VEA Options History — April 2014

In April 2014, VEA traded between $40.76 and $41.92. ATM implied volatility averaged 12.3%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.8% (HV 20d: 11.6%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2014-04-21: Highest Volume — 96 contracts
  • 2014-04-10: Largest IV spike — 47.5% change
  • 2014-04-11: Highest IV Rank — 53.2%
  • 2014-04-07: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.41$40.76$41.92$41.57$41.92
Max Pain$40.43$40.00$41.00$40.00$41.00
ATM IV12.3%9.8%14.5%11.2%11.0%
Expected Move3.6%3.0%4.2%3.2%3.2%
HV 20d11.6%11.0%12.2%12.2%11.2%
HV 60d14.7%13.0%15.6%14.8%13.0%
IV Rank39.3%23.0%53.2%32.3%30.8%
IV Percentile36.1%6.3%67.9%16.3%15.9%
Term Structure0.4%-0.8%1.5%0.7%1.5%
VWIV14.7%10.8%23.4%13.3%11.6%
Skew 25d4.5%3.6%5.8%3.8%3.8%
Skew 10d8.8%4.1%14.8%5.3%9.9%
Call IV 25d11.2%8.7%13.3%10.8%9.9%
Put IV 25d15.7%13.7%18.4%14.5%13.7%
Bid-Ask Spread %95.6584.16105.26100.92105.26
Gamma HHI0.470.200.760.520.20
Net GEX640.3K202.9K1.2M685.2K255.5K
Net DEX-3.5M-5.7M-2.0M-4.4M-2.5M
Net VEX-11.7K-15.0K-8.7K-14.0K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.0022.000.390.00
Total Volume29.905096321
Total OI2,613.2381,6013,3063,3061,788

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$41.57$40.0011.2%3.2%12.2%32.3%13.3%3.8%0.7%685.2K-4.4M-14.0K0.39100.92N/AN/A2392,339967
2014-04-02$41.64$40.0011.1%3.2%12.2%31.5%0.0%4.0%1.2%656.6K-4.6M-14.4K0.00100.85N/AN/A002,320930
2014-04-03$41.50$40.0012.4%3.6%11.5%39.9%17.1%3.8%1.3%698.8K-4.3M-13.6K0.00100.59N/AN/A0152,320930
2014-04-04$41.39$40.0012.6%4.0%11.4%41.0%15.5%4.0%-0.5%766.6K-4.2M-15.0K0.0284.16N/AN/A5612,320942
2014-04-07$41.20$40.0013.1%4.2%11.3%44.1%23.4%3.6%-0.5%831.9K-3.7M-13.2K0.1585.19N/AN/A4872,291943
2014-04-08$41.17$40.0013.0%4.1%11.0%43.4%16.2%4.4%-0.2%886.8K-3.6M-12.8K2.4284.20N/AN/A12292,243948
2014-04-09$41.74$40.009.8%3.6%12.0%23.0%16.7%4.6%-0.4%780.8K-5.7M-12.0K0.1389.88N/AN/A1622,253797
2014-04-10$40.99$40.0014.4%4.1%12.0%52.3%0.0%4.3%-0.4%902.9K-3.9M-13.4K0.6285.21N/AN/A37232,267795
2014-04-11$40.76$40.0014.5%4.2%12.2%53.2%14.6%4.9%-0.4%969.3K-3.3M-12.8K0.1089.47N/AN/A2122,288818
2014-04-14$40.99$40.0014.5%4.1%11.6%52.7%14.3%5.5%-0.1%1.2M-3.7M-12.2K0.0094.20N/AN/A3002,308820
2014-04-15$40.79$40.0014.4%4.1%11.4%52.2%11.3%4.8%-0.8%1.2M-3.2M-11.7K0.0087.48N/AN/A1002,298820
2014-04-16$41.33$40.0013.3%3.8%11.5%45.5%13.3%4.9%0.3%1.1M-5.0M-10.6K22.0091.78N/AN/A1222,283800
2014-04-17$41.48$41.0013.1%3.8%11.4%44.1%10.8%5.0%0.0%957.1K-5.3M-10.9K0.0397.41N/AN/A3112,283812
2014-04-21$41.55$41.0010.3%3.0%11.3%26.6%13.5%5.5%1.4%202.9K-2.2M-8.7K1.40102.20N/AN/A40561,217384
2014-04-22$41.72$41.0011.1%3.2%11.4%31.5%0.0%5.8%0.5%215.0K-2.4M-10.0K0.0098.27N/AN/A001,247440
2014-04-23$41.61$41.0010.4%3.0%11.5%27.0%0.0%4.2%1.5%209.1K-2.2M-9.4K0.00104.97N/AN/A301,247440
2014-04-24$41.60$41.0011.1%3.2%11.5%31.6%11.6%4.6%0.7%206.3K-2.1M-10.1K0.0099.82N/AN/A2901,250440
2014-04-25$41.40$41.0013.7%3.9%11.5%47.8%0.0%4.2%0.7%210.3K-2.0M-10.0K0.00102.73N/AN/A9601,275440
2014-04-28$41.52$41.0012.4%3.6%11.3%39.9%0.0%5.2%0.9%243.1K-2.2M-10.0K0.17102.09N/AN/A611,347440
2014-04-29$41.79$41.0011.5%3.3%11.4%34.2%0.0%4.4%1.3%243.2K-2.4M-10.1K0.00101.97N/AN/A001,347441
2014-04-30$41.92$41.0011.0%3.2%11.2%30.8%0.0%3.8%1.5%255.5K-2.5M-9.7K0.00105.26N/AN/A101,347441