EEM Options History — October 2022

In October 2022, EEM traded between $33.92 and $36.71. ATM implied volatility averaged 27.1%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 1.9% (HV 20d: 25.2%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2022-10-13: Highest Volume — 586,065 contracts
  • 2022-10-24: Largest IV spike — 10.5% change
  • 2022-10-24: Highest IV Rank — 66.5%
  • 2022-10-24: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.01$33.92$36.71$35.48$34.26
Max Pain$37.05$36.00$38.00$38.00$36.00
ATM IV27.1%25.3%30.0%25.7%25.4%
Expected Move7.9%7.3%9.0%7.4%7.7%
HV 20d25.2%22.2%28.6%22.4%26.9%
HV 60d19.9%18.2%21.8%18.2%21.7%
IV Rank53.4%44.7%66.5%46.8%44.8%
IV Percentile86.8%74.6%96.4%83.3%74.6%
Term Structure-0.3%-1.3%0.7%-0.2%-0.1%
VWIV27.4%24.9%31.8%25.4%29.5%
Skew 25d4.7%3.1%6.5%5.3%3.8%
Skew 10d9.6%5.7%28.7%10.4%6.9%
Call IV 25d25.3%22.9%27.8%23.6%24.2%
Put IV 25d29.9%27.9%33.2%28.9%28.0%
Bid-Ask Spread %29.552.6470.2645.3843.56
Gamma HHI0.140.120.180.130.14
Net GEX-147.8M-184.5M-104.9M-173.2M-140.8M
Net DEX6.88B5.29B7.85B6.82B7.29B
Net VEX-25.5M-29.8M-21.9M-26.2M-21.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.673.871.461.02
Total Volume389,617.429221,782586,065333,058324,352
Total OI6,924,412.3816,413,1767,367,3796,413,1766,901,085

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$35.48$38.0025.7%7.4%22.4%46.8%25.4%5.3%-0.2%-173.2M6.82B-26.2M1.4645.38135,534197,5242,762,1693,651,007
2022-10-04$36.57$38.0025.3%7.3%25.5%44.7%25.5%4.8%0.0%-140.5M5.55B-29.5M0.673.01309,089207,8502,794,3473,663,833
2022-10-05$36.71$38.0025.6%7.3%25.3%46.4%26.8%5.0%-0.1%-120.9M5.29B-29.8M1.623.42141,265229,1232,941,0283,659,637
2022-10-06$36.44$38.0025.5%7.5%25.3%46.0%24.9%5.3%-0.2%-131.0M5.63B-29.7M2.0118.26137,331276,1762,967,2143,680,282
2022-10-07$35.64$38.0027.1%7.6%25.2%53.1%26.4%5.2%0.3%-149.9M6.49B-27.6M1.4022.18199,549279,8043,014,0133,733,500
2022-10-10$35.19$38.0028.2%8.0%24.3%58.5%31.3%5.6%-0.3%-159.6M6.99B-26.5M3.872.6459,361229,6413,105,9633,759,750
2022-10-11$34.63$38.0029.3%8.1%22.5%63.3%27.2%5.6%-1.3%-167.6M7.55B-24.7M1.613.23162,979263,1243,133,9673,781,214
2022-10-12$34.66$38.0029.4%8.1%22.2%64.3%28.4%6.5%-0.9%-159.1M7.45B-25.9M2.093.54112,413235,1023,220,7023,821,254
2022-10-13$34.78$38.0028.3%8.0%22.3%59.0%27.0%5.1%-0.8%-161.3M7.35B-25.6M0.784.11328,590257,4753,288,6293,820,130
2022-10-14$34.26$38.0027.8%8.1%22.5%56.7%27.5%4.8%0.7%-178.7M7.85B-23.9M1.957.41133,728261,1233,315,4623,836,149
2022-10-17$35.17$37.0027.7%7.9%24.9%55.9%27.7%5.1%-0.5%-156.7M6.92B-26.2M2.2311.28147,021327,8943,281,8013,853,153
2022-10-18$35.11$37.0027.3%7.8%25.0%54.1%26.2%4.4%-0.5%-159.0M6.89B-26.2M1.9254.52119,234228,9433,347,5163,876,636
2022-10-19$34.45$36.0028.0%8.0%25.1%57.3%26.7%4.6%-1.2%-184.5M7.75B-23.6M1.1647.53211,986245,4333,361,6213,892,905
2022-10-20$34.76$36.0026.9%7.7%25.5%51.9%27.5%3.3%-0.8%-165.6M7.16B-25.3M1.6752.62155,837260,6903,443,8283,885,843
2022-10-21$35.28$36.0027.1%7.9%24.5%53.1%27.1%3.7%-1.1%-133.7M6.52B-26.2M1.2070.26239,351286,6843,490,7953,876,584
2022-10-24$33.92$36.0030.0%9.0%27.9%66.5%31.8%4.6%0.3%-120.5M7.27B-22.8M1.5446.53136,038209,6473,161,8913,556,836
2022-10-25$34.24$36.0027.8%8.3%28.2%56.5%29.3%5.1%0.6%-123.8M7.07B-24.2M1.3244.06143,509188,7363,201,3943,616,718
2022-10-26$34.81$36.0025.9%7.7%28.6%47.5%26.1%3.6%-0.1%-104.9M6.55B-24.7M1.7046.7682,120139,6623,242,8543,621,305
2022-10-27$34.57$36.0026.2%7.8%27.5%48.7%26.7%3.1%0.3%-126.4M6.90B-23.4M1.7643.2199,399175,0743,241,8833,630,872
2022-10-28$34.28$36.0025.6%7.7%27.6%45.7%26.5%3.5%0.1%-146.3M7.28B-22.1M1.1247.13143,526160,0493,327,4563,649,434
2022-10-31$34.26$36.0025.4%7.7%26.9%44.8%29.5%3.8%-0.1%-140.8M7.29B-21.9M1.0243.56160,191164,1613,252,7923,648,293