EEM Options History — July 2021

In July 2021, EEM traded between $50.34 and $54.80. ATM implied volatility averaged 17.1%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.5% (HV 20d: 14.7%). Max pain ranged from $53.00 to $55.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.93.

Notable Days

  • 2021-07-27: Highest Volume — 424,377 contracts
  • 2021-07-27: Largest IV spike — 25.8% change
  • 2021-07-27: Highest IV Rank — 66.3%
  • 2021-07-27: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.03$50.34$54.80$54.80$51.50
Max Pain$54.05$53.00$55.00$55.00$53.00
ATM IV17.1%14.3%24.3%14.9%18.6%
Expected Move4.9%3.7%7.1%4.0%5.1%
HV 20d14.7%9.1%21.5%10.1%21.5%
HV 60d15.7%14.4%17.7%14.6%17.7%
IV Rank20.3%1.9%66.3%5.7%29.6%
IV Percentile19.4%0.4%92.5%2.4%31.0%
Term Structure0.2%-0.7%0.9%0.7%0.4%
VWIV18.4%13.1%26.0%15.0%19.1%
Skew 25d5.1%3.5%7.9%3.7%5.4%
Skew 10d11.6%8.2%18.3%8.6%12.0%
Call IV 25d15.4%12.9%21.8%13.9%16.8%
Put IV 25d20.6%16.3%29.7%17.6%22.2%
Bid-Ask Spread %19.091.8860.942.0429.45
Gamma HHI0.070.060.110.070.08
Net GEX-246.8M-365.2M-46.4M-46.4M-365.2M
Net DEX2.53B482.8M5.41B482.8M4.00B
Net VEX-45.1M-46.5M-43.3M-45.5M-45.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.604.362.892.02
Total Volume141,073.09539,084424,37755,614214,281
Total OI6,233,002.195,781,8956,702,9196,227,1686,364,066

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$54.80$55.0014.9%4.0%10.1%5.7%15.0%3.7%0.7%-46.4M482.8M-45.5M2.892.0414,28641,3282,030,2254,196,943
2021-07-02$54.70$55.0014.3%3.7%9.1%1.9%13.1%3.5%0.7%-75.4M534.9M-44.0M1.711.8832,41855,3462,029,7104,225,254
2021-07-06$53.80$55.0015.8%4.7%10.5%11.5%19.1%4.4%0.4%-198.6M1.91B-45.6M3.496.1937,268130,0822,000,6964,210,283
2021-07-07$53.76$55.0015.9%4.7%10.4%12.2%17.5%4.7%0.3%-234.3M1.85B-45.2M1.403.9628,04739,2642,017,4744,339,912
2021-07-08$52.66$54.0018.3%5.1%12.4%27.5%19.6%5.4%-0.1%-295.9M3.34B-46.2M2.844.5358,029164,5582,022,6384,347,633
2021-07-09$53.52$54.0016.4%4.6%14.0%15.6%16.7%4.2%0.5%-322.3M2.35B-46.0M0.8210.1592,93376,5842,042,7374,408,354
2021-07-12$53.59$54.0016.4%4.6%14.0%15.3%16.9%4.9%-0.5%-226.8M2.22B-45.5M1.338.3735,60547,2912,035,2514,410,614
2021-07-13$53.70$54.0016.2%4.4%14.0%14.2%17.5%5.0%-0.7%-231.9M1.95B-44.8M1.1923.3987,632104,2762,058,2654,449,495
2021-07-14$53.94$54.0015.4%4.5%14.0%9.2%17.1%4.4%0.2%-192.6M1.44B-44.9M0.9023.0440,67136,5132,131,4654,508,874
2021-07-15$54.02$54.0015.4%4.5%13.5%9.2%15.7%4.6%0.2%-154.0M1.35B-45.3M0.9819.4657,13155,8562,140,7044,511,079
2021-07-16$53.50$54.0016.1%4.8%13.7%13.9%15.9%4.6%0.6%-342.8M2.15B-43.8M0.6025.8381,66149,0252,163,2034,539,716
2021-07-19$52.51$54.0019.5%5.6%14.8%35.6%20.2%7.0%0.3%-252.4M3.14B-46.5M3.088.5830,79294,9001,622,3654,159,530
2021-07-20$52.93$54.0017.4%5.0%15.0%22.1%17.2%5.9%0.6%-258.5M2.61B-45.6M2.3832.1355,354131,5361,637,8864,221,899
2021-07-21$53.15$54.0016.5%4.7%15.1%16.0%18.1%5.8%0.9%-232.8M2.32B-45.4M4.365.519,98443,5281,676,7054,233,849
2021-07-22$53.30$54.0015.3%4.3%15.0%8.5%18.9%5.0%0.8%-228.2M2.00B-43.8M1.9928.2425,16750,0071,689,6254,240,440
2021-07-23$52.49$54.0016.3%4.6%15.3%14.9%16.5%4.8%0.3%-313.6M3.05B-43.3M0.773.9073,77056,8561,707,5134,253,353
2021-07-26$51.41$54.0019.3%5.5%16.2%34.3%21.8%6.0%-0.1%-314.4M4.24B-44.7M1.9745.7556,075110,5041,679,9644,213,870
2021-07-27$50.34$54.0024.3%7.1%17.2%66.3%26.0%7.9%-0.5%-311.4M5.41B-45.7M3.0846.25104,048320,3291,727,8944,244,326
2021-07-28$51.86$53.0019.2%5.4%21.1%33.5%22.1%5.5%-0.1%-291.5M3.57B-44.3M1.2560.9480,159100,3571,767,8394,281,216
2021-07-29$52.09$53.0018.7%5.3%21.3%30.4%21.4%5.3%0.2%-293.3M3.25B-44.7M1.5211.3215,48623,5981,848,7424,501,439
2021-07-30$51.50$53.0018.6%5.1%21.5%29.6%19.1%5.4%0.4%-365.2M4.00B-45.3M2.0229.4570,902143,3791,873,8994,490,167