EEM Options History — November 2024

In November 2024, EEM traded between $42.91 and $45.84. ATM implied volatility averaged 18.3%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.5% (HV 20d: 16.8%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.69.

Notable Days

  • 2024-11-04: Highest Volume — 615,662 contracts
  • 2024-11-06: Largest IV drop — 17.1% change
  • 2024-11-04: Highest IV Rank — 83.8%
  • 2024-11-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.82$42.91$45.84$44.53$43.28
Max Pain$43.00$43.00$43.00$43.00$43.00
ATM IV18.3%15.4%23.4%22.5%15.4%
Expected Move5.7%5.0%7.9%7.9%5.0%
HV 20d16.8%12.8%18.4%15.6%17.2%
HV 60d19.6%18.6%20.3%18.6%19.5%
IV Rank45.8%24.6%83.8%77.0%24.6%
IV Percentile78.9%54.8%98.8%97.6%54.8%
Term Structure0.0%-3.9%3.4%-1.1%1.1%
VWIV19.3%16.4%26.6%26.6%16.7%
Skew 25d1.5%-3.4%3.6%3.6%1.3%
Skew 10d4.8%1.8%8.7%8.7%3.7%
Call IV 25d16.8%11.1%21.8%21.4%13.1%
Put IV 25d18.3%11.6%25.0%25.0%14.4%
Bid-Ask Spread %20.6313.0832.0923.0920.30
Gamma HHI0.100.070.170.070.13
Net GEX-89.5M-190.1M56.4M-103.8M-94.5M
Net DEX-1.24B-6.61B396.3M-2.43B57.4M
Net VEX-46.2M-55.6M-38.0M-55.6M-38.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.413.331.313.33
Total Volume206,463.744,279615,66274,83481,657
Total OI9,643,644.758,788,86810,556,42310,061,2939,103,880

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-11-01$44.53$43.0022.5%7.9%15.6%77.0%26.6%3.6%-1.1%-103.8M-2.43B-55.6M1.3123.0932,45942,3754,273,4965,787,797
2024-11-04$44.75$43.0023.4%6.9%15.3%83.8%22.8%3.2%-1.2%-89.2M-3.04B-55.1M3.1413.08148,634467,0284,231,5595,720,829
2024-11-05$45.33$43.0023.2%6.8%12.8%82.0%23.0%2.9%-3.9%-32.4M-4.54B-54.2M1.5815.5376,112120,0304,345,4375,772,020
2024-11-06$44.78$43.0019.2%6.0%13.4%52.7%21.0%2.1%3.4%-177.7M-3.35B-52.3M1.9218.4595,967183,8634,395,2345,846,834
2024-11-07$45.84$43.0018.9%5.9%16.0%50.5%20.4%1.9%-0.2%56.4M-6.61B-48.9M1.1521.97147,662169,3434,446,4915,959,026
2024-11-08$44.64$43.0017.3%5.5%18.3%38.4%18.7%2.0%-1.1%-46.4M-2.67B-50.0M1.6521.5291,707151,0884,528,7786,027,645
2024-11-11$44.33$43.0017.0%5.4%18.4%36.1%18.7%1.9%1.1%-96.8M-2.65B-47.4M1.1615.9537,32343,1414,487,6365,673,350
2024-11-12$43.55$43.0016.9%5.5%17.7%35.9%19.0%1.6%1.8%-179.1M-530.7M-46.4M1.4919.48134,322200,5064,512,3655,655,743
2024-11-13$43.22$43.0016.6%5.3%17.3%33.6%18.6%1.8%2.0%-188.5M-46.0M-45.4M0.9926.26134,272132,5014,543,0765,596,877
2024-11-14$42.97$43.0016.7%5.4%17.3%34.4%18.7%1.3%2.2%-179.3M278.5M-44.9M2.6517.78156,930415,1924,619,9335,632,594
2024-11-15$42.91$43.0016.2%5.2%16.7%30.3%17.8%1.2%2.4%-190.1M396.3M-44.6M1.9021.2194,266179,0804,670,1015,635,456
2024-11-18$43.41$43.0018.2%5.4%17.4%44.9%19.5%2.0%-1.1%-32.4M-171.3M-44.2M2.4414.9530,86975,1914,039,2034,749,665
2024-11-19$43.44$43.0018.8%5.5%17.4%49.4%18.0%2.0%-1.0%-44.1M-274.9M-44.8M1.3018.6958,59576,1124,062,9304,764,690
2024-11-20$43.33$43.0019.2%5.5%17.4%52.6%18.3%2.4%-0.8%-56.8M20.6M-44.5M1.4113.9924,30134,1604,085,2634,808,561
2024-11-21$43.25$43.0018.6%5.4%17.4%47.9%17.2%1.8%-1.0%-70.2M174.0M-43.1M0.4131.1053,23722,0804,093,5934,855,955
2024-11-22$43.23$43.0017.3%5.1%17.4%38.6%17.6%1.4%-1.4%-60.1M183.4M-42.7M2.0632.0914,47429,8054,091,9084,860,968
2024-11-25$43.39$43.0017.6%5.1%17.3%40.7%16.4%-2.1%-0.4%-52.5M-263.1M-40.8M0.6322.9947,96630,1004,090,0594,870,155
2024-11-26$43.11$43.0016.0%5.3%17.4%28.6%18.3%-3.4%-0.2%-74.8M367.6M-40.6M2.2617.3534,75478,4434,104,8364,878,808
2024-11-27$43.17$43.0016.6%5.2%17.3%33.1%17.8%1.0%-0.1%-76.7M281.1M-40.4M1.1626.8385,16198,5684,132,2194,917,925
2024-11-29$43.28$43.0015.4%5.0%17.2%24.6%16.7%1.3%1.1%-94.5M57.4M-38.0M3.3320.3018,87762,7804,154,5174,949,363