EEM Options History — December 2022

In December 2022, EEM traded between $37.75 and $39.58. ATM implied volatility averaged 21.2%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.8% (HV 20d: 20.3%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2022-12-12: Highest Volume — 1,109,827 contracts
2022-12-02: Largest IV spike — 5.4% change
2022-12-12: Highest IV Rank — 31.5%
2022-12-02: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.48	$37.75	$39.58	$39.44	$37.91
Max Pain	$39.64	$39.00	$40.00	$39.00	$39.00
ATM IV	21.2%	19.6%	22.5%	21.1%	21.4%
Expected Move	6.2%	5.6%	7.5%	7.3%	6.1%
HV 20d	20.3%	15.6%	27.2%	27.1%	16.2%
HV 60d	25.0%	23.7%	26.4%	26.4%	23.9%
IV Rank	24.0%	15.9%	31.5%	24.7%	24.7%
IV Percentile	32.3%	17.1%	48.4%	32.9%	35.7%
Term Structure	0.3%	-0.9%	1.9%	-0.6%	1.0%
VWIV	21.7%	19.4%	25.2%	25.2%	22.8%
Skew 25d	2.4%	0.2%	3.3%	3.0%	2.8%
Skew 10d	3.6%	-2.1%	6.3%	4.1%	5.2%
Call IV 25d	20.6%	18.5%	23.0%	19.7%	20.3%
Put IV 25d	23.0%	21.4%	24.6%	22.7%	23.1%
Bid-Ask Spread %	19.79	2.34	82.86	82.86	20.54
Gamma HHI	0.10	0.07	0.28	0.12	0.08
Net GEX	107.0M	-154.7M	239.9M	239.9M	80.1M
Net DEX	1.49B	-514.3M	3.53B	-206.6M	1.38B
Net VEX	-28.5M	-30.0M	-27.3M	-29.5M	-28.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.13	2.63	0.57	0.63
Total Volume	315,215.429	47,287	1,109,827	257,392	237,174
Total OI	7,385,999.571	5,694,676	8,651,173	8,179,425	6,283,932

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
2022-12-01	$39.44	$39.00	21.1%	7.3%	27.1%	24.7%	25.2%	3.0%	-0.6%	239.9M	-206.6M	-29.5M	0.57	82.86	164,336	93,056	4,249,821	3,929,604
2022-12-02	$39.58	$39.00	22.2%	7.5%	27.2%	30.0%	24.5%	2.1%	-0.1%	209.4M	-514.3M	-30.0M	0.22	71.58	302,179	65,477	4,231,429	3,966,220
2022-12-05	$39.05	$40.00	21.6%	6.2%	25.3%	27.3%	21.5%	2.1%	0.6%	203.7M	863.2M	-29.5M	0.97	28.41	134,245	130,286	4,530,984	3,935,715
2022-12-06	$39.03	$40.00	22.3%	6.4%	25.3%	30.3%	23.5%	1.6%	0.7%	193.9M	988.9M	-29.1M	0.87	11.98	78,964	69,088	4,418,529	3,952,321
2022-12-07	$38.86	$40.00	22.1%	6.5%	25.4%	29.6%	22.5%	2.3%	1.0%	181.6M	1.50B	-28.9M	0.72	6.23	149,673	108,183	4,458,383	3,995,656
2022-12-08	$39.20	$40.00	21.2%	6.2%	24.0%	25.2%	21.8%	0.6%	0.1%	217.6M	753.5M	-28.4M	0.83	8.19	66,950	55,369	4,485,100	4,063,482
2022-12-09	$39.11	$40.00	21.6%	6.2%	21.0%	27.3%	21.7%	0.2%	0.7%	197.3M	1.25B	-28.5M	0.76	5.71	280,049	213,058	4,533,139	4,118,034
2022-12-12	$38.86	$40.00	22.5%	6.4%	19.2%	31.5%	19.8%	1.1%	-0.4%	170.1M	2.00B	-27.5M	0.13	6.41	982,713	127,114	4,513,719	4,134,892
2022-12-13	$38.64	$40.00	21.8%	6.2%	19.3%	26.3%	20.7%	2.7%	0.0%	80.9M	3.53B	-28.2M	0.81	7.81	200,779	162,362	4,333,826	4,206,998
2022-12-14	$38.59	$40.00	21.1%	6.0%	17.8%	23.0%	21.6%	2.9%	-0.5%	94.8M	2.23B	-28.1M	0.52	20.64	316,093	165,410	4,428,200	3,846,173
2022-12-15	$37.77	$40.00	21.3%	6.0%	18.4%	23.8%	21.1%	2.5%	-0.9%	-115.9M	3.48B	-28.1M	1.32	4.07	181,576	238,947	4,576,067	3,887,355
2022-12-16	$37.91	$40.00	20.3%	5.8%	18.5%	19.1%	20.6%	2.7%	0.1%	-154.7M	3.15B	-28.5M	2.63	5.30	140,987	370,849	4,675,623	3,901,419
2022-12-19	$37.84	$39.50	20.1%	5.7%	18.4%	18.1%	20.5%	2.5%	1.0%	75.0M	1.69B	-27.7M	0.94	4.54	58,485	54,774	3,161,401	2,536,173
2022-12-20	$37.86	$39.50	20.5%	5.9%	17.6%	20.2%	21.6%	3.0%	0.7%	72.8M	1.64B	-27.3M	1.12	2.34	93,787	105,151	3,164,255	2,530,421
2022-12-21	$38.16	$39.50	19.6%	5.6%	17.8%	15.9%	19.4%	3.0%	0.3%	94.0M	1.16B	-28.2M	1.46	32.20	231,499	338,946	3,235,611	2,611,642
2022-12-22	$37.78	$39.50	20.5%	5.9%	18.0%	20.3%	21.1%	2.8%	0.3%	62.5M	1.66B	-28.3M	1.21	3.17	46,597	56,232	3,292,611	2,657,883
2022-12-23	$37.75	$39.50	20.6%	6.0%	17.9%	20.6%	21.3%	2.6%	-0.5%	48.8M	1.77B	-28.1M	0.88	36.82	25,114	22,173	3,309,023	2,696,784
2022-12-27	$38.41	$39.50	21.1%	6.1%	18.8%	22.7%	22.1%	3.3%	0.7%	108.5M	814.8M	-28.2M	0.68	3.54	94,759	64,102	3,297,230	2,694,144
2022-12-28	$37.80	$39.50	21.1%	6.2%	18.3%	23.1%	22.4%	3.1%	0.9%	56.4M	1.63B	-27.5M	1.81	27.45	91,770	166,426	3,384,001	2,693,123
2022-12-29	$38.45	$39.00	20.5%	6.0%	15.6%	20.0%	20.9%	3.2%	1.9%	129.5M	568.6M	-29.5M	0.43	25.86	93,962	40,830	3,453,587	2,731,481
2022-12-30	$37.91	$39.00	21.4%	6.1%	16.2%	24.7%	22.8%	2.8%	1.0%	80.1M	1.38B	-28.6M	0.63	20.54	145,864	91,310	3,527,799	2,756,133