EMGF Options History — September 2023

In September 2023, EMGF traded between $40.70 and $42.17. ATM implied volatility averaged 34.6%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 22.0% (HV 20d: 12.6%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days.

Notable Days

  • 2023-09-07: Largest IV spike — 231.3% change
  • 2023-09-07: Highest IV Rank — 44.0%
  • 2023-09-29: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.56$40.70$42.17$42.16$40.95
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV34.6%20.9%69.3%23.4%42.2%
Expected Move9.8%6.7%12.1%6.7%12.1%
HV 20d12.6%12.0%13.4%13.0%12.0%
HV 60d15.0%14.3%15.4%15.2%14.3%
IV Rank12.6%0.1%44.0%2.4%19.4%
IV Percentile26.4%0.8%93.7%1.6%57.5%
Term Structure-2.2%-8.1%4.2%-8.1%4.2%
Skew 25d45.5%36.5%62.7%62.7%55.4%
Skew 10d51.9%42.2%66.9%66.9%63.0%
Call IV 25d23.6%19.8%28.3%23.9%28.3%
Put IV 25d69.0%56.3%86.6%86.6%83.7%
Bid-Ask Spread %139.21137.66141.44139.34141.44
Gamma HHI1.001.001.001.001.00
Net GEX-248-9190-3640
Net DEX1.0K02.3K1.9K0
Net VEX-1-30-30
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI0.50110

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$42.16$42.0023.4%6.7%13.0%2.4%0.0%62.7%-8.1%-3641.9K-30.00139.34N/AN/A0001
2023-09-05$42.04$0.0022.3%8.5%13.0%1.4%0.0%36.5%-1.9%-4491.7K-30.00138.82N/AN/A0001
2023-09-06$41.78$0.0020.9%8.4%12.6%0.1%0.0%37.0%0.2%-5301.9K-30.00138.47N/AN/A0001
2023-09-07$41.41$0.0069.3%9.3%12.8%44.0%0.0%37.8%-2.1%-2232.3K-20.00138.83N/AN/A0001
2023-09-08$41.59$0.0021.3%8.5%13.0%0.5%0.0%38.0%-0.7%-2272.2K-20.00138.97N/AN/A0001
2023-09-11$42.06$0.0027.9%9.0%12.9%6.5%0.0%39.1%-2.3%-6721.7K-20.00139.06N/AN/A0001
2023-09-12$41.86$0.0029.0%9.0%13.0%7.4%0.0%39.8%-0.6%-9192.3K-20.00138.00N/AN/A0001
2023-09-13$41.83$0.0031.8%9.1%12.3%10.0%0.0%40.8%-2.5%-3272.2K-10.00138.49N/AN/A0001
2023-09-14$42.17$0.0032.8%9.4%12.2%10.8%0.0%41.1%-1.8%-3881.9K-10.00139.05N/AN/A0001
2023-09-15$41.93$0.0032.9%9.4%12.4%11.0%0.0%41.9%-2.0%-8652.2K00.00141.39N/AN/A0001
2023-09-18$41.92$0.0033.6%9.6%12.2%11.6%0.0%43.9%-2.0%0000.00137.66N/AN/A0000
2023-09-19$41.81$0.0033.7%9.7%12.2%11.7%0.0%44.6%-2.0%0000.00138.85N/AN/A0000
2023-09-20$41.69$0.0034.0%9.8%12.3%12.0%0.0%45.5%-1.5%0000.00139.94N/AN/A0000
2023-09-21$41.01$0.0037.0%10.6%12.5%14.7%0.0%47.1%-2.9%0000.00139.39N/AN/A0000
2023-09-22$41.45$0.0039.2%11.2%13.1%16.7%0.0%47.4%-3.5%0000.00139.34N/AN/A0000
2023-09-25$41.25$0.0039.9%11.4%13.2%17.3%0.0%50.7%-3.5%0000.00139.53N/AN/A0000
2023-09-26$40.70$0.0039.3%11.3%13.4%16.7%0.0%52.1%-3.7%0000.00139.64N/AN/A0000
2023-09-27$40.75$0.0040.7%11.7%12.3%18.0%0.0%53.2%-4.2%0000.00139.04N/AN/A0000
2023-09-28$40.89$0.0041.6%11.9%12.4%18.8%0.0%54.3%-3.9%0000.00138.90N/AN/A0000
2023-09-29$40.95$0.0042.2%12.1%12.0%19.4%0.0%55.4%4.2%0000.00141.44N/AN/A0000