EEM Options History — September 2022

In September 2022, EEM traded between $34.91 and $39.58. ATM implied volatility averaged 22.7%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.0% (HV 20d: 18.7%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.39.

Notable Days

2022-09-30: Highest Volume — 564,289 contracts
2022-09-13: Largest IV spike — 17.1% change
2022-09-29: Highest IV Rank — 55.3%
2022-09-29: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.49	$34.91	$39.58	$39.03	$34.91
Max Pain	$39.21	$38.00	$41.00	$41.00	$38.00
ATM IV	22.7%	19.0%	27.5%	22.3%	25.6%
Expected Move	6.5%	5.6%	8.1%	6.4%	7.3%
HV 20d	18.7%	14.6%	21.2%	14.8%	21.1%
HV 60d	17.9%	16.5%	20.1%	20.1%	17.8%
IV Rank	32.7%	15.6%	55.3%	31.1%	46.5%
IV Percentile	61.8%	29.0%	91.7%	61.5%	83.3%
Term Structure	0.1%	-0.7%	0.8%	-0.0%	0.8%
VWIV	23.2%	20.1%	28.3%	22.5%	24.9%
Skew 25d	4.6%	3.4%	6.2%	4.2%	5.4%
Skew 10d	8.7%	6.2%	11.8%	7.8%	10.3%
Call IV 25d	20.8%	17.7%	25.0%	20.5%	23.2%
Put IV 25d	25.4%	21.1%	31.2%	24.7%	28.6%
Bid-Ask Spread %	36.41	9.12	60.66	39.89	41.65
Gamma HHI	0.16	0.11	0.61	0.12	0.17
Net GEX	-219.6M	-464.3M	-134.5M	-174.3M	-210.5M
Net DEX	6.12B	4.20B	7.46B	5.15B	7.46B
Net VEX	-28.6M	-32.7M	-20.2M	-32.2M	-24.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.47	2.32	0.81	1.63
Total Volume	297,325.238	126,683	564,289	126,683	564,289
Total OI	6,356,855.19	5,587,717	7,113,477	6,335,890	6,457,717

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
2022-09-01	$39.03	$41.00	22.3%	6.4%	14.8%	31.1%	22.5%	4.2%	-0.0%	-174.3M	5.15B	-32.2M	0.81	39.89	70,022	56,661	2,853,134	3,482,756
2022-09-02	$38.69	$41.00	21.9%	6.2%	15.0%	29.1%	21.5%	3.8%	0.2%	-208.8M	5.60B	-31.0M	1.46	24.42	51,598	75,114	2,882,339	3,502,454
2022-09-06	$38.35	$40.00	22.4%	6.6%	15.2%	31.6%	21.2%	4.6%	0.3%	-233.7M	6.12B	-29.6M	1.28	59.72	165,258	211,305	2,867,870	3,522,237
2022-09-07	$38.62	$40.00	21.5%	6.0%	15.5%	27.3%	21.7%	4.1%	0.1%	-247.8M	5.94B	-29.9M	1.04	41.42	179,660	187,614	2,886,618	3,593,463
2022-09-08	$38.36	$39.00	20.4%	6.0%	14.6%	22.3%	22.0%	3.5%	0.3%	-265.8M	6.26B	-30.1M	0.89	39.44	76,449	67,685	2,949,073	3,633,018
2022-09-09	$39.00	$39.00	19.0%	5.6%	16.0%	15.6%	22.2%	3.4%	0.3%	-252.9M	5.29B	-31.5M	1.24	60.66	62,764	77,570	2,981,235	3,655,384
2022-09-12	$39.58	$39.00	19.4%	5.6%	16.5%	17.6%	20.1%	3.5%	0.1%	-179.1M	4.20B	-32.7M	0.61	56.10	117,308	71,869	3,003,487	3,653,413
2022-09-13	$38.31	$39.00	22.8%	6.7%	19.8%	33.0%	22.2%	4.4%	0.6%	-242.8M	6.05B	-31.1M	1.45	43.03	177,528	257,978	3,076,738	3,685,266
2022-09-14	$38.57	$39.00	21.9%	6.1%	20.1%	28.9%	23.5%	3.9%	-0.7%	-274.3M	5.93B	-30.9M	0.47	21.86	148,169	69,837	3,110,145	3,735,604
2022-09-15	$38.15	$39.00	22.0%	6.3%	20.3%	29.5%	22.0%	4.5%	-0.3%	-250.8M	6.57B	-29.9M	2.12	14.59	82,999	175,822	3,218,743	3,752,515
2022-09-16	$37.76	$39.00	20.8%	5.9%	20.4%	23.7%	21.8%	4.7%	-0.2%	-252.4M	7.19B	-29.5M	1.70	32.35	180,747	306,716	3,257,441	3,856,036
2022-09-19	$37.91	$39.00	21.7%	6.2%	20.1%	28.0%	21.9%	4.5%	-0.0%	-134.5M	4.90B	-29.3M	0.58	37.45	102,998	59,553	2,404,297	3,183,420
2022-09-20	$37.77	$39.00	21.4%	6.1%	20.0%	26.6%	22.5%	5.0%	0.6%	-134.5M	5.00B	-29.7M	2.21	9.12	67,405	149,223	2,472,132	3,223,374
2022-09-21	$37.14	$39.00	22.8%	6.5%	20.4%	33.1%	22.2%	4.0%	-0.1%	-165.4M	5.74B	-29.1M	1.57	40.46	64,079	100,863	2,501,932	3,329,526
2022-09-22	$37.03	$39.00	22.3%	6.4%	20.3%	30.9%	23.8%	5.1%	-0.1%	-464.3M	6.18B	-20.2M	1.67	29.74	86,404	144,438	2,557,800	3,379,840
2022-09-23	$36.00	$39.00	23.9%	6.8%	20.2%	38.2%	23.8%	4.7%	-0.1%	-193.0M	6.99B	-25.6M	1.26	39.92	90,746	114,492	2,583,220	3,476,410
2022-09-26	$35.63	$39.00	25.8%	7.5%	20.0%	47.4%	28.3%	5.2%	-0.1%	-188.3M	6.99B	-25.8M	2.10	49.57	132,357	277,932	2,577,771	3,475,840
2022-09-27	$35.49	$39.00	26.9%	7.8%	20.0%	52.3%	27.3%	5.8%	-0.2%	-185.6M	7.06B	-25.4M	1.85	41.18	162,454	301,098	2,618,887	3,515,721
2022-09-28	$35.87	$39.00	24.1%	7.0%	20.6%	39.4%	24.3%	5.3%	0.4%	-186.4M	6.74B	-26.8M	0.99	17.37	263,373	259,491	2,662,207	3,568,609
2022-09-29	$35.05	$38.50	27.5%	8.1%	21.2%	55.3%	27.6%	6.2%	0.2%	-167.4M	7.21B	-25.3M	2.32	24.76	130,222	301,740	2,795,181	3,551,106
2022-09-30	$34.91	$38.00	25.6%	7.3%	21.1%	46.5%	24.9%	5.4%	0.8%	-210.5M	7.46B	-24.8M	1.63	41.65	214,403	349,886	2,816,555	3,641,162