EMGF Options History — December 2023 In December 2023, EMGF traded between $41.21 and $43.92. ATM implied volatility averaged 48.3%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 31.5% (HV 20d: 16.8%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days.
Notable Days 2023-12-13 : Largest IV drop — 69.6% change2023-12-12 : Highest IV Rank — 71.5%2023-12-01 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $42.76 $41.21 $43.92 $43.07 $42.85 ATM IV 48.3% 28.9% 98.3% 48.8% 42.7% Expected Move 9.7% 7.7% 14.0% 14.0% 12.2% HV 20d 16.8% 9.7% 26.2% 13.8% 26.2% HV 60d 15.9% 13.8% 19.4% 14.1% 19.3% IV Rank 29.9% 11.5% 71.5% 28.7% 27.7% IV Percentile 55.4% 6.0% 98.0% 77.4% 62.7% Term Structure -3.2% -19.8% 0.5% -7.7% -1.1% Skew 25d 38.8% 6.4% 64.6% 64.6% 52.9% Skew 10d 44.2% 25.4% 73.5% 73.5% 60.1% Call IV 25d 23.2% 19.1% 33.5% 33.5% 27.2% Put IV 25d 62.0% 32.4% 98.2% 98.2% 80.1% Bid-Ask Spread % 142.96 139.32 147.72 139.32 147.72 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -232 -442 -89 -228 -142 Net DEX 1.3K 581 2.2K 1.2K 932 Net VEX -7 -8 -4 -7 -6 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 1 1 1 1 1
Daily Data (20 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-12-01 $43.07 $0.00 48.8% 14.0% 13.8% 28.7% 0.0% 64.6% -7.7% -228 1.2K -7 0.00 139.32 N/A N/A 0 0 0 1 2023-12-04 $42.63 $0.00 53.1% 7.7% 13.3% 32.4% 0.0% 36.0% -1.7% -170 1.3K -8 0.00 147.66 N/A N/A 0 0 0 1 2023-12-05 $42.49 $0.00 61.8% 8.6% 13.3% 39.9% 0.0% 36.4% -0.2% -432 1.1K -6 0.00 143.66 N/A N/A 0 0 0 1 2023-12-06 $42.50 $0.00 65.1% 8.7% 13.3% 42.8% 0.0% 36.9% -0.0% -442 1.1K -6 0.00 143.49 N/A N/A 0 0 0 1 2023-12-07 $42.66 $0.00 60.8% 7.9% 13.1% 39.0% 0.0% 37.1% -0.7% -214 1.4K -8 0.00 143.96 N/A N/A 0 0 0 1 2023-12-08 $42.58 $0.00 63.9% 7.9% 12.6% 41.7% 0.0% 37.5% -0.7% -226 1.4K -7 0.00 143.52 N/A N/A 0 0 0 1 2023-12-11 $42.82 $0.00 85.2% 8.2% 12.4% 60.1% 0.0% 39.0% 0.3% -269 1.2K -7 0.00 143.16 N/A N/A 0 0 0 1 2023-12-12 $42.81 $0.00 98.3% 8.3% 12.4% 71.5% 0.0% 39.5% 0.2% -271 1.2K -6 0.00 143.29 N/A N/A 0 0 0 1 2023-12-13 $43.25 $0.00 29.9% 8.6% 9.7% 12.3% 0.0% 39.7% 0.5% -266 945 -6 0.00 142.39 N/A N/A 0 0 0 1 2023-12-14 $43.85 $0.00 29.0% 8.3% 10.7% 11.5% 0.0% 39.6% -1.5% -89 1.6K -8 0.00 140.65 N/A N/A 0 0 0 1 2023-12-15 $43.63 $0.00 28.9% 8.3% 10.4% 13.6% 0.0% 40.4% -0.9% -213 900 -6 0.00 141.07 N/A N/A 0 0 0 1 2023-12-18 $43.58 $0.00 30.0% 8.6% 10.4% 14.7% 0.0% 42.0% -1.9% -266 745 -5 0.00 144.99 N/A N/A 0 0 0 1 2023-12-19 $43.92 $0.00 31.0% 8.9% 9.8% 15.7% 0.0% 42.4% -1.5% -249 581 -4 0.00 141.02 N/A N/A 0 0 0 1 2023-12-20 $41.21 $0.00 36.0% 10.3% 24.9% 20.9% 0.0% 31.5% -0.3% -205 2.2K -7 0.00 143.07 N/A N/A 0 0 0 1 2023-12-21 $41.95 $0.00 41.6% 11.9% 25.9% 26.6% 0.0% 32.6% -16.7% -154 1.9K -7 0.00 141.52 N/A N/A 0 0 0 1 2023-12-22 $41.81 $0.00 34.5% 9.9% 25.9% 19.3% 0.0% 6.4% -1.3% -190 2.0K -7 0.00 142.11 N/A N/A 0 0 0 1 2023-12-26 $42.27 $0.00 45.7% 13.1% 26.2% 30.8% 0.0% 34.4% -19.8% -190 1.8K -7 0.00 142.60 N/A N/A 0 0 0 1 2023-12-27 $42.48 $0.00 40.7% 11.7% 26.1% 25.7% 0.0% 34.6% -6.5% -258 1.6K -6 0.00 142.12 N/A N/A 0 0 0 1 2023-12-28 $42.78 $0.00 38.8% 11.1% 26.2% 23.7% 0.0% 51.7% -2.9% -162 1.0K -6 0.00 141.80 N/A N/A 0 0 0 1 2023-12-29 $42.85 $0.00 42.7% 12.2% 26.2% 27.7% 0.0% 52.9% -1.1% -142 932 -6 0.00 147.72 N/A N/A 0 0 0 1
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