EEM Options History — March 2024

In March 2024, EEM traded between $40.00 and $41.36. ATM implied volatility averaged 13.9%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.7% (HV 20d: 13.2%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.58.

Notable Days

  • 2024-03-01: Highest Volume — 439,035 contracts
  • 2024-03-20: Largest IV drop — 4.6% change
  • 2024-03-05: Highest IV Rank — 25.6%
  • 2024-03-05: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.84$40.00$41.36$40.48$41.11
Max Pain$39.00$39.00$39.00$39.00$39.00
ATM IV13.9%12.4%15.3%14.7%12.4%
Expected Move4.0%3.6%4.4%4.4%3.6%
HV 20d13.2%11.0%15.9%15.4%11.1%
HV 60d15.5%13.8%16.5%16.1%13.8%
IV Rank13.7%0.0%25.6%20.1%0.0%
IV Percentile7.3%0.0%27.4%12.7%0.0%
Term Structure0.1%-0.4%0.7%-0.4%0.7%
VWIV14.2%12.4%15.7%15.2%12.4%
Skew 25d1.3%0.8%1.8%1.1%0.8%
Skew 10d0.6%-19.0%18.4%1.8%2.3%
Call IV 25d13.4%11.9%14.9%14.3%12.1%
Put IV 25d14.7%12.8%16.1%15.4%12.8%
Bid-Ask Spread %73.2761.6297.8897.8873.01
Gamma HHI0.090.080.130.080.09
Net GEX110.9M11.2M198.2M113.6M97.7M
Net DEX-2.41B-3.93B-867.4M-2.07B-2.38B
Net VEX-55.4M-58.5M-51.6M-51.6M-58.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.265.820.261.51
Total Volume213,003.778,870439,035439,035215,479
Total OI7,768,590.656,906,5988,442,0777,582,5287,936,559

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$40.48$39.0014.7%4.4%15.4%20.1%15.2%1.1%-0.4%113.6M-2.07B-51.6M0.2697.88348,53590,5002,958,1974,624,331
2024-03-04$40.39$39.0014.8%4.3%15.3%20.5%14.1%1.4%0.2%109.7M-2.05B-54.1M0.8081.20216,681172,9823,233,4204,639,563
2024-03-05$40.00$39.0015.3%4.4%15.9%25.6%15.2%1.6%0.2%11.2M-867.4M-54.3M3.4879.9240,490141,0113,108,8644,716,645
2024-03-06$40.61$39.0015.1%4.4%15.1%23.7%15.4%1.8%0.2%95.6M-2.24B-54.3M0.8880.76143,086126,4833,130,5594,803,853
2024-03-07$40.89$39.0014.6%4.2%15.2%18.8%15.7%1.3%-0.0%136.9M-2.78B-53.9M0.7586.2965,41149,1393,156,2794,805,071
2024-03-08$40.81$39.0014.6%4.2%15.0%18.5%15.5%1.4%0.1%141.9M-2.75B-54.8M0.7982.7182,87765,7363,203,3194,855,279
2024-03-11$40.92$39.0014.7%4.3%15.0%20.0%14.5%1.1%0.6%126.1M-3.07B-54.3M1.5980.7430,40348,4673,217,0804,888,822
2024-03-12$41.36$39.0014.1%4.1%15.0%14.2%14.4%1.3%0.0%198.2M-3.93B-53.6M1.3362.9445,24060,1703,229,1444,898,339
2024-03-13$41.19$39.0014.1%4.0%12.3%14.4%13.8%1.3%-0.0%177.6M-3.77B-52.9M0.6663.50147,45097,5133,263,2244,949,528
2024-03-14$40.97$39.0014.1%4.0%11.5%14.5%13.8%1.5%-0.2%119.3M-3.22B-54.3M0.8270.62117,08395,5843,289,3975,013,891
2024-03-15$40.77$39.0014.0%4.0%11.7%13.3%13.9%1.8%0.1%98.6M-2.81B-55.3M0.4463.2898,96043,3663,389,6575,052,420
2024-03-18$40.84$39.0014.0%4.0%11.6%18.2%13.6%1.6%0.2%108.9M-1.84B-56.1M2.6666.2839,758105,8182,880,0844,026,514
2024-03-19$40.63$39.0014.1%4.0%11.8%20.4%14.6%1.4%0.1%88.0M-1.51B-55.5M1.9861.6245,67590,5852,928,8674,076,905
2024-03-20$41.08$39.0013.5%3.9%12.4%12.0%14.7%1.1%0.1%149.3M-2.54B-55.3M1.6868.0083,940140,9322,966,9144,153,948
2024-03-21$41.16$39.0013.2%3.8%11.8%7.8%14.1%0.9%0.0%174.3M-2.67B-56.5M1.5368.05157,236240,1563,058,6474,280,653
2024-03-22$40.83$39.0012.9%3.7%12.2%4.7%13.8%1.1%-0.1%99.3M-1.95B-57.7M2.5468.5599,827253,4123,082,5884,393,153
2024-03-25$40.91$39.0013.0%3.7%12.1%5.6%13.0%1.2%0.3%52.7M-1.88B-58.4M0.7768.1850,79239,0883,055,6044,592,312
2024-03-26$40.88$39.0012.7%3.6%12.1%1.4%13.0%1.2%0.3%62.8M-1.97B-57.3M5.8272.4830,108175,2543,085,3444,617,197
2024-03-27$40.91$39.0012.5%3.6%11.0%0.0%12.4%1.3%0.4%57.2M-1.92B-58.2M1.2869.3672,37092,4773,098,8944,710,748
2024-03-28$41.11$39.0012.4%3.6%11.1%0.0%12.4%0.8%0.7%97.7M-2.38B-58.5M1.5173.0185,863129,6163,134,6244,801,935