EEM Options History — March 2023 In March 2023, EEM traded between $37.19 and $39.53. ATM implied volatility averaged 19.4%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.7% (HV 20d: 17.7%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.27.
Notable Days 2023-03-15 : Highest Volume — 451,189 contracts2023-03-09 : Largest IV spike — 19.7% change2023-03-15 : Highest IV Rank — 33.8%2023-03-15 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $38.53 $37.19 $39.53 $39.06 $39.36 Max Pain $38.76 $38.00 $40.00 $38.50 $38.00 ATM IV 19.4% 17.0% 23.4% 18.8% 17.0% Expected Move 5.6% 4.9% 6.6% 5.4% 4.9% HV 20d 17.7% 16.0% 19.4% 18.0% 16.5% HV 60d 17.6% 16.2% 18.1% 17.2% 16.2% IV Rank 17.5% 4.7% 33.8% 11.8% 4.7% IV Percentile 20.5% 1.6% 61.9% 13.9% 1.6% Term Structure 0.1% -0.9% 0.9% -0.2% 0.9% VWIV 19.7% 16.6% 23.4% 18.7% 16.6% Skew 25d 3.6% 2.5% 5.9% 3.1% 2.8% Skew 10d 7.0% 4.6% 13.1% 5.4% 5.0% Call IV 25d 18.0% 15.8% 21.2% 17.6% 15.8% Put IV 25d 21.6% 18.6% 26.5% 20.7% 18.6% Bid-Ask Spread % 32.54 2.25 73.71 39.52 4.60 Gamma HHI 0.09 0.07 0.13 0.08 0.09 Net GEX -57.7M -242.9M 126.8M -21.4M 114.5M Net DEX 1.58B -760.1M 4.39B 838.0M -611.9M Net VEX -32.5M -35.2M -26.5M -34.4M -26.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.27 0.16 2.89 2.34 1.06 Total Volume 243,287.13 102,089 451,189 422,838 155,315 Total OI 6,782,911.739 5,741,193 7,437,293 6,939,100 6,656,004
Daily Data (23 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 2023-03-01 $39.06 $38.50 18.8% 5.4% 18.0% 11.8% 18.7% 3.1% -0.2% -21.4M 838.0M -34.4M 2.34 39.52 126,608 296,230 3,627,261 3,311,839 2023-03-02 $39.25 $38.50 19.4% 5.5% 16.8% 14.6% 19.3% 3.1% -0.4% 6.0M 465.2M -35.1M 0.83 2.64 64,786 53,949 3,699,353 3,396,719 2023-03-03 $39.53 $38.50 17.8% 5.2% 16.9% 6.6% 18.5% 2.6% -0.5% 126.8M -60.5M -35.2M 2.89 2.25 46,257 133,882 3,705,222 3,421,332 2023-03-06 $39.41 $40.00 18.0% 5.4% 16.0% 7.7% 18.4% 2.5% 0.2% 15.2M 189.5M -34.1M 0.36 62.30 74,801 27,288 3,699,303 3,425,529 2023-03-07 $38.78 $40.00 17.7% 5.3% 16.3% 6.1% 19.5% 2.9% 0.2% -82.7M 1.45B -33.0M 1.27 61.46 108,532 137,721 3,686,947 3,439,932 2023-03-08 $38.89 $40.00 18.1% 5.2% 16.3% 8.2% 19.4% 2.8% -0.3% -75.4M 1.34B -33.2M 1.90 63.20 107,427 204,150 3,675,325 3,470,744 2023-03-09 $38.00 $40.00 21.6% 6.1% 18.0% 25.3% 20.4% 3.2% -0.4% -139.1M 2.77B -33.7M 0.86 73.71 90,263 77,908 3,679,122 3,492,220 2023-03-10 $37.84 $40.00 21.8% 6.2% 17.8% 26.1% 21.7% 3.7% -0.1% -163.1M 3.20B -32.8M 1.27 42.66 120,505 152,909 3,719,976 3,503,583 2023-03-13 $38.00 $40.00 21.8% 6.4% 17.9% 25.9% 23.4% 4.4% 0.4% -167.7M 2.99B -32.6M 2.58 65.39 71,541 184,574 3,716,908 3,541,287 2023-03-14 $37.84 $40.00 20.4% 5.9% 17.3% 19.2% 21.7% 4.3% 0.2% -198.3M 3.30B -30.7M 1.53 61.86 123,805 189,072 3,720,085 3,507,259 2023-03-15 $37.19 $39.00 23.4% 6.6% 17.9% 33.8% 22.5% 5.9% -0.5% -242.9M 4.39B -30.5M 2.81 56.72 118,405 332,784 3,737,853 3,565,518 2023-03-16 $37.81 $39.00 19.0% 5.5% 19.2% 15.4% 20.4% 4.2% 0.3% -201.0M 3.23B -30.6M 1.93 58.17 114,799 221,812 3,806,606 3,491,037 2023-03-17 $37.61 $38.00 20.3% 5.7% 19.2% 28.5% 20.1% 4.8% -0.9% -183.4M 3.50B -31.5M 1.98 4.45 67,217 133,329 3,890,083 3,547,210 2023-03-20 $37.72 $38.00 20.3% 5.8% 19.0% 28.9% 18.8% 4.5% 0.2% -124.2M 2.72B -31.0M 0.64 3.20 122,961 79,291 2,875,563 2,865,630 2023-03-21 $38.11 $38.00 19.1% 5.5% 19.3% 19.6% 19.6% 3.5% 0.5% -67.5M 2.06B -31.5M 0.60 12.71 122,144 73,505 3,017,332 2,821,000 2023-03-22 $38.41 $38.00 18.2% 5.2% 19.4% 13.0% 20.8% 3.4% 0.7% -26.1M 1.40B -32.9M 0.71 14.22 157,790 111,683 3,146,801 2,873,551 2023-03-23 $38.73 $38.00 20.3% 5.8% 19.4% 28.9% 19.7% 3.7% 0.3% 13.8M 778.9M -33.9M 0.50 5.38 248,432 124,756 3,257,711 2,963,957 2023-03-24 $38.64 $38.00 19.4% 5.6% 17.3% 22.1% 20.4% 3.8% 0.2% -25.4M 1.12B -33.1M 1.15 7.33 83,126 95,334 3,293,656 3,038,328 2023-03-27 $38.45 $38.00 18.7% 5.4% 17.3% 17.0% 20.5% 3.9% 0.6% -45.7M 1.45B -31.9M 0.84 55.54 66,955 56,046 3,298,898 3,026,578 2023-03-28 $38.94 $38.00 18.5% 5.3% 17.7% 15.7% 18.3% 3.8% 0.6% 10.5M 548.0M -32.5M 0.30 3.14 236,655 70,911 3,326,280 3,060,352 2023-03-29 $39.11 $38.00 18.0% 5.3% 16.3% 11.7% 17.9% 3.3% 0.5% 47.2M 99.4M -33.3M 0.63 41.32 131,528 83,059 3,373,942 3,100,315 2023-03-30 $39.52 $38.00 17.9% 5.1% 16.6% 10.8% 17.5% 2.8% 0.5% 103.4M -760.1M -33.6M 0.16 6.67 168,133 27,426 3,377,456 3,155,363 2023-03-31 $39.36 $38.00 17.0% 4.9% 16.5% 4.7% 16.6% 2.8% 0.9% 114.5M -611.9M -26.5M 1.06 4.60 75,403 79,912 3,497,123 3,158,881
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