EEM Options History — June 2021

In June 2021, EEM traded between $54.17 and $56.07. ATM implied volatility averaged 15.6%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.3% (HV 20d: 15.2%). Max pain ranged from $53.00 to $55.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.31.

Notable Days

2021-06-09: Highest Volume — 840,668 contracts
2021-06-17: Largest IV drop — 14.4% change
2021-06-16: Highest IV Rank — 13.5%
2021-06-03: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.18	$54.17	$56.07	$56.07	$55.14
Max Pain	$54.55	$53.00	$55.00	$53.00	$55.00
ATM IV	15.6%	14.0%	17.2%	16.1%	15.1%
Expected Move	4.5%	3.8%	5.0%	4.7%	4.1%
HV 20d	15.2%	10.5%	19.6%	19.4%	10.7%
HV 60d	16.3%	14.9%	19.5%	19.5%	14.9%
IV Rank	4.9%	0.0%	13.5%	5.8%	7.3%
IV Percentile	1.8%	0.0%	8.7%	0.8%	2.8%
Term Structure	0.4%	-0.4%	1.8%	0.4%	0.4%
VWIV	15.9%	14.1%	19.1%	16.5%	14.2%
Skew 25d	3.6%	2.9%	4.5%	3.2%	3.7%
Skew 10d	7.7%	5.5%	10.7%	6.0%	8.0%
Call IV 25d	14.5%	13.0%	16.1%	15.3%	13.9%
Put IV 25d	18.1%	16.4%	19.8%	18.5%	17.6%
Bid-Ask Spread %	17.03	1.69	50.68	37.18	1.69
Gamma HHI	0.10	0.06	0.22	0.12	0.07
Net GEX	177.3M	-109.0M	572.3M	405.2M	12.8M
Net DEX	-886.8M	-4.20B	1.86B	-4.14B	-90.0M
Net VEX	-45.1M	-46.9M	-42.2M	-43.3M	-43.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.12	2.85	0.38	1.82
Total Volume	219,658.818	29,846	840,668	260,925	177,060
Total OI	7,258,807.5	6,017,085	8,185,438	7,530,576	6,270,623

Daily Data (22 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
2021-06-01	$56.07	$53.00	16.1%	4.7%	19.4%	5.8%	16.5%	3.2%	0.4%	405.2M	-4.14B	-43.3M	0.38	37.18	188,585	72,340	2,639,066	4,891,510
2021-06-02	$56.06	$53.00	16.5%	4.8%	18.9%	7.9%	16.8%	3.3%	-0.1%	450.6M	-4.20B	-42.2M	0.60	16.39	186,653	111,766	2,692,581	4,938,318
2021-06-03	$55.40	$54.00	16.7%	5.0%	19.5%	9.1%	17.7%	3.1%	0.0%	351.3M	-2.84B	-44.3M	0.47	31.69	268,402	126,713	2,757,523	4,993,214
2021-06-04	$56.02	$54.00	15.9%	4.6%	19.6%	4.8%	16.2%	3.4%	-0.1%	572.3M	-3.75B	-45.2M	0.28	10.48	170,468	47,270	2,801,694	5,067,730
2021-06-07	$55.68	$54.00	16.4%	4.6%	19.5%	7.6%	16.1%	3.1%	-0.4%	371.5M	-2.90B	-44.8M	0.37	32.14	140,959	51,884	2,747,333	5,016,332
2021-06-08	$55.41	$54.00	15.9%	4.8%	18.5%	4.8%	15.8%	3.2%	0.6%	292.1M	-2.24B	-44.6M	0.92	7.78	133,905	123,047	2,721,855	5,053,690
2021-06-09	$55.27	$54.00	16.0%	4.8%	18.4%	5.5%	17.1%	2.9%	0.5%	269.0M	-1.78B	-44.8M	0.12	13.72	747,721	92,947	2,749,202	5,153,095
2021-06-10	$55.44	$54.00	15.4%	4.6%	15.1%	2.5%	15.5%	3.2%	0.8%	297.5M	-1.00B	-46.9M	0.76	50.68	143,791	108,689	2,597,562	5,189,352
2021-06-11	$55.23	$55.00	15.2%	4.4%	15.3%	1.0%	14.9%	3.2%	0.6%	278.0M	-460.5M	-46.5M	0.48	15.78	168,813	81,277	2,721,331	5,257,030
2021-06-14	$55.39	$55.00	15.6%	4.6%	14.4%	3.6%	15.6%	3.7%	-0.3%	307.0M	-575.9M	-46.5M	1.17	2.22	23,843	27,844	2,674,974	5,265,236
2021-06-15	$55.02	$55.00	15.6%	4.5%	14.7%	3.2%	15.6%	3.6%	0.4%	230.3M	176.7M	-45.3M	1.89	19.86	70,827	133,691	2,680,421	5,269,184
2021-06-16	$54.40	$55.00	17.2%	4.9%	14.3%	13.5%	19.1%	3.9%	1.8%	38.5M	1.12B	-46.2M	2.80	45.19	42,630	119,217	2,690,360	5,356,016
2021-06-17	$54.69	$55.00	14.8%	4.2%	14.0%	0.0%	14.9%	3.9%	1.2%	119.7M	988.2M	-46.0M	1.23	39.46	111,421	137,179	2,705,750	5,417,305
2021-06-18	$54.17	$55.00	16.4%	4.7%	14.2%	11.2%	16.8%	4.5%	0.3%	-89.0M	1.86B	-46.4M	2.85	1.91	32,528	92,614	2,666,394	5,519,044
2021-06-21	$54.40	$55.00	15.6%	4.4%	13.3%	5.5%	17.9%	4.3%	0.6%	-78.2M	921.7M	-46.7M	1.70	2.35	27,655	47,116	1,957,557	4,059,528
2021-06-22	$54.25	$55.00	15.6%	4.4%	13.0%	5.8%	15.1%	4.5%	0.4%	-109.0M	1.03B	-46.1M	1.43	2.24	70,429	100,506	1,969,057	4,107,790
2021-06-23	$54.58	$55.00	14.7%	4.1%	12.8%	0.0%	14.7%	4.0%	0.4%	-47.5M	428.9M	-45.0M	1.60	35.30	105,678	169,211	2,002,406	4,153,986
2021-06-24	$55.05	$55.00	14.3%	4.0%	12.8%	0.0%	14.1%	3.6%	0.6%	30.7M	-150.1M	-45.1M	1.39	2.42	37,979	52,868	2,042,150	4,180,276
2021-06-25	$55.41	$55.00	14.0%	3.8%	13.0%	0.0%	14.5%	3.4%	0.6%	73.8M	-673.4M	-43.6M	2.54	2.17	19,423	49,335	2,049,969	4,199,567
2021-06-28	$55.50	$55.00	14.7%	4.0%	12.9%	4.4%	15.7%	3.8%	0.4%	72.4M	-721.7M	-43.5M	1.87	1.90	10,390	19,456	2,031,139	4,203,664
2021-06-29	$55.46	$55.00	14.6%	4.0%	10.5%	4.0%	15.6%	4.1%	0.4%	52.4M	-508.0M	-44.3M	2.15	2.11	59,884	128,480	2,033,853	4,199,098
2021-06-30	$55.14	$55.00	15.1%	4.1%	10.7%	7.3%	14.2%	3.7%	0.4%	12.8M	-90.0M	-43.9M	1.82	1.69	62,790	114,270	2,055,231	4,215,392