EEM Options History — February 2023 In February 2023, EEM traded between $38.25 and $41.97. ATM implied volatility averaged 18.7%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.0% (HV 20d: 15.7%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.21.
Notable Days 2023-02-15 : Highest Volume — 478,389 contracts2023-02-21 : Largest IV spike — 12.5% change2023-02-21 : Highest IV Rank — 20.7%2023-02-24 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $39.96 $38.25 $41.97 $41.97 $38.28 Max Pain $38.89 $38.00 $39.00 $39.00 $39.00 ATM IV 18.7% 17.6% 20.7% 17.8% 18.3% Expected Move 5.4% 5.0% 5.8% 5.2% 5.3% HV 20d 15.7% 14.9% 16.7% 16.5% 15.8% HV 60d 18.4% 16.7% 21.1% 21.1% 16.7% IV Rank 11.2% 5.8% 20.7% 6.8% 9.3% IV Percentile 11.5% 4.8% 29.0% 5.2% 8.3% Term Structure 0.4% -0.2% 0.9% 0.3% -0.2% VWIV 19.0% 16.8% 21.9% 19.6% 20.0% Skew 25d 3.7% 2.4% 4.8% 3.6% 3.8% Skew 10d 6.8% 4.1% 8.9% 6.8% 6.7% Call IV 25d 17.2% 16.2% 18.6% 16.2% 16.9% Put IV 25d 20.9% 19.2% 23.3% 19.8% 20.6% Bid-Ask Spread % 8.81 2.05 49.83 10.07 3.40 Gamma HHI 0.11 0.08 0.22 0.15 0.10 Net GEX 145.8M -116.0M 474.0M 474.0M -116.0M Net DEX -636.7M -4.73B 2.54B -4.73B 2.39B Net VEX -34.7M -36.7M -28.4M -36.2M -32.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.21 0.26 2.81 0.53 0.48 Total Volume 247,234.474 95,213 478,389 273,398 258,036 Total OI 6,858,961.947 6,453,813 7,413,522 6,513,095 6,956,399
Daily Data (19 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 2023-02-01 $41.97 $39.00 17.8% 5.2% 16.5% 6.8% 19.6% 3.6% 0.3% 474.0M -4.73B -36.2M 0.53 10.07 178,560 94,838 3,831,456 2,681,639 2023-02-02 $41.53 $38.00 18.0% 5.0% 14.9% 8.0% 17.5% 3.6% 0.3% 400.7M -3.72B -35.8M 0.26 9.85 102,432 26,453 3,857,526 2,737,891 2023-02-03 $40.83 $38.00 18.2% 5.3% 16.5% 8.8% 19.4% 3.8% 0.5% 294.7M -2.39B -36.2M 0.86 49.83 122,899 105,240 3,943,624 2,752,549 2023-02-06 $40.30 $39.00 19.0% 5.6% 15.9% 12.5% 19.2% 4.0% 0.6% 206.4M -1.26B -34.5M 0.28 2.44 343,613 96,304 3,877,181 2,808,195 2023-02-07 $40.45 $39.00 18.4% 5.5% 15.7% 9.6% 20.6% 3.6% 0.6% 195.9M -1.55B -34.9M 0.51 3.24 129,773 66,120 3,725,684 2,869,806 2023-02-08 $40.36 $39.00 18.4% 5.4% 15.5% 9.7% 18.3% 3.5% 0.5% 207.4M -1.47B -34.7M 2.73 3.03 126,645 346,286 3,780,071 2,879,927 2023-02-09 $40.52 $39.00 18.8% 5.4% 15.5% 11.4% 19.2% 3.6% 0.1% 208.7M -1.54B -35.7M 0.60 2.22 117,797 70,505 3,790,123 3,036,365 2023-02-10 $40.17 $39.00 19.1% 5.7% 15.7% 13.3% 20.2% 3.4% 0.9% 183.6M -1.21B -36.6M 1.72 2.05 42,399 72,732 3,882,771 3,105,746 2023-02-13 $40.55 $39.00 19.3% 5.5% 15.8% 14.0% 21.9% 3.9% 0.9% 211.2M -1.70B -36.7M 1.52 6.15 52,465 79,856 3,874,391 3,130,716 2023-02-14 $40.47 $39.00 18.4% 5.3% 15.7% 9.6% 16.8% 3.5% 0.2% 204.4M -1.54B -35.7M 1.88 20.76 101,238 190,015 3,899,116 3,170,127 2023-02-15 $40.05 $39.00 17.6% 5.0% 16.0% 5.8% 17.0% 2.4% 0.6% 163.3M -761.1M -34.9M 0.66 2.51 288,418 189,971 3,918,855 3,319,747 2023-02-16 $40.11 $39.00 17.9% 5.1% 15.7% 7.4% 17.6% 3.0% 0.8% 188.6M -783.6M -35.6M 0.42 2.66 157,078 65,856 3,930,699 3,364,029 2023-02-17 $39.66 $39.00 18.4% 5.2% 15.2% 9.6% 18.5% 4.0% 0.6% 205.9M 404.7M -28.4M 0.83 2.80 71,208 59,016 4,021,609 3,391,913 2023-02-21 $39.25 $39.00 20.7% 5.7% 14.9% 20.7% 20.1% 4.8% -0.2% -4.6M 874.5M -34.6M 0.62 27.10 176,639 109,943 3,404,937 3,048,876 2023-02-22 $38.91 $39.00 19.7% 5.6% 14.9% 15.7% 19.2% 4.0% 0.2% -35.4M 1.38B -34.2M 1.96 9.12 96,396 188,459 3,546,772 3,115,699 2023-02-23 $39.20 $39.00 18.4% 5.0% 15.3% 9.9% 16.8% 3.8% -0.1% -25.0M 912.7M -34.8M 2.81 2.72 78,951 221,786 3,597,488 3,154,536 2023-02-24 $38.25 $39.00 20.3% 5.8% 16.3% 19.0% 20.3% 4.4% 0.2% -101.0M 2.54B -33.9M 1.71 2.35 64,432 109,883 3,614,927 3,319,785 2023-02-27 $38.47 $39.00 18.8% 5.2% 16.7% 11.5% 19.0% 3.8% 0.0% -93.3M 2.05B -33.4M 2.54 5.19 26,876 68,337 3,640,943 3,338,159 2023-02-28 $38.28 $39.00 18.3% 5.3% 15.8% 9.3% 20.0% 3.8% -0.2% -116.0M 2.39B -32.2M 0.48 3.40 174,622 83,414 3,639,277 3,317,122
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