EMGF Options History — July 2024

In July 2024, EMGF traded between $45.88 and $48.66. ATM implied volatility averaged 18.5%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 7.6% (HV 20d: 10.9%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 1 of 22 days.

Notable Days

  • 2024-07-10: Largest IV drop — 46.8% change
  • 2024-07-31: Highest IV Rank — 22.5%
  • 2024-07-31: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.21$45.88$48.66$46.78$47.01
Max Pain$49.00$49.00$49.00$49.00$49.00
ATM IV18.5%13.8%28.6%17.4%28.6%
Expected Move5.0%3.9%8.2%5.0%8.2%
HV 20d10.9%6.4%15.2%13.5%15.2%
HV 60d12.3%11.3%12.8%12.6%12.7%
IV Rank11.1%5.9%22.5%9.9%22.5%
IV Percentile22.0%3.2%60.3%13.9%60.3%
Term Structure-4.3%-17.3%2.2%-3.5%-17.3%
Skew 25d0.9%0.1%2.1%0.5%1.1%
Skew 10d1.7%0.5%4.0%0.5%1.0%
Call IV 25d17.9%14.5%22.3%20.1%22.3%
Put IV 25d18.8%15.4%23.4%20.6%23.4%
Bid-Ask Spread %154.43149.62161.05154.11160.47
Gamma HHI1.001.001.001.001.00
Net GEX70201.4K7920
Net DEX-2.6K-6.6K0-2.5K0
Net VEX-4-100-90
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI1.9090330

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$46.78$49.0017.4%5.0%13.5%9.9%0.0%0.5%-3.5%792-2.5K-90.00154.11N/AN/A0030
2024-07-02$47.00$49.0017.6%5.0%12.8%10.1%0.0%1.1%-3.9%873-2.8K-80.00153.73N/AN/A0030
2024-07-03$47.56$49.0018.6%5.3%11.3%11.3%0.0%1.7%-4.2%1.1K-4.0K-100.00153.50N/AN/A0030
2024-07-05$47.79$0.0022.7%5.2%10.5%15.8%0.0%1.1%-7.7%1.0K-4.9K-100.00155.91N/AN/A0030
2024-07-08$47.75$0.0021.0%3.9%10.2%14.0%0.0%0.8%-1.5%1.1K-4.3K-90.00153.08N/AN/A0030
2024-07-09$47.88$0.0026.0%4.0%9.2%19.5%0.0%1.6%-1.6%1.1K-4.7K-80.00160.30N/AN/A0030
2024-07-10$48.10$0.0013.8%4.0%9.1%6.0%0.0%0.7%2.2%1.2K-5.1K-80.00155.19N/AN/A0030
2024-07-11$48.41$0.0015.1%4.3%7.0%7.4%0.0%0.9%-2.6%1.3K-5.9K-80.00149.62N/AN/A0030
2024-07-12$48.66$0.0013.8%4.0%6.4%5.9%0.0%0.8%-1.4%1.4K-6.6K-80.00149.95N/AN/A0030
2024-07-15$48.09$0.0014.7%4.2%8.1%6.9%0.0%0.1%-2.3%1.3K-4.7K-60.00151.03N/AN/A0030
2024-07-16$48.33$0.0015.5%4.4%8.2%7.8%0.0%0.7%-2.7%1.4K-5.4K-50.00149.93N/AN/A0030
2024-07-17$47.62$0.0015.0%4.3%10.0%7.3%0.0%0.5%-2.4%1.2K-3.3K-30.00152.19N/AN/A0030
2024-07-18$47.13$0.0016.0%4.6%10.5%8.3%0.0%1.0%-3.1%901-2.3K-20.00151.45N/AN/A0030
2024-07-19$46.68$0.0016.1%4.6%11.1%8.5%0.0%0.4%-2.8%677-1.5K00.00152.91N/AN/A0030
2024-07-22$47.01$0.0016.5%4.7%11.3%8.9%0.0%1.3%-3.3%0000.00152.49N/AN/A0000
2024-07-23$46.61$0.0017.2%4.9%11.7%9.7%0.0%0.4%-4.0%0000.00154.72N/AN/A0000
2024-07-24$46.03$0.0024.9%7.1%12.4%18.3%0.0%0.1%-12.5%0000.00161.05N/AN/A0000
2024-07-25$45.88$0.0018.3%5.2%12.5%10.9%0.0%1.4%-4.6%0000.00154.22N/AN/A0000
2024-07-26$46.26$0.0018.8%5.4%12.8%11.5%0.0%1.5%-5.0%0000.00160.60N/AN/A0000
2024-07-29$46.19$0.0019.5%5.6%12.7%12.3%0.0%2.1%-4.4%0000.00157.17N/AN/A0000
2024-07-30$45.95$0.0019.5%5.6%12.8%12.3%0.0%1.2%-5.7%0000.00153.95N/AN/A0000
2024-07-31$47.01$0.0028.6%8.2%15.2%22.5%0.0%1.1%-17.3%0000.00160.47N/AN/A0000