EEM Options History — October 2024 In October 2024, EEM traded between $44.44 and $47.33. ATM implied volatility averaged 21.2%, placing in the 67.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 1.8% (HV 20d: 23.0%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.59.
Notable Days 2024-10-01 : Highest Volume — 1,080,992 contracts2024-10-07 : Largest IV spike — 16.4% change2024-10-07 : Highest IV Rank — 90.6%2024-10-31 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $45.77 $44.44 $47.33 $46.11 $44.44 Max Pain $42.26 $41.00 $43.00 $42.00 $43.00 ATM IV 21.2% 18.3% 24.3% 22.2% 23.1% Expected Move 6.3% 5.3% 8.0% 6.2% 8.0% HV 20d 23.0% 16.2% 27.2% 21.9% 16.2% HV 60d 20.3% 18.8% 21.1% 19.5% 19.0% IV Rank 67.4% 45.9% 90.6% 74.8% 81.8% IV Percentile 95.7% 88.1% 99.6% 99.6% 98.8% Term Structure -0.1% -2.6% 9.1% -1.2% -1.5% VWIV 22.9% 18.9% 28.8% 23.1% 28.8% Skew 25d 2.0% 0.2% 3.7% 0.5% 3.7% Skew 10d 3.7% -6.7% 7.0% 0.0% 7.0% Call IV 25d 20.6% 17.8% 24.9% 22.0% 21.7% Put IV 25d 22.6% 19.5% 26.2% 22.5% 25.4% Bid-Ask Spread % 31.00 2.27 73.08 73.08 11.40 Gamma HHI 0.08 0.07 0.11 0.09 0.07 Net GEX 138.5M -116.0M 355.1M 325.4M -116.0M Net DEX -6.17B -10.13B -2.10B -8.42B -2.10B Net VEX -55.2M -60.1M -51.8M -53.7M -55.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.59 0.04 7.88 0.04 1.26 Total Volume 290,420.565 65,832 1,080,992 1,080,992 223,490 Total OI 9,737,354.87 9,250,477 10,310,536 9,297,655 9,959,377
Daily Data (23 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 2024-10-01 $46.11 $42.00 22.2% 6.2% 21.9% 74.8% 23.1% 0.5% -1.2% 325.4M -8.42B -53.7M 0.04 73.08 1,034,693 46,299 4,404,658 4,892,997 2024-10-02 $47.09 $42.50 21.4% 6.4% 22.6% 69.3% 22.7% 0.3% 5.6% 355.1M -10.13B -55.5M 0.87 47.99 251,408 218,927 4,551,123 4,907,964 2024-10-03 $46.47 $41.00 22.6% 6.5% 23.6% 77.8% 22.4% 2.0% 0.2% 301.0M -8.75B -56.8M 3.33 57.88 58,971 196,207 4,551,150 5,030,099 2024-10-04 $46.95 $41.00 20.9% 6.5% 22.1% 65.2% 23.8% 0.2% 2.1% 311.7M -9.52B -57.1M 0.74 58.96 342,253 251,631 4,614,425 5,141,545 2024-10-07 $47.33 $41.50 24.3% 6.9% 22.1% 90.6% 23.9% 1.2% -1.0% 333.3M -10.08B -60.1M 0.07 60.88 626,766 46,827 4,768,702 5,233,745 2024-10-08 $45.97 $41.50 24.3% 6.5% 25.2% 90.4% 22.8% 1.2% -2.6% 243.9M -6.98B -57.7M 0.85 58.66 92,379 78,856 4,368,159 5,256,942 2024-10-09 $45.98 $41.50 23.0% 6.4% 25.3% 80.9% 22.2% 1.0% 0.3% 251.2M -7.09B -57.7M 0.34 59.29 94,070 31,560 4,386,546 5,271,178 2024-10-10 $46.02 $41.50 22.3% 6.2% 25.2% 75.4% 21.7% 1.9% -0.9% 280.1M -6.91B -58.0M 1.50 57.41 37,227 55,722 4,419,428 5,278,870 2024-10-11 $46.34 $41.50 22.1% 6.2% 25.3% 74.0% 22.3% 2.2% -1.0% 341.1M -7.74B -55.5M 1.77 58.89 52,880 93,611 4,411,762 5,285,684 2024-10-14 $46.16 $41.50 19.9% 5.7% 25.4% 57.8% 23.6% 1.9% -1.8% 280.4M -7.53B -52.8M 0.34 62.36 49,048 16,784 4,367,775 5,332,816 2024-10-15 $45.11 $41.50 20.5% 5.9% 27.1% 62.6% 21.4% 2.2% -1.7% 159.6M -5.09B -53.5M 1.53 60.09 172,382 264,380 4,367,730 5,354,894 2024-10-16 $45.52 $42.00 20.7% 5.9% 27.2% 64.0% 21.7% 2.1% -2.0% 182.0M -6.02B -53.2M 2.36 3.70 121,230 286,118 4,448,485 5,517,746 2024-10-17 $45.45 $43.00 19.8% 5.7% 26.4% 56.9% 23.4% 1.9% -1.0% 126.8M -5.68B -53.8M 1.15 3.58 85,009 97,878 4,498,995 5,797,349 2024-10-18 $45.91 $43.00 18.3% 5.3% 26.6% 45.9% 18.9% 1.7% -0.2% 140.8M -7.25B -51.8M 0.85 2.32 96,123 81,758 4,546,994 5,763,542 2024-10-21 $45.58 $43.00 18.9% 5.6% 26.7% 50.8% 21.2% 2.6% -0.2% 42.4M -5.04B -53.7M 7.88 2.27 31,498 248,111 4,010,179 5,240,298 2024-10-22 $45.53 $43.00 19.6% 5.8% 23.9% 55.4% 21.5% 2.8% -0.1% 9.2M -5.00B -53.0M 2.10 2.41 50,412 105,616 4,023,439 5,449,799 2024-10-23 $45.23 $43.00 20.3% 6.0% 23.7% 60.9% 21.6% 2.5% -0.6% -29.1M -4.08B -53.3M 2.70 2.58 69,527 187,700 4,041,881 5,519,483 2024-10-24 $45.14 $43.00 20.4% 6.2% 19.3% 61.7% 22.5% 2.7% -1.7% -67.6M -3.80B -53.5M 0.50 2.55 146,014 72,438 4,032,568 5,610,245 2024-10-25 $45.11 $43.00 20.6% 6.4% 19.3% 62.8% 22.8% 2.7% -1.0% -72.6M -3.73B -56.0M 1.51 4.40 101,397 153,477 4,106,462 5,645,165 2024-10-28 $45.31 $43.00 20.5% 6.6% 18.5% 62.3% 23.0% 2.8% -0.7% -49.5M -4.05B -56.1M 1.87 4.68 50,365 93,980 4,115,569 5,672,130 2024-10-29 $45.20 $43.00 20.7% 6.8% 18.3% 63.4% 25.6% 2.9% 9.1% -53.8M -3.96B -55.6M 2.32 4.05 20,670 47,986 4,150,789 5,719,775 2024-10-30 $44.78 $43.00 21.0% 7.0% 16.5% 65.9% 25.5% 2.6% -0.5% -111.1M -2.92B -55.3M 0.60 13.53 122,874 73,121 4,157,131 5,733,569 2024-10-31 $44.44 $43.00 23.1% 8.0% 16.2% 81.8% 28.8% 3.7% -1.5% -116.0M -2.10B -55.9M 1.26 11.40 99,076 124,414 4,223,787 5,735,590
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