VEA Options History — March 2014

In March 2014, VEA traded between $40.40 and $42.20. ATM implied volatility averaged 13.0%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 2.0% (HV 20d: 15.0%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 11.47.

Notable Days

  • 2014-03-25: Highest Volume — 659 contracts
  • 2014-03-13: Largest IV spike — 152.8% change
  • 2014-03-10: Highest IV Rank — 72.4%
  • 2014-03-14: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.05$40.40$42.20$41.01$41.27
Max Pain$40.19$40.00$41.00$41.00$40.00
ATM IV13.0%6.5%17.6%16.0%13.3%
Expected Move3.7%2.4%5.0%4.6%3.8%
HV 20d15.0%13.4%15.9%15.9%13.9%
HV 60d14.9%14.2%15.3%14.2%14.8%
IV Rank43.2%2.2%72.4%62.2%45.5%
IV Percentile44.9%0.4%92.1%83.7%49.6%
Term Structure-0.3%-7.5%2.8%-1.3%0.4%
VWIV14.3%9.9%18.8%15.5%14.4%
Skew 25d4.6%-1.5%6.6%4.8%4.4%
Skew 10d10.7%3.6%17.4%13.3%11.6%
Call IV 25d12.3%9.5%15.2%14.6%11.6%
Put IV 25d16.9%13.6%21.6%19.5%16.0%
Bid-Ask Spread %78.9015.71115.3551.03100.99
Gamma HHI0.450.240.680.420.57
Net GEX326.6K-76.7K688.0K330.1K554.1K
Net DEX-1.1M-3.9M1.6M-678.5K-3.0M
Net VEX-10.6K-13.5K-7.0K-12.2K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.470.00178.000.520.00
Total Volume150.714065938419
Total OI2,953.9051,5723,4923,0322,888

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$41.01$41.0016.0%4.6%15.9%62.2%15.5%4.8%-1.3%330.1K-678.5K-12.2K0.5251.03N/AN/A25132,0291,003
2014-03-04$41.82$41.0012.4%3.6%14.9%39.7%14.2%3.6%0.8%438.9K-2.5M-12.3K0.0022.02N/AN/A8302,0041,014
2014-03-05$41.73$41.0012.2%3.5%14.9%38.1%0.0%6.3%0.6%475.6K-2.3M-11.6K0.0015.71N/AN/A001,9671,014
2014-03-06$42.20$41.0010.1%2.9%15.1%25.1%10.6%5.1%1.1%567.3K-3.9M-10.0K0.18115.35N/AN/A1121,9671,014
2014-03-07$41.98$40.007.9%2.4%14.2%11.1%0.0%5.7%-0.0%688.0K-3.8M-10.2K0.0092.57N/AN/A0151,9681,016
2014-03-10$41.70$40.0017.6%3.3%14.2%72.4%11.7%5.5%2.8%370.8K-1.4M-11.4K0.3517.53N/AN/A71251,9681,016
2014-03-11$41.41$40.0014.1%4.0%14.4%50.8%0.0%2.8%-7.5%451.3K-2.1M-9.5K1.6718.31N/AN/A6101,9711,037
2014-03-12$41.23$40.006.5%3.6%13.4%2.2%17.5%6.6%-1.8%405.3K-1.7M-9.6K0.3957.81N/AN/A36141,9731,037
2014-03-13$40.50$40.0016.4%4.7%14.8%64.9%15.5%5.2%-0.1%236.8K300.0K-9.8K0.1486.04N/AN/A159222,0091,047
2014-03-14$40.40$40.0017.3%5.0%14.8%71.0%16.3%6.5%-0.1%110.9K821.9K-9.3K7.3772.71N/AN/A493612,0601,058
2014-03-17$40.89$40.0014.5%4.2%15.4%53.3%18.8%5.7%1.0%110.3K-99.1K-8.9K178.0097.80N/AN/A23562,0551,058
2014-03-18$41.15$40.0013.9%4.0%15.3%49.0%14.3%5.5%0.4%137.4K-527.4K-10.1K6.0097.51N/AN/A3182,0571,414
2014-03-19$40.64$40.0013.2%3.8%15.7%45.0%14.3%3.6%-0.6%124.6K855.2K-10.3K0.03103.16N/AN/A7022,0601,432
2014-03-20$40.48$40.0014.2%4.1%15.6%51.4%13.6%6.0%0.8%33.5K1.6M-9.2K0.33106.77N/AN/A1552,0251,417
2014-03-21$40.41$40.0010.8%3.1%15.6%29.9%0.0%-1.5%-7.0%43.5K1.3M-8.2K0.0097.07N/AN/A1402,0351,420
2014-03-24$40.48$40.0012.3%3.5%15.2%39.2%9.9%5.3%0.4%-76.7K607.2K-7.0K0.01108.49N/AN/A4946719853
2014-03-25$40.51$40.0011.3%3.2%15.2%32.9%11.4%5.3%1.1%239.1K-286.2K-10.2K0.0096.91N/AN/A65721,208859
2014-03-26$40.52$40.0012.7%3.6%15.2%41.4%12.6%4.9%0.5%492.4K-1.4M-12.9K0.00101.44N/AN/A7901,845860
2014-03-27$40.75$40.0012.2%3.5%15.3%38.7%0.0%3.0%1.4%578.7K-2.0M-13.4K0.0098.75N/AN/A0911,922860
2014-03-28$41.04$40.0013.0%3.7%15.6%43.8%18.2%2.4%1.3%545.7K-2.5M-13.5K0.0099.03N/AN/A0301,922951
2014-03-31$41.27$40.0013.3%3.8%13.9%45.5%14.4%4.4%0.4%554.1K-3.0M-13.5K0.00100.99N/AN/A41811,922966