EEM Options History — March 2022

In March 2022, EEM traded between $41.49 and $46.25. ATM implied volatility averaged 27.9%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 3.5% (HV 20d: 31.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 2.60.

Notable Days

2022-03-16: Highest Volume — 639,794 contracts
2022-03-14: Largest IV spike — 19.4% change
2022-03-01: Highest IV Rank — 100.0%
2022-03-07: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.56	$41.49	$46.25	$46.03	$45.31
Max Pain	$47.22	$45.00	$50.00	$50.00	$46.00
ATM IV	27.9%	20.2%	37.1%	30.8%	20.5%
Expected Move	8.4%	6.1%	12.2%	9.8%	6.1%
HV 20d	31.4%	19.6%	39.6%	19.7%	37.9%
HV 60d	24.3%	19.4%	27.7%	19.7%	27.7%
IV Rank	65.1%	26.9%	100.0%	100.0%	28.2%
IV Percentile	92.3%	73.4%	100.0%	100.0%	74.6%
Term Structure	-0.3%	-2.5%	0.9%	0.5%	0.6%
VWIV	30.3%	19.9%	43.4%	38.1%	22.5%
Skew 25d	8.3%	3.5%	17.1%	9.9%	5.8%
Skew 10d	16.6%	5.2%	36.3%	19.9%	12.0%
Call IV 25d	24.7%	18.4%	31.2%	26.7%	18.7%
Put IV 25d	33.0%	23.9%	45.6%	36.6%	24.5%
Bid-Ask Spread %	23.54	4.78	49.82	5.08	19.83
Gamma HHI	0.09	0.06	0.16	0.09	0.08
Net GEX	-165.6M	-274.5M	-35.1M	-209.7M	-101.0M
Net DEX	5.76B	3.32B	9.02B	5.62B	4.05B
Net VEX	-30.4M	-33.7M	-25.5M	-33.7M	-30.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.60	1.26	4.75	4.75	3.25
Total Volume	334,981.435	204,759	639,794	207,582	364,185
Total OI	4,943,585	4,092,884	5,908,545	5,111,896	4,439,636

