EEM Options History — May 2021

In May 2021, EEM traded between $52.09 and $54.94. ATM implied volatility averaged 18.4%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.7% (HV 20d: 16.7%). Max pain ranged from $52.00 to $55.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2021-05-18: Highest Volume — 382,796 contracts
  • 2021-05-14: Largest IV drop — 14.7% change
  • 2021-05-12: Highest IV Rank — 35.3%
  • 2021-05-12: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.64$52.09$54.94$53.91$54.94
Max Pain$53.15$52.00$55.00$55.00$53.00
ATM IV18.4%15.0%22.7%17.7%15.0%
Expected Move5.3%4.3%6.6%5.1%4.3%
HV 20d16.7%12.8%19.5%14.0%18.2%
HV 60d20.1%19.1%20.9%19.9%19.1%
IV Rank12.1%0.0%35.3%7.0%0.0%
IV Percentile16.1%0.0%64.3%5.6%0.0%
Term Structure0.1%-1.1%0.9%0.7%0.2%
VWIV19.2%14.6%24.5%17.9%14.6%
Skew 25d4.7%3.3%6.6%4.0%3.7%
Skew 10d9.2%6.4%12.9%8.5%6.4%
Call IV 25d16.8%14.1%20.7%16.5%14.1%
Put IV 25d21.5%17.7%27.3%20.6%17.7%
Bid-Ask Spread %18.953.4051.396.8211.22
Gamma HHI0.070.060.100.070.10
Net GEX-40.9M-302.9M283.9M-49.8M283.9M
Net DEX495.3M-2.14B3.23B251.6M-2.14B
Net VEX-47.9M-51.8M-43.3M-48.7M-44.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.222.200.910.85
Total Volume208,420.9550,430382,79650,430380,641
Total OI7,529,952.957,130,9808,092,8647,130,9807,489,722

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$53.91$55.0017.7%5.1%14.0%7.0%17.9%4.0%0.7%-49.8M251.6M-48.7M0.916.8226,38724,0432,453,4614,677,519
2021-05-04$53.33$55.0019.1%5.5%14.3%15.0%20.3%5.2%0.7%-114.3M1.22B-49.9M0.223.40241,73653,0932,462,4284,689,332
2021-05-05$53.61$55.0018.3%5.1%13.1%11.0%22.0%4.4%0.8%-93.8M888.5M-49.9M2.003.8274,154148,5822,460,0654,721,974
2021-05-06$54.07$52.0017.5%5.2%12.9%6.8%21.7%4.4%0.8%-57.5M137.7M-48.5M2.0345.6866,969135,6682,488,0734,786,986
2021-05-07$54.69$52.0016.3%4.8%12.8%0.0%17.7%3.3%0.6%82.5M-1.07B-47.6M1.0010.76138,216138,5702,531,1574,854,062
2021-05-10$53.80$52.0018.4%5.3%14.0%11.6%20.7%4.4%-0.1%-62.4M578.6M-49.4M1.1616.6468,21578,9262,578,9904,909,441
2021-05-11$53.49$53.0020.2%5.9%14.0%21.6%20.9%5.2%0.3%-113.8M1.10B-50.1M0.9612.29107,535103,6352,618,6104,939,789
2021-05-12$52.10$53.0022.7%6.6%16.7%35.3%24.5%6.6%0.9%-252.8M3.21B-51.8M2.1851.3966,928145,5852,632,7584,958,633
2021-05-13$52.09$53.0021.7%6.2%16.2%30.1%23.6%5.7%-0.7%-302.9M3.23B-50.0M2.2036.9650,337110,9662,672,4155,030,522
2021-05-14$52.98$53.0018.5%5.3%17.5%12.3%18.9%4.8%0.1%-185.6M1.81B-47.9M0.6524.1370,57045,9702,695,3515,070,700
2021-05-17$52.91$53.0018.9%5.4%17.5%14.5%18.0%5.1%-0.2%-198.7M1.87B-48.1M0.4413.6893,05441,2062,698,9985,048,628
2021-05-18$53.80$53.0018.5%5.3%18.5%12.3%18.4%5.1%-0.1%11.3M219.7M-48.1M0.2624.90303,11779,6792,770,3195,068,448
2021-05-19$53.35$53.0021.0%6.0%18.6%26.0%21.8%5.7%-1.1%-72.8M968.6M-49.4M0.598.8469,51541,3552,892,4635,111,058
2021-05-20$53.82$53.0018.6%5.3%18.9%12.9%19.9%4.9%0.1%76.1M1.9M-48.0M1.0916.9854,77059,8362,920,6035,145,774
2021-05-21$53.11$53.0018.7%5.4%18.8%13.3%17.5%5.3%0.1%-151.9M1.24B-47.3M0.4230.43199,52282,9272,922,9635,169,901
2021-05-24$53.62$53.0017.3%5.0%19.2%5.5%15.9%4.3%-0.2%-36.4M168.2M-46.0M0.2422.65190,68145,4832,468,4254,722,577
2021-05-25$54.12$53.0017.3%4.9%19.5%5.4%17.2%4.2%-0.1%53.1M-691.9M-45.0M0.5110.23217,436111,8302,429,1754,732,040
2021-05-26$54.53$53.0016.5%4.7%19.4%1.1%16.8%4.1%-0.4%170.3M-1.60B-43.3M0.9814.2195,02992,8942,541,3544,793,066
2021-05-27$54.59$53.0015.5%4.5%19.3%0.0%16.2%3.4%-0.5%197.9M-1.48B-44.3M0.4813.8776,35337,0062,584,2754,857,004
2021-05-28$54.94$53.0015.0%4.3%18.2%0.0%14.6%3.7%0.2%283.9M-2.14B-44.3M0.8511.22205,316175,3252,613,5324,876,190