EEM Options History — September 2024

In September 2024, EEM traded between $41.80 and $46.72. ATM implied volatility averaged 16.7%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.1% (HV 20d: 16.5%). Max pain ranged from $41.00 to $42.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.40.

Notable Days

  • 2024-09-26: Highest Volume — 1,194,739 contracts
  • 2024-09-26: Largest IV spike — 22.1% change
  • 2024-09-30: Highest IV Rank — 70.6%
  • 2024-09-30: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.56$41.80$46.72$42.48$45.81
Max Pain$41.83$41.00$42.50$41.00$42.50
ATM IV16.7%13.6%21.6%15.7%21.6%
Expected Move4.8%3.9%6.2%5.0%6.2%
HV 20d16.5%13.9%23.5%15.8%23.5%
HV 60d16.5%15.4%19.4%15.7%19.4%
IV Rank34.0%11.4%70.6%26.8%70.6%
IV Percentile65.0%17.5%99.6%61.9%99.6%
Term Structure0.5%-2.8%12.7%1.1%-0.5%
VWIV17.3%13.2%22.3%17.4%21.9%
Skew 25d2.9%-2.5%5.2%3.4%4.4%
Skew 10d5.3%-7.2%10.8%6.4%5.1%
Call IV 25d15.8%12.6%22.7%15.1%21.7%
Put IV 25d18.7%15.6%26.1%18.6%26.1%
Bid-Ask Spread %66.617.1685.6652.2385.66
Gamma HHI0.090.070.140.080.10
Net GEX92.5M-99.5M361.7M-3.3M328.1M
Net DEX-3.88B-9.85B156.1M-2.07B-7.87B
Net VEX-47.3M-54.7M-40.0M-47.4M-54.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.1712.360.931.38
Total Volume326,88558,9391,194,739105,089570,665
Total OI8,614,457.856,986,8639,364,9488,456,9239,066,903

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$42.48$41.0015.7%5.0%15.8%26.8%17.4%3.4%1.1%-3.3M-2.07B-47.4M0.9352.2354,35150,7383,468,7354,988,188
2024-09-04$42.48$41.0017.4%5.3%15.6%39.7%17.8%3.8%0.4%-9.8M-1.79B-48.5M1.2377.3769,29684,9183,455,2655,079,111
2024-09-05$42.55$42.0017.1%4.8%15.5%37.2%16.9%4.2%-0.2%-8.9M-1.97B-47.8M12.3665.864,41354,5263,450,1845,074,415
2024-09-06$41.80$42.0020.5%5.1%15.6%62.1%19.8%5.2%12.7%-99.5M156.1M-48.6M0.4163.32234,77796,9853,469,0355,130,939
2024-09-09$42.11$42.0017.3%4.9%15.7%38.8%17.5%4.0%-0.4%-71.2M-650.7M-48.4M1.3266.9567,97789,6133,497,1125,171,980
2024-09-10$41.98$42.0017.4%4.9%15.6%39.2%22.3%4.2%-0.3%-89.7M-166.8M-48.5M0.3967.54317,866123,1093,542,3395,212,857
2024-09-11$42.20$42.0016.6%4.7%15.2%33.5%18.0%4.1%-0.0%-77.8M-1.33B-48.6M1.6369.9390,393147,4653,563,6285,221,391
2024-09-12$42.59$41.5015.5%4.5%15.5%25.5%14.4%3.8%0.1%-14.3M-2.36B-47.9M1.6171.2727,23343,7833,616,1715,297,005
2024-09-13$42.80$41.5014.2%4.1%14.9%15.5%17.0%3.5%0.0%17.4M-2.85B-47.9M0.8172.78125,731101,8363,642,5505,352,057
2024-09-16$42.97$41.5015.0%4.3%14.5%21.7%14.9%3.2%-2.8%76.7M-3.32B-46.4M0.1773.80148,45925,1403,683,2955,413,020
2024-09-17$42.97$41.5015.2%4.3%14.0%22.9%14.9%3.3%-0.8%92.2M-3.43B-46.7M0.8968.95132,607117,6003,755,0415,397,956
2024-09-18$42.92$42.0014.5%4.2%13.9%17.8%14.4%3.1%0.3%101.3M-3.40B-45.5M0.2476.21175,73042,6383,787,7335,427,064
2024-09-19$43.78$42.0013.6%3.9%15.6%11.4%13.2%2.6%-0.2%291.3M-5.86B-45.9M0.9675.02134,380129,2803,875,2985,454,988
2024-09-20$43.73$42.0014.1%4.1%14.9%15.2%14.1%3.4%0.1%116.4M-5.61B-45.6M0.4172.72111,00745,5063,853,6535,511,295
2024-09-23$44.05$42.0013.9%4.0%14.0%13.2%14.0%2.8%-0.3%140.6M-3.66B-44.3M0.8644.63104,34089,3462,863,8714,122,992
2024-09-24$45.55$42.0016.5%5.0%18.0%32.8%17.9%1.3%0.5%198.7M-6.62B-40.0M0.337.16621,165202,5352,959,5144,165,030
2024-09-25$45.03$42.0016.8%4.8%18.7%34.6%18.0%0.8%-0.5%240.2M-5.86B-46.0M0.7369.69331,627242,9473,401,0984,292,135
2024-09-26$46.72$42.0020.5%5.9%22.2%62.1%21.2%-2.5%1.2%259.6M-9.07B-45.8M0.2674.55946,596248,1433,631,9914,421,437
2024-09-27$46.63$42.0020.0%5.8%22.2%58.6%20.6%-0.2%-0.3%361.7M-9.85B-51.9M1.0176.61165,851167,1284,343,2334,628,648
2024-09-30$45.81$42.5021.6%6.2%23.5%70.6%21.9%4.4%-0.5%328.1M-7.87B-54.7M1.3885.66239,975330,6904,397,6924,669,211