244	194,027	3,327,004	5,683,918
2021-03-22	$53.94	$56.00	20.5%	5.8%	25.5%	6.0%	21.7%	3.9%	0.3%	-55.3M	823.2M	-54.1M	0.93	35.40	65,727	61,381	2,296,718	4,497,126
2021-03-23	$52.91	$56.00	20.7%	5.9%	26.1%	7.3%	22.5%	4.2%	0.3%	-146.7M	2.11B	-52.9M	1.48	28.65	96,539	142,926	2,321,509	4,554,544
2021-03-24	$51.84	$56.00	21.8%	6.3%	26.8%	11.6%	21.6%	4.7%	0.2%	-217.1M	3.45B	-54.2M	0.85	10.14	158,472	134,360	2,329,638	4,650,794
2021-03-25	$51.95	$56.00	22.1%	6.3%	26.1%	12.3%	21.6%	4.5%	0.5%	-223.8M	3.51B	-54.0M	1.25	5.85	103,422	128,926	2,362,613	4,729,707
2021-03-26	$53.03	$56.00	21.0%	5.9%	27.1%	9.2%	21.3%	4.2%	0.2%	-166.9M	2.23B	-53.2M	0.81	29.02	139,572	112,908	2,368,549	4,771,581
2021-03-29	$52.84	$56.00	21.2%	6.2%	25.7%	9.8%	24.1%	4.4%	-0.6%	-184.6M	2.49B	-52.7M	1.83	17.40	59,041	108,232	2,199,411	4,784,742
2021-03-30	$53.12	$56.00	21.6%	6.2%	25.7%	11.1%	25.0%	4.6%	0.1%	-158.5M	2.08B	-50.9M	4.08	6.20	49,864	203,451	2,245,036	4,811,640
2021-03-31	$53.44	$56.00	19.7%	5.5%	25.9%	5.9%	20.8%	4.0%	0.1%	-142.2M	1.67B	-49.5M	1.81	3.64	81,195	147,329	2,272,517	4,915,278