EEM Options History — July 2023

In July 2023, EEM traded between $38.91 and $41.97. ATM implied volatility averaged 16.3%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.8% (HV 20d: 17.1%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.94.

Notable Days

  • 2023-07-12: Highest Volume — 827,452 contracts
  • 2023-07-06: Largest IV spike — 7.7% change
  • 2023-07-20: Highest IV Rank — 25.9%
  • 2023-07-20: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.59$38.91$41.97$40.00$41.97
Max Pain$37.40$36.00$39.00$37.00$37.00
ATM IV16.3%14.2%17.1%14.2%17.0%
Expected Move4.7%4.0%4.9%4.0%4.9%
HV 20d17.1%14.3%19.0%14.3%18.9%
HV 60d15.9%14.8%16.7%14.8%16.7%
IV Rank21.5%9.3%25.9%9.3%25.6%
IV Percentile20.2%3.6%28.6%3.6%28.6%
Term Structure0.1%-0.7%0.8%-0.3%-0.3%
VWIV17.2%15.2%22.2%15.3%17.5%
Skew 25d2.0%1.4%2.9%1.7%1.9%
Skew 10d3.7%-1.9%6.2%4.1%4.7%
Call IV 25d15.7%13.6%16.8%13.6%16.5%
Put IV 25d17.7%15.3%19.1%15.3%18.5%
Bid-Ask Spread %18.671.8949.9626.0249.96
Gamma HHI0.110.080.280.090.11
Net GEX121.3M-86.2M503.9M46.2M234.9M
Net DEX-2.25B-4.27B409.0M-1.43B-3.82B
Net VEX-31.8M-33.5M-30.1M-30.1M-33.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.197.362.232.13
Total Volume348,879.45174,982827,452176,196222,498
Total OI6,603,501.955,991,9707,276,7845,991,9706,886,031

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$40.00$37.0014.2%4.0%14.3%9.3%15.3%1.7%-0.3%46.2M-1.43B-30.1M2.2326.0254,523121,6732,570,7423,421,228
2023-07-05$39.75$37.0015.2%4.4%14.5%15.4%15.2%2.1%-0.1%25.0M-1.08B-30.5M7.363.9147,117346,5562,615,7643,421,346
2023-07-06$38.91$39.0016.4%4.7%16.0%22.2%16.7%2.2%-0.1%-86.2M409.0M-31.6M4.0717.8858,664238,9202,642,1923,454,056
2023-07-07$39.45$39.0015.5%4.7%16.3%17.0%15.4%2.2%0.1%-13.7M-453.5M-31.0M0.528.76115,02659,9562,653,6843,515,579
2023-07-10$39.41$39.0016.1%4.8%16.1%20.5%17.5%2.9%0.6%-4.5M-413.5M-31.0M2.0340.1584,972172,6972,733,1133,497,843
2023-07-11$39.81$39.0015.9%4.6%16.4%19.5%22.2%2.8%0.3%71.2M-1.21B-32.0M1.0529.80186,394196,4322,802,2623,601,183
2023-07-12$40.70$38.0016.5%4.5%18.2%22.8%18.8%2.3%-0.7%235.2M-2.91B-31.6M0.862.18445,563381,8892,851,1183,657,779
2023-07-13$41.28$36.0016.2%4.8%18.6%21.2%17.1%2.0%0.4%271.5M-4.27B-31.5M1.077.58182,026194,5642,983,3853,756,160
2023-07-14$41.03$36.0017.1%4.9%18.6%25.8%17.1%1.7%0.0%503.9M-3.86B-31.9M1.432.87155,681222,8913,024,9223,838,620
2023-07-17$41.05$36.0016.9%4.9%18.3%25.1%16.8%2.3%-0.1%178.2M-3.40B-31.8M0.197.67266,28350,4773,022,4043,897,549
2023-07-18$40.75$36.0017.0%4.9%18.5%25.7%17.4%2.3%0.7%160.2M-3.12B-32.2M1.352.52111,136149,5113,231,2593,905,120
2023-07-19$40.72$36.0016.4%4.7%17.0%22.0%16.7%1.6%0.8%143.0M-3.06B-31.8M3.1737.6069,967221,8053,229,6173,901,440
2023-07-20$40.36$36.0017.1%4.9%17.2%25.9%17.6%1.5%-0.5%50.4M-2.23B-32.3M1.192.32266,144316,1523,241,6983,976,403
2023-07-21$40.31$38.0016.6%4.8%17.2%23.0%16.2%1.6%-0.2%-41.2M-1.87B-33.0M1.351.8989,364120,5023,106,0374,170,747
2023-07-24$40.84$38.0016.7%4.8%16.7%23.8%17.0%2.0%0.1%41.5M-1.47B-32.6M1.6543.08103,407170,4402,532,5583,720,482
2023-07-25$41.23$38.0017.0%4.9%16.9%25.8%18.9%1.8%-0.0%105.6M-2.38B-31.8M2.4113.22102,996248,4752,605,7433,771,950
2023-07-26$41.47$39.0015.9%4.5%16.8%19.4%16.8%1.8%0.2%129.2M-2.77B-32.0M2.0442.23128,450261,8472,668,7243,884,555
2023-07-27$40.91$37.0015.9%4.5%17.5%19.4%16.0%1.7%0.2%96.4M-1.91B-32.5M1.893.94144,474272,5682,775,9843,810,019
2023-07-28$41.94$37.0016.3%4.6%19.0%21.5%17.0%1.4%-0.0%279.1M-3.79B-32.3M0.7629.91224,832170,7172,830,3763,860,367
2023-07-31$41.97$37.0017.0%4.9%18.9%25.6%17.5%1.9%-0.3%234.9M-3.82B-33.5M2.1349.9671,057151,4412,969,7833,916,248