EEM Options History — May 2023 In May 2023, EEM traded between $38.22 and $39.41. ATM implied volatility averaged 16.0%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.0% (HV 20d: 14.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.63.
Notable Days 2023-05-09 : Highest Volume — 342,990 contracts2023-05-23 : Largest IV spike — 12.4% change2023-05-25 : Highest IV Rank — 18.6%2023-05-24 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $38.89 $38.22 $39.41 $39.00 $38.22 Max Pain $39.32 $35.00 $40.00 $35.00 $40.00 ATM IV 16.0% 14.5% 17.4% 14.8% 17.0% Expected Move 4.7% 4.2% 5.3% 4.2% 5.0% HV 20d 14.0% 12.4% 15.2% 12.8% 15.1% HV 60d 15.0% 14.2% 15.6% 15.3% 14.7% IV Rank 9.7% 0.2% 18.6% 2.0% 15.9% IV Percentile 6.1% 0.4% 16.7% 0.4% 13.5% Term Structure 0.2% -1.2% 1.9% 0.4% 0.2% VWIV 16.6% 13.7% 19.4% 14.6% 18.7% Skew 25d 4.3% 3.6% 5.3% 3.7% 4.3% Skew 10d 8.0% 5.8% 9.7% 6.4% 7.8% Call IV 25d 14.2% 13.1% 16.0% 13.1% 15.0% Put IV 25d 18.5% 16.6% 20.8% 16.8% 19.3% Bid-Ask Spread % 35.77 3.10 70.29 3.46 59.13 Gamma HHI 0.11 0.10 0.14 0.11 0.13 Net GEX -77.2M -188.8M 12.3M -41.0M -188.8M Net DEX 1.15B 94.5M 2.80B 642.1M 2.80B Net VEX -27.5M -28.9M -25.8M -28.0M -27.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.63 0.29 4.35 1.12 1.89 Total Volume 173,178.409 42,176 342,990 56,185 195,224 Total OI 6,516,574.409 5,954,992 7,184,730 6,252,116 6,316,342
Daily Data (22 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 2023-05-01 $39.00 $35.00 14.8% 4.2% 12.8% 2.0% 14.6% 3.7% 0.4% -41.0M 642.1M -28.0M 1.12 3.46 26,443 29,742 3,102,018 3,150,098 2023-05-02 $38.61 $35.00 16.1% 4.6% 13.1% 10.2% 15.2% 4.0% 1.9% -90.5M 1.18B -27.4M 2.43 60.63 55,041 133,546 3,121,369 3,166,853 2023-05-03 $38.58 $35.00 16.4% 4.7% 13.1% 12.2% 15.3% 4.0% 1.0% -106.1M 1.27B -28.2M 1.33 11.42 37,216 49,427 3,140,220 3,253,072 2023-05-04 $38.88 $40.00 16.6% 5.0% 13.2% 13.4% 18.8% 4.0% 0.8% -58.2M 786.9M -28.9M 4.35 64.36 24,973 108,643 3,162,120 3,292,252 2023-05-05 $39.39 $40.00 14.8% 4.8% 14.0% 1.7% 15.6% 3.6% 1.8% 8.8M 128.9M -28.6M 0.29 5.53 32,573 9,603 3,174,171 3,377,006 2023-05-08 $39.41 $40.00 15.5% 4.7% 14.0% 6.3% 16.2% 4.3% 1.2% 12.3M 94.5M -28.0M 1.69 70.29 22,544 38,196 3,176,033 3,360,707 2023-05-09 $39.16 $40.00 16.6% 4.8% 13.9% 13.5% 17.2% 4.4% -0.2% -34.4M 434.2M -28.2M 0.97 6.09 174,247 168,743 3,201,419 3,385,180 2023-05-10 $39.17 $40.00 16.4% 4.5% 13.6% 12.1% 14.5% 4.9% -0.4% -28.9M 458.7M -27.8M 0.94 30.08 84,115 78,843 3,202,358 3,402,287 2023-05-11 $38.97 $40.00 15.8% 4.5% 12.4% 8.4% 17.9% 4.4% -0.3% -66.3M 777.7M -27.8M 1.45 12.44 115,655 168,054 3,269,096 3,463,370 2023-05-12 $38.53 $40.00 16.1% 4.4% 12.8% 10.6% 16.1% 4.8% -0.7% -175.1M 1.43B -27.4M 1.00 66.03 88,714 89,041 3,308,655 3,530,120 2023-05-15 $39.27 $40.00 15.9% 4.6% 14.7% 9.1% 13.7% 3.8% -1.2% 3.2M 189.2M -27.2M 1.01 9.17 113,925 114,612 3,308,357 3,513,985 2023-05-16 $39.00 $40.00 16.4% 4.7% 14.8% 12.6% 17.3% 5.3% -0.4% -57.6M 534.1M -27.4M 1.14 69.42 79,533 90,371 3,354,894 3,528,668 2023-05-17 $39.14 $40.00 15.9% 4.6% 14.5% 9.3% 14.9% 4.4% -0.4% -36.8M 569.0M -27.1M 1.00 38.76 94,067 94,179 3,394,057 3,592,508 2023-05-18 $38.97 $40.00 14.9% 4.3% 14.6% 2.8% 18.6% 3.9% -0.3% -83.5M 916.5M -26.4M 1.52 67.48 95,844 145,599 3,413,660 3,600,768 2023-05-19 $38.95 $40.00 14.5% 4.2% 14.2% 0.2% 14.9% 3.9% -0.3% -38.4M 1.07B -26.2M 1.31 3.10 110,380 144,773 3,475,710 3,709,020 2023-05-22 $39.30 $40.00 14.6% 4.3% 14.6% 0.5% 14.0% 3.9% -0.0% -48.6M 1.14B -26.1M 3.55 63.98 19,573 69,517 2,639,051 3,315,941 2023-05-23 $38.70 $40.00 16.4% 4.8% 14.2% 12.2% 17.2% 4.4% 0.0% -127.4M 1.93B -25.8M 1.82 33.57 104,801 190,866 2,641,201 3,335,839 2023-05-24 $38.42 $40.00 17.3% 5.3% 14.3% 18.4% 19.4% 4.7% 0.4% -145.4M 2.41B -27.5M 1.07 48.43 107,256 115,295 2,702,565 3,432,777 2023-05-25 $38.36 $40.00 17.4% 5.0% 13.4% 18.6% 19.0% 5.0% 0.1% -165.8M 2.51B -28.3M 1.53 16.33 67,120 102,970 2,739,551 3,506,746 2023-05-26 $39.00 $40.00 16.0% 4.7% 14.7% 9.4% 16.2% 4.0% 0.1% -86.2M 1.63B -28.4M 1.50 37.81 33,647 50,324 2,758,903 3,528,470 2023-05-30 $38.55 $40.00 16.8% 5.0% 15.2% 14.9% 19.3% 4.3% 0.1% -142.9M 2.30B -27.8M 2.84 9.37 35,068 99,622 2,761,018 3,556,202 2023-05-31 $38.22 $40.00 17.0% 5.0% 15.1% 15.9% 18.7% 4.3% 0.2% -188.8M 2.80B -27.1M 1.89 59.13 67,484 127,740 2,752,935 3,563,407
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