EEM Options History — June 2023

In June 2023, EEM traded between $38.84 and $41.00. ATM implied volatility averaged 14.2%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 2.6% (HV 20d: 16.7%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2023-06-07: Highest Volume — 623,182 contracts
  • 2023-06-20: Largest IV spike — 10.4% change
  • 2023-06-20: Highest IV Rank — 17.2%
  • 2023-06-20: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.80$38.84$41.00$38.84$39.59
Max Pain$37.43$37.00$40.00$40.00$37.00
ATM IV14.2%12.5%15.5%14.9%13.7%
Expected Move4.1%3.7%4.5%4.3%4.0%
HV 20d16.7%15.4%17.7%16.2%15.4%
HV 60d14.5%13.9%15.3%14.8%14.8%
IV Rank7.1%0.0%17.2%2.5%6.3%
IV Percentile3.3%0.0%10.3%2.4%2.4%
Term Structure0.3%-0.3%0.9%0.3%0.2%
VWIV14.5%13.0%18.0%15.6%13.0%
Skew 25d2.2%1.5%3.5%3.5%2.2%
Skew 10d4.8%3.5%6.2%6.2%4.4%
Call IV 25d13.4%12.0%15.0%13.7%12.8%
Put IV 25d15.6%13.9%17.2%17.2%15.0%
Bid-Ask Spread %30.163.0374.7626.383.03
Gamma HHI0.110.080.190.120.09
Net GEX48.2M-117.0M258.6M-117.0M29.8M
Net DEX-414.8M-2.91B1.94B1.88B-855.7M
Net VEX-28.8M-31.1M-27.1M-27.3M-30.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.254.881.103.67
Total Volume305,749.19119,751623,182128,021324,029
Total OI6,155,753.195,345,6677,007,7356,378,1486,039,053

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$38.84$40.0014.9%4.3%16.2%2.5%15.6%3.5%0.3%-117.0M1.88B-27.3M1.1026.3860,99567,0262,793,4863,584,662
2023-06-02$39.59$40.0014.8%4.3%17.4%2.3%15.1%1.7%-0.3%18.0M767.0M-27.9M0.7653.16162,511122,9972,813,1183,592,869
2023-06-05$39.53$38.0013.8%4.0%16.8%0.0%14.8%2.6%0.9%20.8M1.69B-27.3M1.1827.4354,85364,8982,682,3443,400,428
2023-06-06$39.89$38.0014.3%4.1%17.1%2.7%14.4%1.5%0.2%52.1M1.25B-27.9M0.2562.48331,60282,1652,713,5293,424,940
2023-06-07$39.41$38.0013.6%4.3%17.5%0.0%18.0%2.1%0.6%-23.2M1.94B-27.3M1.503.59248,934374,2482,669,4573,470,883
2023-06-08$39.70$37.0013.5%3.7%17.7%0.0%17.0%2.1%0.4%57.0M48.8M-27.9M2.0250.51106,061214,5282,910,3183,456,623
2023-06-09$39.86$37.0012.5%3.7%17.6%0.0%13.1%1.9%0.2%141.0M-555.7M-27.9M2.133.5266,621141,7512,998,6883,520,619
2023-06-12$39.95$37.0013.3%3.9%16.9%4.2%13.3%2.5%0.1%98.6M-908.9M-27.1M3.1962.9870,354224,1423,007,5473,524,247
2023-06-13$40.31$37.0013.1%4.0%15.9%3.3%13.0%2.4%0.9%164.6M-1.63B-27.4M1.238.44169,667208,6443,043,4503,610,598
2023-06-14$40.63$37.0013.5%3.9%15.8%5.6%13.1%1.9%-0.1%196.1M-2.21B-28.4M2.2974.76172,898395,5493,098,6613,644,602
2023-06-15$41.00$37.0014.2%4.1%16.0%9.5%14.2%2.2%0.0%258.6M-2.91B-27.4M1.573.92163,797257,7133,155,6193,694,697
2023-06-16$40.88$37.0014.1%4.1%15.9%8.8%14.1%1.9%0.3%226.9M-2.60B-29.2M0.7367.87205,264149,6803,216,0073,791,728
2023-06-20$40.08$37.0015.5%4.5%17.7%17.2%15.3%1.9%0.5%44.4M-1.27B-29.4M1.4915.66162,185241,1722,315,0523,030,615
2023-06-21$39.89$37.0014.5%4.2%17.6%11.1%14.7%2.4%0.2%10.4M-1.08B-29.5M4.8851.5735,804174,8242,373,4953,148,058
2023-06-22$39.73$37.0014.4%4.1%16.7%10.9%14.1%2.4%0.5%-20.9M-587.6M-30.0M1.5351.3282,893127,0992,378,4163,191,526
2023-06-23$39.16$37.0014.9%4.3%17.3%13.6%15.3%2.2%0.2%-64.9M69.8M-30.3M2.8146.9153,279149,6142,438,7763,235,878
2023-06-26$39.34$37.0014.7%4.1%17.4%12.3%13.9%2.3%0.5%-45.9M-317.4M-30.1M2.114.1349,530104,6792,442,6003,254,048
2023-06-27$39.70$37.0014.9%4.2%16.7%13.5%14.2%2.5%0.2%14.0M-882.5M-30.5M2.444.7445,669111,2352,513,0623,270,333
2023-06-28$39.47$37.0014.4%4.2%16.2%10.4%13.9%2.5%0.6%-8.6M-529.7M-31.0M4.623.7660,044277,2142,568,0883,306,070
2023-06-29$39.22$37.0015.0%4.3%16.1%14.2%14.7%2.3%0.3%-39.2M-36.3M-31.1M2.827.1279,649224,9162,614,0743,332,553
2023-06-30$39.59$37.0013.7%4.0%15.4%6.3%13.0%2.2%0.2%29.8M-855.7M-30.2M3.673.0369,337254,6922,681,1213,357,932