Daily Data (23 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
2022-03-01	$46.03	$50.00	30.8%	9.8%	19.7%	100.0%	38.1%	9.9%	0.5%	-209.7M	5.62B	-33.7M	4.75	5.08	36,127	171,455	1,882,504	3,229,392
2022-03-02	$46.25	$50.00	28.2%	8.5%	19.6%	84.5%	35.6%	8.8%	-0.5%	-233.8M	5.52B	-33.0M	2.80	4.82	53,939	150,820	1,881,503	3,231,762
2022-03-03	$45.47	$50.00	28.9%	9.0%	20.2%	88.6%	32.0%	9.1%	-0.7%	-254.7M	6.34B	-31.6M	2.90	4.87	55,836	161,714	1,908,489	3,269,748
2022-03-04	$44.52	$50.00	32.9%	10.3%	21.0%	100.0%	38.3%	17.1%	-0.5%	-245.7M	7.08B	-30.8M	3.34	23.35	58,342	195,105	1,936,064	3,295,284
2022-03-07	$43.01	$50.00	35.9%	12.2%	23.3%	100.0%	43.4%	11.0%	-1.6%	-234.7M	8.05B	-27.8M	2.98	4.78	54,684	162,745	1,888,512	3,279,561
2022-03-08	$43.11	$50.00	34.2%	11.4%	23.4%	92.1%	39.6%	10.2%	-0.6%	-246.0M	8.03B	-27.9M	3.88	7.08	51,843	201,304	1,913,137	3,304,903
2022-03-09	$44.38	$50.00	29.8%	9.5%	26.2%	72.0%	35.3%	8.6%	0.1%	-274.5M	7.18B	-29.2M	1.26	20.05	161,848	203,669	1,922,495	3,292,742
2022-03-10	$43.48	$50.00	30.4%	9.8%	25.5%	74.9%	33.7%	9.3%	0.9%	-260.2M	7.99B	-28.0M	1.82	9.68	153,430	278,785	2,006,050	3,349,364
2022-03-11	$42.57	$50.00	31.1%	10.4%	26.0%	78.0%	37.4%	3.5%	-1.8%	-229.0M	8.55B	-27.1M	2.53	37.13	89,232	225,951	2,036,917	3,385,313
2022-03-14	$41.49	$47.00	37.1%	9.8%	26.7%	100.0%	31.1%	10.8%	-2.5%	-203.6M	9.02B	-25.5M	2.03	17.68	113,479	230,852	2,068,751	3,405,417
2022-03-15	$41.60	$45.00	33.2%	9.1%	27.0%	83.1%	31.7%	10.0%	0.3%	-191.7M	8.89B	-26.0M	1.84	10.01	142,062	261,185	2,131,834	3,406,193
2022-03-16	$44.78	$45.00	29.9%	8.3%	38.6%	69.0%	39.7%	9.1%	-2.2%	-248.3M	6.23B	-32.2M	1.39	49.82	267,514	372,280	2,205,810	3,420,339
2022-03-17	$44.71	$45.00	29.3%	8.2%	38.2%	66.0%	27.6%	8.4%	0.2%	-198.2M	6.05B	-32.3M	1.72	35.52	217,576	374,082	2,389,036	3,466,017
2022-03-18	$45.38	$45.00	26.9%	7.8%	38.8%	55.9%	27.9%	7.9%	-1.0%	-117.9M	5.21B	-32.7M	2.02	45.85	183,708	371,164	2,415,471	3,493,074
2022-03-21	$44.61	$45.00	26.7%	7.4%	39.0%	55.1%	29.0%	8.2%	0.1%	-81.4M	3.91B	-31.5M	2.24	48.32	97,243	217,413	1,592,142	2,500,742
2022-03-22	$45.44	$45.00	23.9%	7.2%	39.6%	42.8%	23.7%	6.5%	-0.2%	-68.8M	3.37B	-31.8M	3.15	46.32	72,547	228,725	1,600,532	2,518,339
2022-03-23	$45.31	$45.00	23.6%	7.1%	39.4%	41.4%	24.8%	7.0%	0.8%	-70.1M	3.55B	-31.8M	1.78	42.13	121,558	216,202	1,623,295	2,546,638
2022-03-24	$45.43	$45.00	22.7%	7.0%	38.7%	37.7%	21.3%	6.6%	0.4%	-64.7M	3.41B	-31.8M	2.67	20.33	65,227	174,389	1,676,575	2,570,127
2022-03-25	$45.03	$45.00	22.7%	6.7%	38.1%	37.5%	21.7%	6.4%	-0.1%	-35.1M	3.83B	-31.3M	3.21	19.66	68,009	218,320	1,705,943	2,592,838
2022-03-28	$45.16	$46.00	22.0%	6.5%	38.0%	34.8%	19.9%	6.4%	0.5%	-97.4M	3.88B	-30.7M	3.36	23.43	54,639	183,808	1,664,989	2,589,184
2022-03-29	$45.95	$46.00	20.2%	6.1%	38.2%	26.9%	21.3%	5.5%	0.2%	-70.1M	3.32B	-31.2M	1.95	32.20	99,161	193,608	1,681,953	2,627,537
2022-03-30	$45.81	$46.00	20.4%	6.1%	38.2%	27.8%	21.4%	5.7%	0.5%	-71.7M	3.50B	-31.0M	2.98	13.60	82,609	246,199	1,717,798	2,638,505
2022-03-31	$45.31	$46.00	20.5%	6.1%	37.9%	28.2%	22.5%	5.8%	0.6%	-101.0M	4.05B	-30.5M	3.25	19.83	85,784	278,401	1,746,924	2,692,712