EMGF Options History — January 2022

In January 2022, EMGF traded between $49.44 and $52.73. ATM implied volatility averaged 34.5%. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 20.0% (HV 20d: 14.6%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

  • 2022-01-26: Largest IV spike — 48.3% change
  • 2022-01-26: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.18$49.44$52.73$51.63$50.73
Max Pain$46.00$46.00$46.00$46.00$46.00
ATM IV34.5%23.2%57.0%39.7%28.8%
Expected Move9.2%6.1%16.3%11.4%8.3%
HV 20d14.6%12.4%18.5%14.7%18.5%
HV 60d14.2%13.5%15.7%13.6%15.7%
Term Structure-5.7%-13.8%-1.7%-6.7%-7.5%
Skew 25d12.0%2.0%40.1%37.2%16.2%
Skew 10d9.0%3.2%45.9%7.6%3.2%
Call IV 25d29.0%16.5%57.8%35.6%17.6%
Put IV 25d41.0%25.3%78.9%72.8%33.8%
Bid-Ask Spread %145.31130.73152.79152.79142.07
Gamma HHI0.430.340.550.380.54
Net GEX-1.8K-2.7K-1.1K-2.1K-1.2K
Net DEX12.7K4.4K25.2K17.9K11.4K
Net VEX-122-179-25-168-127
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI3730404030

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$51.63$46.0039.7%11.4%14.7%0.0%0.0%37.2%-6.7%-2.1K17.9K-1680.00152.79N/AN/A00040
2022-01-04$51.35$46.0043.4%12.4%14.9%0.0%0.0%38.5%-6.3%-1.9K13.6K-1220.00152.77N/AN/A00040
2022-01-05$50.91$46.0043.5%12.5%14.9%0.0%0.0%40.1%-7.1%-2.1K14.8K-1230.00151.33N/AN/A00040
2022-01-06$50.90$0.0044.9%8.2%14.7%0.0%0.0%24.3%-1.7%-2.7K13.6K-980.00150.67N/AN/A00040
2022-01-07$51.34$0.0030.6%6.1%15.0%0.0%0.0%2.9%-2.0%-1.9K9.7K-1050.00141.43N/AN/A00040
2022-01-10$51.32$0.0034.1%6.4%15.0%0.0%0.0%2.7%-2.5%-2.0K13.2K-1340.00141.76N/AN/A00040
2022-01-11$52.24$0.0033.7%6.2%12.4%0.0%0.0%3.1%-3.1%-1.6K11.6K-1250.00142.03N/AN/A00040
2022-01-12$52.73$0.0027.9%8.0%12.6%0.0%0.0%2.9%-4.0%-1.4K8.0K-790.00151.86N/AN/A00040
2022-01-13$52.47$0.0023.4%6.7%12.8%0.0%0.0%2.3%-4.3%-1.5K11.8K-1280.00141.56N/AN/A00040
2022-01-14$52.34$0.0023.2%6.7%12.9%0.0%0.0%2.8%-3.7%-1.7K11.8K-1300.00141.94N/AN/A00040
2022-01-18$51.38$0.0025.4%7.3%14.7%0.0%0.0%2.6%-4.1%-1.9K13.1K-1300.00141.04N/AN/A00040
2022-01-19$51.89$0.0031.7%9.1%13.6%0.0%0.0%2.6%-3.9%-2.4K6.2K-250.00130.73N/AN/A00040
2022-01-20$51.88$0.0025.3%7.2%12.8%0.0%0.0%2.2%-3.6%-1.8K14.0K-1360.00141.44N/AN/A00040
2022-01-21$51.30$0.0034.1%9.8%13.4%0.0%0.0%3.2%-6.1%-1.1K10.3K-1220.00147.75N/AN/A00040
2022-01-24$50.17$0.0031.1%8.9%15.3%0.0%0.0%4.4%-6.6%-1.4K15.3K-1670.00140.06N/AN/A00030
2022-01-25$50.38$0.0038.5%11.0%15.2%0.0%0.0%2.0%-9.9%-1.3K4.4K-540.00150.55N/AN/A00030
2022-01-26$49.73$0.0057.0%16.3%15.8%0.0%0.0%3.4%-13.8%-2.5K25.2K-1790.00144.28N/AN/A00030
2022-01-27$49.45$0.0039.9%11.4%15.9%0.0%0.0%22.4%-9.0%-1.5K17.0K-1710.00150.95N/AN/A00030
2022-01-28$49.44$0.0034.4%9.9%15.8%0.0%0.0%23.9%-7.5%-1.5K10.0K-1120.00149.27N/AN/A00030
2022-01-31$50.73$0.0028.8%8.3%18.5%0.0%0.0%16.2%-7.5%-1.2K11.4K-1270.00142.07N/AN/A00030