EEM Options History — April 2021 In April 2021, EEM traded between $53.16 and $55.20. ATM implied volatility averaged 17.5%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.2% (HV 20d: 17.3%). Max pain ranged from $54.00 to $56.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.37.
Notable Days 2021-04-13 : Highest Volume — 464,058 contracts2021-04-19 : Largest IV spike — 7.5% change2021-04-20 : Highest IV Rank — 8.3%2021-04-12 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $54.11 $53.16 $55.20 $53.85 $53.90 Max Pain $54.43 $54.00 $56.00 $56.00 $55.00 ATM IV 17.5% 16.3% 18.6% 17.5% 17.6% Expected Move 5.0% 4.6% 5.4% 4.9% 5.0% HV 20d 17.3% 12.1% 24.6% 24.6% 14.1% HV 60d 21.9% 19.6% 23.1% 23.1% 19.9% IV Rank 3.2% 0.0% 8.3% 0.0% 6.5% IV Percentile 1.9% 0.0% 6.0% 0.0% 4.4% Term Structure 0.1% -0.3% 0.7% 0.6% -0.0% VWIV 18.1% 16.2% 20.1% 17.6% 18.3% Skew 25d 3.5% 2.8% 4.4% 3.2% 4.1% Skew 10d 7.5% 4.9% 12.1% 6.9% 8.7% Call IV 25d 16.3% 15.0% 17.4% 16.7% 16.4% Put IV 25d 19.8% 18.1% 21.3% 19.9% 20.5% Bid-Ask Spread % 5.09 2.78 16.18 16.18 4.21 Gamma HHI 0.07 0.05 0.09 0.06 0.07 Net GEX -55.8M -214.2M 133.2M -101.9M -64.8M Net DEX 366.0M -1.85B 2.18B 1.14B 250.2M Net VEX -46.9M -49.9M -44.1M -48.7M -49.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.24 3.76 1.19 1.39 Total Volume 179,259.286 38,087 464,058 129,681 306,017 Total OI 7,100,146.714 6,479,640 7,683,984 7,102,311 7,195,502
Daily Data (21 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 2021-04-01 $53.85 $56.00 17.5% 4.9% 24.6% 0.0% 17.6% 3.2% 0.6% -101.9M 1.14B -48.7M 1.19 16.18 59,105 70,576 2,280,743 4,821,568 2021-04-05 $54.10 $54.00 18.4% 5.2% 24.4% 2.6% 18.3% 3.6% -0.3% -72.9M 764.6M -47.0M 0.47 13.75 25,939 12,148 2,295,669 4,820,237 2021-04-06 $54.42 $54.00 17.3% 5.1% 22.1% 0.0% 17.8% 3.5% 0.0% -17.8M 220.5M -46.1M 1.55 3.06 26,919 41,822 2,315,917 4,826,931 2021-04-07 $53.50 $54.00 17.8% 5.2% 21.6% 2.4% 19.8% 3.3% -0.0% -164.8M 1.53B -45.5M 1.95 3.39 50,270 98,095 2,330,758 4,872,711 2021-04-08 $54.08 $54.00 17.4% 5.1% 21.8% 0.6% 18.2% 2.9% 0.1% -80.0M 815.4M -46.3M 1.20 3.61 72,029 86,643 2,340,975 4,921,492 2021-04-09 $53.50 $54.00 18.1% 5.3% 19.1% 3.8% 18.2% 3.3% 0.2% -77.8M 1.71B -47.2M 0.98 3.49 93,013 91,256 2,378,896 4,943,353 2021-04-12 $53.16 $54.00 18.6% 5.4% 18.1% 6.1% 19.6% 3.4% 0.1% -214.2M 2.18B -46.9M 1.86 2.93 52,962 98,522 2,390,393 4,926,802 2021-04-13 $53.49 $54.00 18.0% 5.3% 18.3% 3.4% 18.3% 3.2% 0.6% -168.8M 1.65B -45.4M 3.76 3.01 97,400 366,658 2,385,130 5,002,758 2021-04-14 $53.73 $54.00 18.1% 5.1% 18.2% 3.8% 20.1% 3.5% -0.3% -128.2M 1.57B -47.5M 2.42 2.78 37,981 92,048 2,421,697 5,152,654 2021-04-15 $54.25 $54.00 17.2% 5.0% 18.6% 0.0% 17.1% 3.0% 0.4% -38.6M 774.5M -45.4M 1.98 3.92 68,624 135,825 2,425,840 5,141,003 2021-04-16 $54.36 $54.00 16.3% 4.8% 17.2% 0.0% 16.8% 2.8% 0.7% -13.6M 421.7M -44.1M 0.56 4.48 258,665 144,597 2,458,853 5,225,131 2021-04-19 $54.09 $54.00 17.5% 5.0% 16.9% 5.4% 19.4% 3.7% 0.2% -79.9M 52.1M -47.0M 1.01 5.52 53,309 54,052 1,969,557 4,510,083 2021-04-20 $53.80 $54.00 18.2% 5.2% 17.0% 8.3% 19.4% 4.1% -0.3% -100.9M 371.4M -46.9M 0.70 4.56 44,314 31,142 2,003,046 4,536,129 2021-04-21 $54.02 $54.00 17.6% 5.1% 15.5% 5.8% 18.8% 3.7% 0.0% -84.9M 90.3M -46.7M 1.28 4.97 97,593 125,034 2,036,901 4,553,782 2021-04-22 $53.91 $55.00 17.8% 5.1% 13.3% 7.6% 18.0% 4.4% 0.2% -96.1M 334.6M -46.7M 0.24 5.09 203,687 49,302 2,103,109 4,621,518 2021-04-23 $54.64 $55.00 16.9% 4.8% 13.9% 3.1% 17.1% 3.3% 0.2% 44.4M -937.0M -48.1M 1.98 3.82 60,294 119,162 2,287,438 4,644,995 2021-04-26 $54.68 $55.00 17.2% 4.9% 12.2% 4.3% 17.2% 4.0% 0.0% 34.2M -988.2M -47.2M 0.35 4.23 33,773 11,807 2,292,635 4,602,470 2021-04-27 $54.65 $55.00 16.8% 4.8% 12.1% 2.4% 16.2% 3.6% 0.2% 35.8M -922.0M -47.1M 0.34 3.54 129,519 43,707 2,306,311 4,606,520 2021-04-28 $55.20 $55.00 16.4% 4.6% 12.4% 0.7% 16.9% 3.6% 0.1% 133.2M -1.85B -46.7M 1.91 4.77 67,646 129,456 2,422,536 4,625,324 2021-04-29 $54.89 $55.00 16.5% 4.7% 12.5% 0.8% 17.8% 3.7% 0.2% 84.8M -1.49B -47.5M 1.72 5.57 45,415 78,119 2,464,749 4,640,965 2021-04-30 $53.90 $55.00 17.6% 5.0% 14.1% 6.5% 18.3% 4.1% -0.0% -64.8M 250.2M -49.9M 1.39 4.21 128,211 177,806 2,495,238 4,700,264
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