EEM Options History — February 2024

In February 2024, EEM traded between $38.64 and $40.61. ATM implied volatility averaged 15.1%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.4% (HV 20d: 15.5%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.57.

Notable Days

  • 2024-02-06: Highest Volume — 326,330 contracts
  • 2024-02-20: Largest IV spike — 10.0% change
  • 2024-02-13: Highest IV Rank — 34.3%
  • 2024-02-13: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.77$38.64$40.61$38.75$40.00
Max Pain$39.00$39.00$39.00$39.00$39.00
ATM IV15.1%14.3%16.3%15.6%14.7%
Expected Move4.3%4.0%4.7%4.6%4.3%
HV 20d15.5%14.6%17.1%15.2%15.1%
HV 60d16.0%15.4%16.3%15.9%16.1%
IV Rank23.1%16.0%34.3%28.1%19.6%
IV Percentile18.7%6.7%44.8%25.8%11.5%
Term Structure0.0%-0.3%0.4%0.3%-0.3%
VWIV15.4%14.4%17.6%16.0%14.7%
Skew 25d1.4%0.6%2.4%1.9%1.5%
Skew 10d2.8%-0.5%5.1%3.9%2.3%
Call IV 25d14.5%13.8%15.2%14.5%14.0%
Put IV 25d15.9%15.1%17.6%16.4%15.5%
Bid-Ask Spread %82.8766.06102.6469.91102.64
Gamma HHI0.080.070.130.080.07
Net GEX59.4M-76.5M165.4M-60.5M17.6M
Net DEX-982.9M-2.38B946.6M909.3M-1.17B
Net VEX-51.5M-52.9M-48.4M-48.4M-52.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.444.052.072.88
Total Volume162,758.5567,295326,33084,888222,402
Total OI7,178,603.46,623,4567,593,2076,623,4567,482,230

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-02-01$38.75$39.0015.6%4.6%15.2%28.1%16.0%1.9%0.3%-60.5M909.3M-48.4M2.0769.9127,61857,2702,766,7153,856,741
2024-02-02$38.64$39.0015.1%4.5%15.2%23.6%15.6%1.7%-0.0%-76.5M940.1M-49.3M2.5466.0644,111112,0122,784,9663,888,114
2024-02-05$38.73$39.0015.1%4.4%15.3%23.3%14.5%1.7%-0.1%-57.8M946.6M-49.3M4.0569.4032,087130,0752,796,3613,996,526
2024-02-06$39.55$39.0015.3%4.5%17.1%25.5%15.6%1.3%0.4%47.9M-663.7M-50.5M0.5378.25212,761113,5692,805,2564,054,034
2024-02-07$39.63$39.0015.0%4.4%16.3%22.8%15.5%0.6%0.4%94.9M-1.06B-52.2M1.4273.8381,697115,9542,938,3824,081,065
2024-02-08$39.39$39.0015.0%4.4%16.4%22.9%16.0%0.8%0.3%71.2M-552.8M-52.5M1.3071.6667,20487,6413,017,6564,189,156
2024-02-09$39.55$39.0014.7%4.3%16.4%20.2%15.1%0.9%0.3%104.1M-1.01B-52.6M1.4079.1865,29291,1763,048,1644,231,321
2024-02-12$39.94$39.0014.9%4.3%16.7%21.6%15.0%1.4%0.1%165.4M-1.75B-51.3M1.3780.7558,87580,4723,026,9504,255,418
2024-02-13$39.06$39.0016.3%4.7%16.0%34.3%16.8%2.4%0.2%-10.5M459.1M-52.2M0.5583.9094,28751,8653,044,8934,283,729
2024-02-14$39.70$39.0015.4%4.4%15.7%26.3%14.8%1.9%0.0%93.0M-1.16B-51.0M1.0583.9162,83966,0112,986,2164,293,256
2024-02-15$39.89$39.0015.0%4.3%15.5%22.7%15.3%1.3%0.2%134.7M-1.58B-51.8M3.4978.4663,189220,2823,014,2604,340,460
2024-02-16$40.09$39.0014.3%4.0%15.3%16.0%14.4%1.3%0.2%155.4M-1.90B-52.3M0.7088.31105,57074,1573,044,9564,548,251
2024-02-20$40.13$39.0015.7%4.4%14.8%29.3%17.6%1.8%-0.2%37.0M-1.04B-52.7M1.3284.45105,419139,0002,709,6574,274,493
2024-02-21$40.16$39.0015.8%4.5%14.7%29.6%16.1%1.8%-0.1%56.3M-1.38B-52.9M2.1194.8145,32795,5292,833,2334,427,573
2024-02-22$40.61$39.0015.0%4.2%14.6%22.2%15.0%1.0%-0.2%108.0M-2.38B-51.3M1.2991.6462,00780,1912,827,2364,384,933
2024-02-23$40.59$39.0014.5%4.1%14.6%17.6%14.8%0.7%0.1%127.6M-2.23B-52.0M0.5084.7844,81122,4842,850,0034,443,526
2024-02-26$40.44$39.0014.4%4.1%14.8%17.3%14.7%0.9%-0.3%74.9M-1.87B-52.0M1.2493.5139,95849,4472,851,8764,453,442
2024-02-27$40.50$39.0014.4%4.1%14.8%16.8%14.7%1.1%-0.2%95.2M-2.20B-51.3M1.0496.1753,96656,2802,878,6554,465,390
2024-02-28$39.97$39.0015.0%4.3%15.2%22.3%15.3%1.4%-0.3%9.1M-975.0M-51.8M0.4485.7884,67437,6622,898,5944,498,381
2024-02-29$40.00$39.0014.7%4.3%15.1%19.6%14.7%1.5%-0.3%17.6M-1.17B-52.2M2.88102.6457,328165,0742,948,9424,533,288