VEA Options History — January 2014

In January 2014, VEA traded between $39.51 and $41.66. ATM implied volatility averaged 11.9%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.0% (HV 20d: 11.9%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 10.59.

Notable Days

  • 2014-01-21: Highest Volume — 789 contracts
  • 2014-01-16: Largest IV spike — 39.0% change
  • 2014-01-29: Highest IV Rank — 59.7%
  • 2014-01-29: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.94$39.51$41.66$40.98$39.51
Max Pain$41.29$41.00$42.00$41.00$41.00
ATM IV11.9%7.4%15.6%13.4%15.3%
Expected Move3.6%2.6%4.5%3.8%4.4%
HV 20d11.9%9.8%14.8%12.1%14.7%
HV 60d11.0%10.0%12.4%11.3%12.4%
IV Rank36.3%7.9%59.7%46.2%58.3%
IV Percentile31.4%0.4%81.3%52.0%75.8%
Term Structure-0.8%-5.6%1.5%0.3%-2.7%
VWIV13.1%9.0%18.8%15.9%18.8%
Skew 25d4.8%3.0%7.0%3.0%5.7%
Skew 10d11.0%0.7%15.6%7.2%14.4%
Call IV 25d10.7%7.9%14.9%12.8%14.9%
Put IV 25d15.4%12.7%20.7%15.9%20.7%
Bid-Ask Spread %28.4615.1688.9517.7019.42
Gamma HHI0.520.220.810.660.32
Net GEX279.6K38.3K691.7K270.9K38.3K
Net DEX-761.3K-1.8M1.4M-1.3M1.4M
Net VEX-7.0K-10.3K-4.6K-6.7K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.590.00111.00111.002.30
Total Volume134.286078933633
Total OI1,963.2388242,8191,4192,819

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$40.98$41.0013.4%3.8%12.1%46.2%15.9%3.0%0.3%270.9K-1.3M-6.7K111.0017.70N/AN/A33331,123296
2014-01-03$40.99$41.0012.0%3.5%11.8%37.4%0.0%3.3%1.1%137.7K-867.6K-6.7K0.0017.02N/AN/A001,120590
2014-01-06$40.91$42.0011.7%3.7%11.7%35.4%0.0%4.0%-0.0%80.9K-776.9K-6.2K0.0023.59N/AN/A501,120590
2014-01-07$41.15$42.0011.1%3.5%11.1%31.6%0.0%5.0%0.6%270.3K-1.3M-6.1K0.0028.32N/AN/A4601,125590
2014-01-08$41.14$42.0010.8%3.5%11.1%29.5%11.1%4.6%-0.9%273.8K-1.4M-6.2K0.0027.34N/AN/A601,171590
2014-01-09$41.09$42.0010.0%3.4%11.0%24.2%0.0%4.3%-1.4%267.0K-1.5M-5.4K0.7544.60N/AN/A16121,175590
2014-01-10$41.46$42.009.9%3.4%10.8%23.8%11.3%3.4%-0.9%489.4K-1.8M-6.3K3.5050.27N/AN/A10351,189602
2014-01-13$41.11$42.0012.2%3.6%10.9%38.2%13.7%3.9%-1.3%292.9K-1.4M-5.3K2.8320.03N/AN/A6171,199612
2014-01-14$41.42$41.008.0%3.4%11.1%11.7%0.0%5.2%-0.1%328.8K-1.5M-4.6K0.0019.05N/AN/A4801,199623
2014-01-15$41.62$41.007.4%2.9%11.0%7.9%0.0%5.1%-1.3%691.7K-1.6M-5.5K0.0016.70N/AN/A22501,201585
2014-01-16$41.55$41.0010.3%2.9%10.8%26.2%10.3%4.9%-0.3%434.9K-1.4M-5.4K0.6015.87N/AN/A531,129585
2014-01-17$41.45$41.0010.8%3.1%9.8%29.9%10.8%4.3%1.3%365.0K-1.3M-5.5K0.0017.21N/AN/A051,134584
2014-01-21$41.62$41.009.0%2.6%9.9%18.5%9.0%5.1%1.3%116.7K-1.2M-5.2K0.3588.95N/AN/A584205615209
2014-01-22$41.66$41.009.9%2.8%9.9%23.6%9.8%4.8%-1.1%446.7K-1.5M-7.9K0.1524.43N/AN/A335511,199414
2014-01-23$41.35$41.0011.9%3.4%9.8%36.4%10.4%3.7%-1.6%547.5K-1.3M-9.6K0.0762.19N/AN/A281191,534465
2014-01-24$40.21$41.0015.0%4.3%14.1%56.2%15.0%6.2%-2.5%305.8K-162.8K-8.9K37.3033.75N/AN/A103731,815484
2014-01-27$40.02$41.0015.2%4.4%13.9%57.6%15.3%5.6%-3.4%119.0K698.6K-9.1K20.3319.27N/AN/A3611,819850
2014-01-28$40.42$41.0015.2%4.4%14.3%57.7%0.0%7.0%-0.5%173.6K504.8K-10.3K0.0015.16N/AN/A0221,822907
2014-01-29$39.94$41.0015.6%4.5%14.6%59.7%15.3%5.9%-5.6%106.5K868.4K-8.7K0.9320.90N/AN/A27251,822929
2014-01-30$40.15$41.0014.5%4.2%14.8%53.1%17.2%4.8%1.5%113.4K773.3K-9.6K0.0016.02N/AN/A0161,849954
2014-01-31$39.51$41.0015.3%4.4%14.7%58.3%18.8%5.7%-2.7%38.3K1.4M-8.3K2.3019.42N/AN/A10231,849970