EEM Options History — September 2023

In September 2023, EEM traded between $37.77 and $39.61. ATM implied volatility averaged 15.7%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.7% (HV 20d: 13.0%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.58.

Notable Days

  • 2023-09-13: Highest Volume — 761,443 contracts
  • 2023-09-21: Largest IV spike — 11.5% change
  • 2023-09-27: Highest IV Rank — 30.3%
  • 2023-09-26: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.70$37.77$39.61$39.61$37.94
Max Pain$36.40$35.00$38.00$38.00$35.00
ATM IV15.7%14.0%17.8%14.9%16.7%
Expected Move4.5%4.0%5.2%4.1%4.8%
HV 20d13.0%12.3%13.6%13.3%12.3%
HV 60d16.0%15.3%16.4%16.2%15.3%
IV Rank17.9%8.3%30.3%13.4%23.6%
IV Percentile20.2%3.2%48.0%9.1%32.9%
Term Structure0.1%-0.5%0.4%0.4%0.3%
VWIV16.0%13.7%21.5%14.2%18.6%
Skew 25d2.5%1.9%3.4%2.0%3.0%
Skew 10d5.3%4.1%7.2%4.6%6.3%
Call IV 25d14.7%13.1%16.8%13.7%15.4%
Put IV 25d17.1%15.3%19.9%15.7%18.5%
Bid-Ask Spread %8.442.7037.016.243.15
Gamma HHI0.100.090.130.090.11
Net GEX-188.2M-259.1M-104.8M-115.0M-221.3M
Net DEX1.19B-248.8M2.34B-248.8M1.95B
Net VEX-38.0M-39.4M-36.9M-37.9M-38.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.998.332.932.04
Total Volume274,247.85100,456761,443310,351176,618
Total OI7,364,386.16,302,4818,516,4987,720,5347,094,644

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$39.61$38.0014.9%4.1%13.3%13.4%14.2%2.0%0.4%-115.0M-248.8M-37.9M2.936.2478,981231,3703,331,3184,389,216
2023-09-05$39.36$38.0015.2%4.5%13.4%15.4%14.8%2.3%0.3%-164.0M387.2M-37.9M8.336.4823,153192,7503,264,0364,480,891
2023-09-06$39.11$37.0015.9%4.6%13.1%19.5%15.7%2.4%0.1%-204.5M958.0M-38.4M3.499.88112,371391,6573,280,7554,515,052
2023-09-07$38.66$37.0016.6%4.8%13.5%23.0%19.6%2.5%0.0%-255.2M1.76B-38.1M2.539.2564,331162,7973,381,5144,553,291
2023-09-08$38.70$36.0015.3%4.5%13.5%15.8%15.3%2.3%0.3%-259.1M1.56B-37.7M1.873.3082,508154,5283,441,6014,621,497
2023-09-11$39.16$36.0014.9%4.4%13.4%13.7%14.7%2.6%0.4%-163.9M490.3M-37.3M1.2016.51101,560122,2643,431,1254,583,407
2023-09-12$39.11$36.0015.0%4.4%13.4%14.1%17.1%1.9%0.2%-140.2M456.9M-37.3M1.889.73158,461297,1643,513,9254,582,269
2023-09-13$39.03$35.0015.0%4.4%12.6%13.9%15.2%2.5%0.1%-142.0M526.5M-36.9M3.899.87155,645605,7983,572,7754,640,822
2023-09-14$39.31$37.0014.0%4.1%12.4%8.3%13.7%2.2%0.3%-104.8M105.9M-37.8M2.8016.7470,101196,0883,599,6614,763,648
2023-09-15$39.09$37.0014.3%4.1%12.6%9.8%13.7%2.2%-0.0%-122.8M420.3M-37.8M2.117.7490,352190,7043,671,2214,845,277
2023-09-18$39.05$37.0014.0%4.0%12.5%8.3%14.4%2.0%0.2%-142.3M1.05B-37.6M2.662.9266,654177,3602,525,5183,776,963
2023-09-19$38.88$37.0014.3%4.1%12.6%9.9%14.3%2.1%-0.1%-161.4M1.11B-37.8M1.502.8568,124102,4712,582,3633,824,030
2023-09-20$38.75$37.0015.1%4.3%12.6%14.8%14.4%2.0%0.0%-183.3M1.26B-37.8M2.0337.0176,037154,3632,626,5573,875,717
2023-09-21$38.08$37.0016.9%4.8%12.8%24.8%16.6%2.5%-0.5%-230.3M2.29B-38.0M1.5710.28118,660186,5922,657,8713,882,359
2023-09-22$38.47$37.0015.9%4.6%13.4%19.4%15.1%2.3%-0.3%-223.6M1.40B-38.9M0.993.75112,438110,9672,731,1223,908,968
2023-09-25$38.28$36.0016.5%4.8%13.4%22.6%17.4%2.9%0.2%-194.6M1.65B-38.3M2.052.7032,89367,5632,731,5273,949,927
2023-09-26$37.77$35.0017.7%5.2%13.6%29.5%21.5%3.2%0.1%-239.8M2.34B-38.0M2.213.6884,777187,2932,758,8773,980,438
2023-09-27$37.80$35.0017.8%5.1%12.4%30.3%16.5%3.1%0.2%-248.6M2.25B-38.8M3.763.5736,081135,5442,812,6024,090,329
2023-09-28$37.91$35.0017.6%5.1%12.5%28.8%18.0%3.4%0.1%-247.4M2.07B-39.4M1.843.0438,03469,9052,863,5564,151,053
2023-09-29$37.94$35.0016.7%4.8%12.3%23.6%18.6%3.0%0.3%-221.3M1.95B-38.4M2.043.1558,177118,4412,902,5424,192,102