EEM Options History — December 2023

In December 2023, EEM traded between $38.91 and $40.30. ATM implied volatility averaged 16.0%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.2% (HV 20d: 14.8%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2023-12-19: Highest Volume — 1,133,803 contracts
  • 2023-12-20: Largest IV spike — 18.1% change
  • 2023-12-01: Highest IV Rank — 46.5%
  • 2023-12-20: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.58$38.91$40.30$39.70$40.30
Max Pain$40.00$39.00$41.00$39.00$40.00
ATM IV16.0%14.2%17.6%17.6%16.2%
Expected Move4.4%4.0%4.8%4.7%4.6%
HV 20d14.8%10.7%17.7%15.7%17.6%
HV 60d15.6%14.9%16.8%15.0%16.6%
IV Rank31.6%14.9%46.5%46.5%34.0%
IV Percentile30.2%4.4%55.2%55.2%34.5%
Term Structure-0.0%-1.6%1.2%-1.0%0.6%
VWIV15.6%14.1%18.6%16.2%16.1%
Skew 25d1.4%-1.9%2.9%2.9%1.5%
Skew 10d2.6%-1.6%5.5%3.6%2.4%
Call IV 25d15.0%13.1%16.3%15.5%15.5%
Put IV 25d16.5%13.4%18.4%18.4%17.0%
Bid-Ask Spread %72.6530.3994.4930.3973.09
Gamma HHI0.110.080.390.090.10
Net GEX54.0M-163.6M601.1M25.1M135.1M
Net DEX285.7M-1.48B2.25B-492.8M-1.16B
Net VEX-35.2M-38.2M-32.5M-34.8M-38.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.252.931.200.71
Total Volume285,443.380,2331,133,803185,110329,173
Total OI7,024,007.255,969,3178,107,1927,566,1306,448,790

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$39.70$39.0017.6%4.7%15.7%46.5%16.2%2.9%-1.0%25.1M-492.8M-34.8M1.2030.3984,012101,0983,217,7074,348,423
2023-12-04$39.25$40.0017.3%4.6%14.9%44.0%16.2%2.4%-0.5%-61.6M613.2M-34.5M1.1372.78124,673140,4683,203,8654,337,445
2023-12-05$39.06$40.0017.4%4.7%14.8%44.7%15.9%2.9%-0.4%-97.6M1.07B-34.9M0.8071.5061,26149,0843,213,0844,412,408
2023-12-06$39.00$40.0016.8%4.6%14.8%38.8%15.7%2.5%0.2%-112.6M1.27B-34.8M1.2374.1396,285118,3473,230,6824,408,531
2023-12-07$39.16$40.0016.1%4.5%14.6%32.9%15.0%1.7%0.1%-80.4M845.9M-34.5M1.3975.1448,73767,8283,262,4214,447,451
2023-12-08$39.00$40.0015.2%4.2%14.1%24.2%14.4%2.7%-0.3%-163.6M1.23B-33.2M0.9473.0584,67779,2623,292,0884,438,234
2023-12-11$39.22$40.0015.4%4.2%14.1%26.0%15.0%2.9%-0.2%-24.8M743.5M-32.8M2.9368.0320,39959,8343,304,1284,441,482
2023-12-12$39.22$40.0014.3%4.0%14.1%16.1%14.1%1.8%-0.3%-60.2M838.0M-32.5M1.3071.5749,89365,0573,306,1854,466,536
2023-12-13$39.59$40.0014.9%4.2%11.0%21.4%14.6%1.2%-0.2%97.6M-26.8M-32.8M2.2772.4176,915174,5713,304,4244,463,066
2023-12-14$40.22$40.0014.7%4.1%12.0%19.7%15.3%0.5%-0.1%270.1M-1.48B-35.1M0.5494.49398,361214,1753,334,6464,534,995
2023-12-15$40.02$40.0017.2%4.1%11.5%42.9%15.1%-1.9%-1.6%601.1M-1.10B-35.8M0.8292.96146,983120,6483,541,6454,565,547
2023-12-18$39.95$40.0014.2%4.1%11.5%14.9%14.6%0.1%0.6%122.2M629.9M-34.6M0.6293.6495,29359,1902,495,9143,473,403
2023-12-19$40.28$40.0014.3%4.1%10.7%16.2%15.2%-1.1%0.0%174.0M-81.5M-34.2M0.2588.07907,687226,1162,548,8613,532,368
2023-12-20$38.91$41.0016.9%4.8%16.2%40.0%16.3%1.6%1.2%-64.6M2.25B-36.5M2.6862.30133,643358,0752,443,4933,633,588
2023-12-21$39.55$40.0016.0%4.6%17.3%32.0%18.6%0.8%-0.3%5.7M722.6M-36.9M1.1361.57128,535145,5702,495,8973,500,127
2023-12-22$39.36$40.0016.2%4.6%17.4%33.9%16.6%1.4%0.4%-847.2K786.9M-37.3M1.5168.9273,564111,1092,599,7173,560,654
2023-12-26$39.72$40.0016.6%4.6%17.7%36.9%16.0%1.7%0.3%51.3M262.5M-36.5M0.4470.4282,65636,4512,595,7083,554,605
2023-12-27$39.89$40.0016.3%4.7%17.5%34.4%15.1%2.0%0.3%92.3M-150.1M-36.3M1.5069.36117,778176,1432,634,5573,596,415
2023-12-28$40.28$40.0016.2%4.5%17.6%33.3%15.8%1.2%0.2%172.2M-1.05B-37.6M1.4069.18144,132201,1832,712,6433,578,412
2023-12-29$40.30$40.0016.2%4.6%17.6%34.0%16.1%1.5%0.6%135.1M-1.16B-38.2M0.7173.09192,869136,3042,741,9073,706,883