EEM Options History — November 2021

In November 2021, EEM traded between $48.85 and $52.00. ATM implied volatility averaged 18.1%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.0% (HV 20d: 13.1%). Max pain ranged from $52.00 to $54.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.69.

Notable Days

  • 2021-11-12: Highest Volume — 602,656 contracts
  • 2021-11-26: Largest IV spike — 22.6% change
  • 2021-11-26: Highest IV Rank — 72.3%
  • 2021-11-30: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.87$48.85$52.00$51.28$48.96
Max Pain$53.71$52.00$54.00$52.00$54.00
ATM IV18.1%15.9%22.7%16.5%21.9%
Expected Move5.5%4.7%7.3%4.7%7.3%
HV 20d13.1%11.7%15.8%14.3%14.7%
HV 60d15.8%14.6%16.6%16.5%15.5%
IV Rank33.4%15.9%72.3%16.3%65.9%
IV Percentile42.1%12.7%92.1%24.2%85.7%
Term Structure0.3%-0.7%1.9%0.5%-0.3%
VWIV19.5%16.5%28.4%19.2%28.4%
Skew 25d4.1%3.3%5.9%4.4%5.5%
Skew 10d7.6%4.3%11.3%8.8%9.1%
Call IV 25d16.6%14.6%20.7%15.5%19.6%
Put IV 25d20.6%18.2%26.6%19.9%25.1%
Bid-Ask Spread %13.792.4250.302.874.54
Gamma HHI0.090.080.160.080.09
Net GEX-167.3M-423.9M70.5M-124.1M-334.5M
Net DEX3.17B1.20B5.89B2.83B5.76B
Net VEX-38.4M-41.0M-34.3M-41.0M-34.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.563.113.111.75
Total Volume332,373.095209,080602,656261,201579,059
Total OI6,869,931.3336,557,8257,325,3196,604,3986,849,764

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$51.28$52.0016.5%4.7%14.3%16.3%19.2%4.4%0.5%-124.1M2.83B-41.0M3.112.8763,623197,5782,421,6394,182,759
2021-11-02$50.85$52.0016.9%4.9%14.5%18.9%18.3%4.2%0.4%-191.6M3.53B-39.9M1.883.1286,553162,7242,461,7364,231,247
2021-11-03$51.16$52.0016.9%4.7%14.3%21.6%17.1%4.2%0.7%-171.3M3.05B-40.0M1.773.05128,331226,9032,481,7584,249,337
2021-11-04$50.94$54.0016.3%5.1%12.6%19.4%16.8%3.8%0.5%-182.5M3.23B-39.4M1.116.05171,737190,6302,545,4364,212,848
2021-11-05$50.94$54.0015.9%5.0%12.5%15.9%16.5%3.6%0.5%-231.7M3.25B-38.8M1.774.0797,783173,2982,566,0094,237,054
2021-11-08$51.41$54.0016.0%5.2%12.9%17.0%18.3%3.9%1.9%-59.3M2.46B-39.1M1.5650.30118,702185,7632,564,5144,221,590
2021-11-09$51.23$54.0016.9%5.2%12.8%24.2%17.9%4.3%1.1%-112.0M2.82B-38.7M1.9434.31101,626196,8962,573,8944,212,588
2021-11-10$50.97$54.0017.4%5.3%11.9%28.2%17.7%4.3%1.0%-153.8M3.20B-39.2M1.9533.3492,228179,9652,585,9724,222,792
2021-11-11$51.83$54.0017.0%5.2%13.3%24.8%17.9%4.0%1.1%-6.1M1.69B-40.3M0.734.41254,211185,1612,601,6284,249,127
2021-11-12$52.00$54.0017.4%5.3%12.8%28.0%18.0%3.4%1.2%-19.3M1.20B-40.3M0.563.60386,802215,8542,698,4564,279,403
2021-11-15$51.89$54.0018.1%5.3%12.8%33.7%17.4%3.3%-0.6%68.1M1.33B-40.3M1.774.9888,930157,1612,840,6554,285,711
2021-11-16$51.90$54.0018.0%5.2%11.8%33.1%19.3%3.3%-0.5%70.5M1.34B-39.7M2.2836.2774,638170,2552,857,8214,311,786
2021-11-17$51.64$54.0017.6%5.1%11.9%30.4%18.4%4.1%0.1%-40.2M1.91B-39.1M1.6120.7683,933134,7832,888,3334,342,927
2021-11-18$50.99$54.0018.3%5.2%12.5%35.3%19.4%3.5%-0.2%-256.7M3.21B-38.6M2.202.4294,520207,8252,906,4704,372,668
2021-11-19$50.91$54.0018.2%5.2%12.4%34.7%20.3%3.3%0.1%-423.9M3.47B-38.1M0.932.54276,028255,6902,896,4604,428,859
2021-11-22$50.67$54.0018.6%5.5%12.1%38.0%17.7%3.9%-0.0%-193.4M3.24B-36.7M1.7346.40133,615230,9082,533,6594,024,166
2021-11-23$50.47$54.0019.4%5.9%12.0%45.0%20.6%4.1%-0.5%-238.6M3.74B-36.2M1.774.74131,854233,1842,555,3884,080,455
2021-11-24$50.38$54.0018.5%5.7%11.7%37.6%20.2%3.9%-0.1%-244.8M3.82B-35.8M1.574.0981,447127,6332,616,0174,110,319
2021-11-26$48.85$54.0022.7%7.0%15.8%72.3%24.6%5.9%-0.7%-329.6M5.89B-35.4M1.874.8278,433146,6272,643,3024,138,312
2021-11-29$48.97$54.0021.3%7.0%15.2%60.2%25.5%4.4%-0.0%-338.1M5.65B-34.3M1.6812.83103,261173,6832,640,5784,145,121
2021-11-30$48.96$54.0021.9%7.3%14.7%65.9%28.4%5.5%-0.3%-334.5M5.76B-34.6M1.754.54210,371368,6882,667,3184,182,446