EEM Options History — January 2024

In January 2024, EEM traded between $37.66 and $39.69. ATM implied volatility averaged 16.3%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 1.4% (HV 20d: 17.7%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.50.

Notable Days

2024-01-17: Highest Volume — 926,872 contracts
2024-01-16: Largest IV spike — 10.1% change
2024-01-17: Highest IV Rank — 57.5%
2024-01-17: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.81	$37.66	$39.69	$39.69	$38.45
Max Pain	$39.10	$39.00	$40.00	$40.00	$39.00
ATM IV	16.3%	14.9%	18.8%	17.2%	15.8%
Expected Move	4.7%	4.3%	5.4%	4.8%	4.7%
HV 20d	17.7%	14.9%	20.4%	18.5%	14.9%
HV 60d	16.7%	16.3%	17.2%	16.9%	16.4%
IV Rank	34.2%	21.3%	57.5%	43.0%	30.4%
IV Percentile	37.4%	12.7%	88.9%	53.6%	29.0%
Term Structure	-0.1%	-0.6%	0.2%	0.1%	-0.0%
VWIV	16.4%	15.2%	18.2%	16.6%	16.9%
Skew 25d	1.9%	0.8%	3.0%	1.7%	2.0%
Skew 10d	4.0%	2.4%	5.9%	3.5%	4.3%
Call IV 25d	15.6%	14.4%	17.7%	16.5%	15.2%
Put IV 25d	17.5%	15.9%	20.7%	18.3%	17.2%
Bid-Ask Spread %	63.02	20.77	91.80	35.33	91.80
Gamma HHI	0.09	0.07	0.12	0.09	0.08
Net GEX	-68.4M	-281.9M	120.4M	49.5M	-75.7M
Net DEX	1.27B	136.7M	3.83B	136.7M	1.44B
Net VEX	-40.6M	-48.1M	-36.6M	-38.2M	-48.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.45	4.11	1.46	1.93
Total Volume	262,415.238	75,336	926,872	75,336	201,865
Total OI	6,496,434.714	5,446,852	7,216,818	6,401,190	6,512,955

Daily Data (21 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
2024-01-02	$39.69	$40.00	17.2%	4.8%	18.5%	43.0%	16.6%	1.7%	0.1%	49.5M	136.7M	-38.2M	1.46	35.33	30,678	44,658	2,764,931	3,636,259
2024-01-03	$39.55	$40.00	16.9%	4.7%	18.0%	39.8%	15.9%	2.0%	-0.1%	23.0M	454.4M	-37.5M	1.76	26.35	125,288	220,872	2,783,679	3,689,924
2024-01-04	$39.44	$39.00	16.0%	4.6%	18.0%	31.8%	15.6%	1.4%	0.2%	26.2M	438.5M	-38.2M	0.45	23.00	202,509	90,221	2,881,265	3,703,781
2024-01-05	$39.44	$39.00	15.8%	4.6%	17.9%	29.5%	16.3%	1.5%	0.0%	120.4M	426.9M	-38.3M	0.82	20.77	116,674	95,249	2,941,732	3,727,893
2024-01-08	$39.53	$39.00	15.8%	4.5%	17.9%	30.2%	15.2%	1.8%	-0.0%	17.5M	204.0M	-38.2M	1.12	25.65	48,358	54,099	2,884,298	3,760,367
2024-01-09	$38.97	$39.00	15.7%	4.4%	18.6%	29.5%	16.9%	1.3%	-0.6%	-109.3M	1.47B	-37.7M	2.60	67.49	78,994	205,607	2,917,888	3,783,029
2024-01-10	$38.88	$39.00	15.6%	4.5%	18.5%	28.0%	15.8%	1.7%	0.1%	-109.9M	1.59B	-37.1M	4.11	67.35	46,881	192,483	2,957,388	3,770,315
2024-01-11	$39.03	$39.00	15.5%	4.4%	18.6%	26.8%	15.2%	1.2%	-0.1%	-94.0M	1.21B	-38.1M	1.41	70.82	62,966	88,619	2,979,969	3,788,597
2024-01-12	$39.22	$39.00	15.5%	4.5%	18.3%	27.6%	16.0%	0.8%	0.2%	-52.1M	886.3M	-39.2M	2.25	72.72	42,348	95,167	3,025,997	3,811,861
2024-01-16	$38.22	$39.00	17.1%	4.9%	19.3%	42.0%	17.2%	1.7%	-0.3%	-241.8M	2.87B	-36.6M	1.86	73.76	77,924	144,666	3,010,314	3,854,679
2024-01-17	$37.66	$39.00	18.8%	5.4%	19.8%	57.5%	18.2%	3.0%	-0.4%	-281.9M	3.83B	-36.9M	0.78	71.80	520,311	406,561	3,065,616	3,902,165
2024-01-18	$38.00	$39.00	17.5%	5.0%	20.3%	45.5%	17.8%	2.9%	-0.5%	-204.2M	2.57B	-40.0M	1.64	69.09	106,528	174,168	3,313,355	3,890,950
2024-01-19	$38.39	$39.00	16.6%	4.8%	20.4%	37.2%	16.1%	2.6%	-0.1%	-98.1M	1.94B	-38.7M	1.37	69.55	113,162	154,918	3,317,434	3,899,384
2024-01-22	$38.09	$39.00	17.5%	5.1%	16.7%	45.4%	17.9%	2.6%	-0.3%	-104.5M	1.81B	-39.9M	1.40	71.47	52,608	73,684	2,228,677	3,218,175
2024-01-23	$38.38	$39.00	16.2%	4.8%	15.7%	33.7%	18.0%	2.2%	0.1%	-90.6M	1.53B	-40.0M	1.68	73.72	81,252	136,112	2,288,703	3,315,065
2024-01-24	$38.86	$39.00	15.9%	4.6%	16.4%	30.8%	15.9%	1.9%	-0.1%	-48.8M	780.8M	-42.8M	1.58	75.82	163,157	258,225	2,346,316	3,442,303
2024-01-25	$38.84	$39.00	15.4%	4.5%	16.0%	26.2%	15.9%	1.7%	0.2%	-37.1M	732.8M	-45.6M	0.64	75.45	211,896	134,831	2,456,857	3,576,342
2024-01-26	$38.88	$39.00	14.9%	4.3%	15.9%	21.3%	15.2%	1.5%	0.2%	-31.4M	636.7M	-46.8M	0.67	78.11	151,366	100,966	2,607,411	3,665,729
2024-01-29	$38.94	$39.00	15.7%	4.5%	15.4%	28.7%	15.8%	2.1%	0.1%	-30.5M	472.0M	-48.1M	0.97	80.62	90,108	87,440	2,596,438	3,705,067
2024-01-30	$38.56	$39.00	16.2%	4.6%	15.7%	33.3%	16.2%	2.1%	0.0%	-64.1M	1.28B	-47.3M	1.07	82.65	109,985	117,316	2,648,278	3,753,743
2024-01-31	$38.45	$39.00	15.8%	4.7%	14.9%	30.4%	16.9%	2.0%	-0.0%	-75.7M	1.44B	-48.1M	1.93	91.80	68,956	132,909	2,707,631	3,805,324