EEM Options History — January 2023

In January 2023, EEM traded between $38.23 and $42.47. ATM implied volatility averaged 19.2%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.1% (HV 20d: 18.1%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.74.

Notable Days

2023-01-11: Highest Volume — 957,381 contracts
2023-01-30: Largest IV spike — 15.1% change
2023-01-03: Highest IV Rank — 29.9%
2023-01-03: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.97	$38.23	$42.47	$38.23	$41.28
Max Pain	$38.80	$38.00	$39.00	$39.00	$39.00
ATM IV	19.2%	16.4%	22.5%	22.5%	18.5%
Expected Move	5.6%	4.9%	6.4%	6.4%	5.6%
HV 20d	18.1%	15.2%	20.0%	16.5%	16.0%
HV 60d	22.4%	20.6%	24.0%	23.9%	20.9%
IV Rank	13.9%	0.1%	29.9%	29.9%	10.3%
IV Percentile	14.8%	0.4%	48.0%	48.0%	7.9%
Term Structure	0.2%	-0.5%	1.1%	0.1%	0.1%
VWIV	19.4%	17.3%	22.3%	21.7%	19.8%
Skew 25d	2.7%	2.2%	3.5%	2.9%	3.5%
Skew 10d	5.2%	3.6%	7.0%	5.4%	7.0%
Call IV 25d	18.3%	15.5%	21.8%	21.3%	17.3%
Put IV 25d	21.0%	18.5%	24.1%	24.1%	20.8%
Bid-Ask Spread %	25.38	2.16	57.89	2.55	2.53
Gamma HHI	0.12	0.09	0.15	0.09	0.12
Net GEX	415.7M	126.4M	565.8M	126.4M	341.9M
Net DEX	-4.08B	-6.85B	784.3M	784.3M	-3.20B
Net VEX	-33.4M	-34.9M	-28.6M	-28.6M	-34.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.09	2.04	0.43	0.20
Total Volume	435,927.45	155,661	957,381	155,661	435,553
Total OI	6,745,455.85	5,591,021	7,970,749	6,160,164	6,230,134

Daily Data (20 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
2023-01-03	$38.23	$39.00	22.5%	6.4%	16.5%	29.9%	21.7%	2.9%	0.1%	126.4M	784.3M	-28.6M	0.43	2.55	109,019	46,642	3,407,272	2,752,892
2023-01-04	$39.30	$39.00	22.4%	6.3%	18.9%	29.4%	22.3%	2.3%	-0.1%	226.8M	-1.34B	-30.4M	0.46	12.33	467,585	217,287	3,473,490	2,752,866
2023-01-05	$39.28	$39.00	22.0%	6.4%	18.9%	27.3%	21.6%	2.4%	-0.2%	281.3M	-1.50B	-32.2M	1.27	2.67	69,547	88,565	3,783,599	2,789,314
2023-01-06	$40.06	$39.00	21.0%	6.2%	20.0%	22.5%	21.2%	2.4%	0.6%	375.3M	-3.15B	-33.1M	0.52	54.06	391,843	205,125	3,841,072	2,814,293
2023-01-09	$40.41	$39.00	21.2%	6.3%	20.0%	23.6%	21.8%	2.3%	0.9%	429.5M	-4.05B	-34.9M	0.43	57.89	465,077	202,092	4,123,251	2,890,974
2023-01-10	$40.64	$39.00	20.4%	5.8%	20.0%	19.9%	21.3%	2.4%	-0.2%	389.1M	-3.96B	-33.3M	0.46	48.11	274,788	125,946	3,893,432	2,931,207
2023-01-11	$40.78	$38.00	20.3%	6.0%	19.8%	19.3%	20.4%	2.2%	0.6%	388.7M	-4.35B	-34.2M	1.27	3.47	422,545	534,836	3,963,399	3,011,907
2023-01-12	$40.97	$38.00	18.6%	5.4%	19.5%	10.9%	18.7%	2.2%	0.3%	466.7M	-5.02B	-33.6M	0.23	53.17	724,297	166,613	4,222,364	3,229,515
2023-01-13	$41.31	$38.00	17.0%	5.0%	19.6%	3.1%	17.5%	2.3%	1.0%	550.0M	-5.90B	-34.4M	0.99	2.44	172,834	171,700	4,563,268	3,246,705
2023-01-17	$41.06	$38.00	18.3%	5.2%	17.6%	9.0%	17.9%	2.5%	0.2%	543.8M	-5.34B	-33.3M	1.31	51.20	81,946	107,114	4,527,469	3,143,694
2023-01-18	$40.83	$39.00	19.1%	5.5%	18.0%	12.9%	19.4%	2.7%	1.1%	513.5M	-4.66B	-33.8M	2.04	51.46	199,381	406,353	4,563,480	3,161,530
2023-01-19	$41.14	$39.00	18.7%	5.4%	17.9%	11.4%	18.3%	2.5%	-0.5%	565.8M	-5.53B	-33.4M	0.79	2.87	123,670	98,245	4,631,407	3,227,756
2023-01-20	$41.66	$39.00	18.1%	5.2%	18.1%	8.1%	17.8%	3.2%	-0.5%	441.4M	-6.85B	-34.0M	0.91	2.16	204,424	186,982	4,671,106	3,299,643
2023-01-23	$42.00	$39.00	18.4%	5.4%	18.1%	9.6%	18.2%	2.9%	-0.2%	431.9M	-4.37B	-33.6M	0.09	54.14	550,839	51,301	3,251,707	2,339,314
2023-01-24	$42.00	$39.00	17.9%	5.2%	17.3%	7.2%	18.5%	3.1%	-0.2%	442.3M	-4.32B	-32.9M	1.55	51.13	92,898	144,054	3,311,791	2,368,329
2023-01-25	$42.08	$39.00	17.6%	5.2%	17.2%	5.8%	17.9%	2.9%	0.2%	445.9M	-4.51B	-34.1M	0.56	43.72	231,523	129,873	3,416,678	2,510,499
2023-01-26	$42.47	$39.00	17.4%	5.1%	16.7%	4.9%	17.3%	3.0%	-0.2%	506.0M	-5.59B	-34.1M	0.47	6.42	148,922	70,231	3,547,322	2,557,591
2023-01-27	$42.31	$39.00	16.4%	4.9%	15.2%	0.1%	17.8%	3.0%	0.6%	472.2M	-5.33B	-34.8M	0.38	3.02	174,899	66,351	3,602,454	2,607,533
2023-01-30	$41.50	$39.00	18.9%	5.6%	16.9%	12.0%	19.0%	3.3%	0.2%	375.6M	-3.50B	-34.9M	0.44	2.31	248,525	109,124	3,603,474	2,645,386
2023-01-31	$41.28	$39.00	18.5%	5.6%	16.0%	10.3%	19.8%	3.5%	0.1%	341.9M	-3.20B	-34.1M	0.20	2.53	363,247	72,306	3,570,081	2,660,053