EEM Options History — September 2021

In September 2021, EEM traded between $49.91 and $53.45. ATM implied volatility averaged 19.4%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.7% (HV 20d: 17.6%). Max pain ranged from $51.00 to $52.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.74.

Notable Days

2021-09-08: Highest Volume — 593,484 contracts
2021-09-20: Largest IV spike — 27.8% change
2021-09-20: Highest IV Rank — 67.2%
2021-09-20: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.71	$49.91	$53.45	$53.09	$50.43
Max Pain	$51.74	$51.00	$52.50	$52.50	$51.00
ATM IV	19.4%	16.2%	24.4%	16.2%	22.2%
Expected Move	5.6%	4.4%	7.1%	4.4%	6.5%
HV 20d	17.6%	15.5%	19.1%	17.7%	16.8%
HV 60d	17.6%	17.0%	18.7%	17.0%	18.6%
IV Rank	34.6%	14.1%	67.2%	14.1%	53.0%
IV Percentile	48.5%	13.1%	94.0%	13.1%	79.0%
Term Structure	0.2%	-0.7%	0.9%	0.4%	-0.4%
VWIV	20.7%	15.7%	26.0%	15.7%	24.6%
Skew 25d	5.6%	3.9%	7.9%	4.3%	7.2%
Skew 10d	11.6%	7.7%	15.2%	9.8%	14.8%
Call IV 25d	17.4%	14.7%	21.6%	14.8%	19.6%
Put IV 25d	22.9%	18.5%	29.6%	19.1%	26.9%
Bid-Ask Spread %	6.43	2.24	15.80	2.81	4.17
Gamma HHI	0.08	0.07	0.10	0.07	0.09
Net GEX	-162.4M	-304.8M	71.3M	37.6M	-259.1M
Net DEX	2.66B	66.5M	4.53B	453.7M	4.17B
Net VEX	-41.8M	-43.0M	-40.6M	-41.7M	-43.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	0.63	7.31	0.74	2.81
Total Volume	194,198.857	96,350	593,484	222,401	396,112
Total OI	6,350,815.714	5,185,176	7,206,898	6,853,873	5,857,411

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
2021-09-01	$53.09	$52.50	16.2%	4.4%	17.7%	14.1%	15.7%	4.3%	0.4%	37.6M	453.7M	-41.7M	0.74	2.81	128,140	94,261	2,241,491	4,612,382
2021-09-02	$52.80	$52.00	16.4%	4.8%	17.8%	15.9%	18.1%	3.9%	0.4%	-31.5M	1.09B	-41.9M	0.80	13.12	72,984	58,416	2,174,001	4,639,139
2021-09-03	$53.15	$52.00	16.2%	4.8%	17.5%	14.1%	19.5%	3.9%	0.3%	8.7M	485.8M	-41.5M	1.55	6.14	51,387	79,463	2,207,117	4,683,598
2021-09-07	$53.45	$52.00	16.4%	5.0%	17.5%	15.8%	17.2%	4.5%	0.8%	71.3M	66.5M	-40.7M	1.80	15.80	95,133	171,307	2,217,091	4,614,483
2021-09-08	$52.68	$52.00	17.7%	5.0%	18.4%	23.8%	18.9%	4.6%	-0.3%	-51.6M	1.44B	-41.6M	7.31	2.37	71,449	522,035	2,222,897	4,642,031
2021-09-09	$52.61	$52.00	17.8%	5.0%	18.4%	24.8%	17.5%	5.0%	-0.5%	-85.2M	1.77B	-41.4M	0.63	3.12	59,068	37,282	2,216,018	4,724,280
2021-09-10	$52.50	$52.00	18.5%	5.4%	18.1%	29.0%	19.6%	5.6%	0.6%	-141.0M	1.90B	-42.4M	2.81	9.13	35,895	100,773	2,229,150	4,760,315
2021-09-13	$52.59	$52.00	18.1%	5.1%	18.0%	26.3%	21.9%	5.4%	0.9%	-92.4M	1.84B	-40.7M	1.18	2.63	55,264	64,984	2,185,209	4,736,751
2021-09-14	$52.16	$52.00	19.1%	5.5%	18.0%	33.3%	21.7%	5.2%	0.1%	-201.9M	2.75B	-41.6M	2.37	2.64	34,238	81,208	2,203,333	4,773,167
2021-09-15	$52.17	$52.00	18.2%	5.2%	16.4%	27.1%	19.0%	5.0%	0.3%	-200.3M	2.52B	-41.2M	1.31	9.26	78,279	102,324	2,223,634	4,826,826
2021-09-16	$51.56	$52.00	17.9%	5.1%	17.1%	25.6%	18.3%	5.2%	0.9%	-304.8M	3.47B	-40.6M	2.13	2.24	43,845	93,261	2,247,479	4,870,408
2021-09-17	$51.41	$52.00	19.1%	5.5%	15.5%	33.0%	18.5%	5.5%	-0.7%	-224.8M	3.74B	-41.5M	0.95	2.68	68,849	65,593	2,295,401	4,911,497
2021-09-20	$49.91	$52.00	24.4%	7.1%	19.1%	67.2%	25.7%	7.9%	-0.0%	-245.1M	4.41B	-42.0M	1.03	2.91	109,549	113,060	1,423,768	3,761,408
2021-09-21	$50.41	$52.00	22.4%	6.5%	18.5%	54.2%	26.0%	7.1%	0.0%	-245.7M	4.06B	-42.7M	2.55	6.06	55,173	140,913	1,468,119	3,799,763
2021-09-22	$51.05	$52.00	20.9%	5.9%	17.3%	44.4%	21.2%	6.2%	0.1%	-206.5M	3.24B	-42.5M	0.81	12.41	69,551	56,119	1,545,878	3,864,906
2021-09-23	$51.38	$51.00	19.5%	5.5%	17.5%	35.7%	21.2%	5.5%	0.2%	-193.9M	2.90B	-42.9M	0.79	2.61	108,932	85,875	1,587,965	3,984,890
2021-09-24	$50.75	$51.00	19.8%	5.5%	17.7%	37.3%	20.4%	5.1%	0.4%	-253.3M	3.80B	-42.7M	0.90	5.17	86,096	77,659	1,617,832	3,992,887
2021-09-27	$51.19	$51.00	19.5%	5.4%	17.5%	35.7%	21.4%	5.8%	0.4%	-216.5M	3.06B	-41.1M	0.68	13.17	88,517	60,308	1,651,931	3,926,545
2021-09-28	$50.45	$51.00	22.5%	6.6%	18.2%	54.7%	24.2%	6.7%	0.2%	-273.5M	4.12B	-42.9M	1.58	13.48	68,958	108,686	1,693,373	3,988,051
2021-09-29	$50.09	$51.00	23.6%	6.8%	17.3%	61.8%	23.9%	7.1%	-0.7%	-301.8M	4.53B	-42.4M	1.88	3.10	64,901	122,329	1,722,708	4,021,997
2021-09-30	$50.43	$51.00	22.2%	6.5%	16.8%	53.0%	24.6%	7.2%	-0.4%	-259.1M	4.17B	-43.0M	2.81	4.17	103,877	292,235	1,765,589	4,091,822