EEM Options History — January 2022

In January 2022, EEM traded between $47.17 and $50.86. ATM implied volatility averaged 20.6%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.3% (HV 20d: 17.3%). Max pain ranged from $50.00 to $51.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.00.

Notable Days

  • 2022-01-12: Highest Volume — 520,079 contracts
  • 2022-01-18: Largest IV spike — 15.0% change
  • 2022-01-24: Highest IV Rank — 100.0%
  • 2022-01-24: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.94$47.17$50.86$49.18$48.74
Max Pain$50.15$50.00$51.00$51.00$50.00
ATM IV20.6%16.3%29.0%16.8%20.0%
Expected Move5.9%4.4%8.0%4.7%5.9%
HV 20d17.3%15.2%22.5%16.2%22.5%
HV 60d16.2%14.9%18.3%14.9%18.3%
IV Rank50.0%19.4%100.0%23.2%40.0%
IV Percentile63.8%19.8%100.0%29.0%71.4%
Term Structure0.1%-1.1%1.1%0.2%0.1%
VWIV21.3%16.2%28.5%18.2%24.7%
Skew 25d6.7%4.4%21.5%4.7%5.2%
Skew 10d13.7%9.1%28.6%10.1%11.4%
Call IV 25d18.1%14.4%24.8%15.2%17.8%
Put IV 25d24.8%19.1%46.4%19.9%23.1%
Bid-Ask Spread %13.732.8651.973.163.40
Gamma HHI0.070.060.080.070.07
Net GEX-142.8M-229.6M61.3M-150.3M-155.8M
Net DEX3.42B880.5M4.66B3.59B2.88B
Net VEX-36.6M-38.8M-34.3M-37.0M-35.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.001.223.701.792.84
Total Volume313,657.05198,338520,079260,270444,251
Total OI5,400,922.354,209,7606,089,8695,524,7574,572,447

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$49.18$51.0016.8%4.7%16.2%23.2%18.2%4.7%0.2%-150.3M3.59B-37.0M1.793.1693,245167,0252,222,4333,302,324
2022-01-04$49.09$51.0016.3%4.4%15.9%19.4%17.0%4.4%0.5%-160.4M3.73B-36.8M2.332.9381,278189,1212,240,9193,327,002
2022-01-05$48.30$51.0017.6%4.9%15.8%29.9%18.2%5.4%0.4%-224.3M4.66B-35.5M1.652.88127,446210,5832,262,7333,350,842
2022-01-06$48.44$50.0017.6%5.4%15.7%30.4%17.9%5.3%0.3%-229.6M4.56B-36.3M1.6125.13131,094211,5492,270,4643,385,700
2022-01-07$48.89$50.0016.8%5.0%16.1%23.7%18.1%5.5%0.5%-194.3M3.98B-37.1M1.4211.16157,482223,8802,316,3423,420,969
2022-01-10$48.86$50.0017.7%5.1%16.1%31.1%18.9%5.8%0.2%-171.6M4.03B-36.7M1.9331.01117,179226,7272,343,1973,415,522
2022-01-11$50.02$50.0016.3%4.7%15.2%19.4%16.2%5.0%0.1%-50.8M2.28B-37.9M1.513.35129,855195,9562,353,4883,460,969
2022-01-12$50.86$50.0017.1%5.0%15.9%25.9%20.3%5.3%0.2%61.3M880.5M-37.8M1.7825.74186,792333,2872,398,8463,501,593
2022-01-13$50.22$50.0019.0%5.5%16.7%41.5%20.1%5.9%0.1%-31.1M2.01B-38.8M2.953.5066,882197,0812,438,8903,504,808
2022-01-14$50.12$50.0018.9%5.5%16.7%40.9%18.6%5.7%0.1%-45.9M2.17B-38.0M1.2751.97119,943151,7832,448,9463,552,203
2022-01-18$49.19$50.0021.8%6.2%18.1%64.4%21.1%6.6%-0.3%-171.0M3.69B-36.9M2.392.8676,303182,3602,413,2723,554,194
2022-01-19$49.53$50.0020.9%6.0%16.9%57.6%22.8%6.0%0.2%-147.9M3.23B-37.0M1.543.2693,810144,2072,432,0803,577,303
2022-01-20$49.83$50.0021.7%6.2%16.3%63.8%21.7%6.1%-0.3%-97.1M2.67B-37.8M1.4635.79148,239216,1022,458,2653,581,009
2022-01-21$49.04$50.0024.9%7.2%17.3%90.1%24.4%6.7%-0.8%-102.5M3.80B-37.2M1.555.79107,107165,7452,488,7333,601,136
2022-01-24$48.12$50.0027.0%8.0%18.5%100.0%28.5%21.5%-0.5%-166.0M3.52B-36.0M3.7036.7742,187156,1511,501,4492,708,311
2022-01-25$48.34$50.0029.0%7.2%18.5%100.0%25.4%10.0%1.1%-172.8M3.44B-35.7M1.224.82113,253137,6641,511,5622,751,739
2022-01-26$47.66$50.0025.3%7.4%19.1%75.5%25.6%5.9%-1.1%-196.6M4.03B-35.2M2.7112.6071,248192,7961,567,2182,760,253
2022-01-27$47.17$50.0024.6%7.2%19.3%70.2%24.6%7.1%0.0%-223.6M4.55B-34.7M2.404.05108,334259,9171,604,3412,819,804
2022-01-28$47.17$50.0022.0%6.5%18.8%53.2%23.1%6.2%0.4%-226.3M4.66B-34.3M2.024.4497,790197,4891,661,9032,935,238
2022-01-31$48.74$50.0020.0%5.9%22.5%40.0%24.7%5.2%0.1%-155.8M2.88B-35.7M2.843.40115,670328,5811,629,3662,943,081