EEM Options History — October 2021

In October 2021, EEM traded between $49.57 and $52.53. ATM implied volatility averaged 18.1%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.3% (HV 20d: 16.8%). Max pain ranged from $51.00 to $52.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.23.

Notable Days

2021-10-29: Highest Volume — 691,025 contracts
2021-10-04: Largest IV spike — 12.0% change
2021-10-04: Highest IV Rank — 62.6%
2021-10-04: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.24	$49.57	$52.53	$50.33	$50.82
Max Pain	$51.33	$51.00	$52.00	$51.00	$52.00
ATM IV	18.1%	15.7%	23.7%	21.2%	16.6%
Expected Move	5.2%	4.5%	6.5%	6.0%	4.8%
HV 20d	16.8%	14.2%	19.5%	16.7%	15.2%
HV 60d	17.6%	16.2%	18.7%	18.1%	16.5%
IV Rank	26.4%	10.8%	62.6%	46.3%	17.0%
IV Percentile	36.6%	9.1%	90.9%	70.6%	25.0%
Term Structure	0.3%	-0.3%	1.1%	0.4%	1.0%
VWIV	18.7%	14.9%	24.2%	22.8%	18.0%
Skew 25d	4.8%	3.6%	7.2%	6.4%	4.0%
Skew 10d	10.2%	7.1%	15.2%	14.1%	8.3%
Call IV 25d	16.4%	14.2%	21.1%	19.0%	15.2%
Put IV 25d	21.3%	18.4%	28.2%	25.4%	19.2%
Bid-Ask Spread %	14.18	2.12	45.38	3.27	3.23
Gamma HHI	0.09	0.07	0.24	0.09	0.08
Net GEX	-103.0M	-336.4M	231.6M	-265.3M	-165.0M
Net DEX	2.50B	346.6M	4.84B	3.93B	3.13B
Net VEX	-41.5M	-43.5M	-39.4M	-43.5M	-40.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.10	2.28	2.28	1.07
Total Volume	265,059.619	83,871	691,025	105,707	691,025
Total OI	6,202,171.095	5,739,094	6,731,442	5,739,094	6,731,442

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
2021-10-01	$50.33	$51.00	21.2%	6.0%	16.7%	46.3%	22.8%	6.4%	0.4%	-265.3M	3.93B	-43.5M	2.28	3.27	32,225	73,482	1,728,896	4,010,198
2021-10-04	$49.57	$51.00	23.7%	6.5%	17.0%	62.6%	24.2%	7.2%	-0.3%	-309.7M	4.84B	-42.6M	1.57	3.64	37,924	59,402	1,760,168	4,044,675
2021-10-05	$50.00	$51.00	21.3%	6.0%	17.2%	46.9%	21.0%	6.4%	-0.1%	-312.7M	4.39B	-42.3M	1.11	3.23	50,900	56,286	1,774,325	4,077,827
2021-10-06	$49.64	$51.00	22.0%	6.0%	16.8%	51.3%	18.7%	6.5%	-0.2%	-336.4M	4.78B	-41.5M	0.70	2.75	101,306	70,518	1,783,508	4,094,863
2021-10-07	$50.66	$51.00	20.3%	5.6%	18.7%	40.5%	21.7%	5.6%	0.1%	-209.4M	3.21B	-41.3M	1.11	2.82	205,188	227,655	1,816,836	4,095,356
2021-10-08	$50.81	$51.00	18.9%	5.4%	18.8%	31.3%	20.1%	5.4%	0.2%	-180.8M	3.07B	-41.8M	0.96	17.85	76,898	74,103	1,886,456	4,148,853
2021-10-11	$50.76	$51.00	19.3%	5.5%	18.7%	34.4%	18.7%	5.8%	-0.1%	-199.8M	3.40B	-41.7M	0.99	30.28	42,208	41,663	1,968,194	4,143,233
2021-10-12	$50.47	$51.00	19.6%	5.9%	18.7%	36.3%	24.0%	6.0%	0.8%	-260.4M	3.90B	-41.8M	1.93	3.04	76,018	147,050	2,002,131	4,196,850
2021-10-13	$51.18	$51.00	18.3%	5.3%	19.5%	27.6%	19.7%	5.3%	0.3%	-129.2M	2.80B	-41.5M	0.70	17.31	87,470	61,523	2,025,134	4,204,944
2021-10-14	$51.35	$51.00	17.0%	5.1%	19.1%	19.4%	19.9%	4.7%	1.1%	-67.8M	2.58B	-40.9M	0.85	6.65	67,991	58,066	2,084,231	4,265,574
2021-10-15	$51.93	$51.00	15.7%	4.5%	19.5%	10.8%	18.7%	4.2%	0.4%	231.6M	1.47B	-40.0M	1.11	2.12	101,827	112,552	2,126,300	4,273,588
2021-10-18	$51.81	$51.00	15.8%	4.6%	16.0%	12.1%	14.9%	4.7%	-0.2%	-94.6M	1.86B	-39.4M	0.10	16.46	107,188	10,782	1,811,620	3,947,997
2021-10-19	$52.48	$51.00	16.2%	4.7%	16.2%	14.2%	16.5%	3.9%	-0.1%	-63.8M	1.14B	-40.7M	0.22	24.91	312,643	67,616	1,833,177	4,008,750
2021-10-20	$52.53	$51.00	16.3%	4.7%	15.7%	14.9%	15.6%	3.9%	-0.2%	64.7M	346.6M	-41.5M	1.46	45.38	193,177	282,863	2,168,899	4,038,341
2021-10-21	$52.15	$52.00	16.7%	4.8%	15.9%	17.6%	16.8%	3.6%	-0.2%	36.5M	1.02B	-42.7M	1.29	36.02	212,017	274,290	2,261,807	4,078,414
2021-10-22	$51.96	$52.00	16.4%	4.7%	15.2%	15.6%	16.7%	3.6%	0.0%	50.4M	1.26B	-43.0M	1.04	3.72	178,618	185,203	2,365,686	4,105,805
2021-10-25	$52.35	$52.00	15.8%	4.6%	15.1%	11.5%	15.7%	3.6%	0.8%	102.4M	529.7M	-41.5M	1.04	43.18	187,435	194,409	2,424,437	4,109,931
2021-10-26	$52.09	$52.00	16.1%	4.7%	14.2%	13.9%	16.6%	3.8%	0.7%	41.7M	1.05B	-41.9M	2.21	3.11	83,797	185,303	2,439,201	4,130,136
2021-10-27	$51.64	$52.00	16.3%	4.8%	14.3%	14.9%	15.9%	3.6%	0.7%	-43.7M	1.81B	-41.8M	2.25	25.66	80,144	180,528	2,455,758	4,168,848
2021-10-28	$51.57	$52.00	16.5%	4.8%	14.2%	16.1%	17.0%	3.8%	0.9%	-52.2M	1.93B	-41.0M	1.94	3.15	94,084	182,875	2,464,903	4,188,301
2021-10-29	$50.82	$52.00	16.6%	4.8%	15.2%	17.0%	18.0%	4.0%	1.0%	-165.0M	3.13B	-40.1M	1.07	3.23	334,472	356,553	2,511,687	4,219,755