EMGF Options History — May 2023

In May 2023, EMGF traded between $40.30 and $41.37. ATM implied volatility averaged 41.6%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 28.4% (HV 20d: 13.2%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2023-05-15: Highest Volume — 1 contracts
  • 2023-05-10: Largest IV drop — 46.3% change
  • 2023-05-09: Highest IV Rank — 33.6%
  • 2023-05-31: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.83$40.30$41.37$40.86$40.34
Max Pain$40.84$40.00$42.00$42.00$40.00
ATM IV41.6%31.7%59.2%44.6%48.4%
Expected Move10.7%8.7%13.9%12.8%13.9%
HV 20d13.2%12.0%13.9%12.6%13.6%
HV 60d13.9%13.1%14.3%14.2%13.7%
IV Rank17.4%8.3%33.6%20.1%23.7%
IV Percentile49.5%9.5%91.3%67.5%76.6%
Term Structure-3.0%-8.5%0.1%-1.4%-8.5%
VWIV22.3%20.8%23.8%23.8%20.8%
Skew 25d43.6%28.9%64.2%60.0%58.4%
Skew 10d47.2%30.8%73.0%68.4%54.7%
Call IV 25d24.8%18.8%32.9%30.8%30.2%
Put IV 25d68.3%49.1%97.1%90.8%88.6%
Bid-Ask Spread %135.88133.64138.63137.33135.90
Gamma HHI0.960.821.001.000.93
Net GEX134-1154564169
Net DEX165-1.6K1.5K1.5K-484
Net VEX-15-18-13-14-14
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.0910100
Total OI2.52323

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$40.86$0.0044.6%12.8%12.6%20.1%0.0%60.0%-1.4%641.5K-140.00137.33N/AN/A0011
2023-05-02$40.51$0.0044.2%12.7%12.7%19.8%0.0%62.3%-0.6%51.2K-140.00138.63N/AN/A0011
2023-05-03$40.51$0.0046.3%13.3%12.7%21.7%0.0%64.2%-2.9%41.2K-140.00137.64N/AN/A0011
2023-05-04$40.88$42.0049.2%8.7%13.1%24.4%0.0%28.9%0.1%651.4K-140.00134.78N/AN/A0011
2023-05-05$41.34$42.0051.3%8.9%13.7%26.3%0.0%29.9%0.1%107967-140.00133.64N/AN/A0011
2023-05-08$41.37$42.0057.9%9.3%13.7%32.4%0.0%30.5%-0.8%118998-140.00135.81N/AN/A0011
2023-05-09$41.09$42.0059.2%9.1%13.7%33.6%0.0%31.4%-0.2%1051.3K-130.00134.48N/AN/A0011
2023-05-10$41.11$42.0031.8%9.1%12.8%8.3%0.0%32.1%-0.9%1121.4K-130.00134.84N/AN/A0011
2023-05-11$40.88$42.0031.7%9.1%12.0%8.3%0.0%37.5%-1.1%-81.1K-140.00135.20N/AN/A0011
2023-05-12$40.48$42.0034.9%10.0%12.3%11.3%0.0%38.3%-1.4%-111.4K-130.00136.90N/AN/A0011
2023-05-15$41.14$42.0034.1%9.8%13.8%10.5%23.8%37.5%-1.7%1141.4K-130.00134.14N/AN/A1011
2023-05-16$40.92$40.0034.4%9.9%13.9%10.8%0.0%40.3%-2.6%169-1.2K-180.00135.20N/AN/A0021
2023-05-17$41.03$40.0034.7%9.9%13.5%11.0%0.0%41.1%-2.6%159-1.4K-170.00136.03N/AN/A0021
2023-05-18$40.88$40.0034.7%9.9%13.6%11.0%0.0%41.5%-1.2%166-1.1K-170.00136.17N/AN/A0021
2023-05-19$40.91$40.0035.6%10.2%13.3%11.9%0.0%41.9%-4.9%160-1.1K-170.00136.77N/AN/A0021
2023-05-22$41.20$40.0038.2%11.0%13.5%14.3%0.0%44.5%-5.6%180-1.6K-170.00135.49N/AN/A0021
2023-05-23$40.63$40.0037.7%10.8%12.9%13.8%0.0%46.1%-6.2%178-877-160.00137.20N/AN/A0021
2023-05-24$40.34$40.0041.5%11.9%13.1%17.3%0.0%48.6%-5.8%172-534-150.00137.23N/AN/A0021
2023-05-25$40.30$40.0040.3%11.5%12.1%16.2%20.8%40.6%-2.9%545216-130.00133.65N/AN/A1021
2023-05-26$40.98$40.0040.4%11.6%13.4%16.3%0.0%48.7%-6.2%179-1.3K-160.00134.98N/AN/A0021
2023-05-30$40.63$40.0043.2%12.4%13.7%18.9%0.0%54.6%-7.8%189-827-140.00137.28N/AN/A0021
2023-05-31$40.34$40.0048.4%13.9%13.6%23.7%0.0%58.4%-8.5%169-484-140.00135.90N/AN/A0021