VEA Options History — May 2014

In May 2014, VEA traded between $41.71 and $42.66. ATM implied volatility averaged 10.2%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 2.7% (HV 20d: 7.5%). 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 21 of 21 days. Put/call ratio averaged 2.40.

Notable Days

  • 2014-05-23: Highest Volume — 227 contracts
  • 2014-05-28: Largest IV spike — 23.9% change
  • 2014-05-07: Highest IV Rank — 34.7%
  • 2014-05-06: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.12$41.71$42.66$42.06$42.66
Max Pain$40.10$40.00$41.00$41.00$40.00
ATM IV10.2%8.3%11.6%10.6%8.4%
Expected Move3.1%2.4%3.6%3.1%2.4%
HV 20d7.5%5.2%11.2%11.2%6.3%
HV 60d11.6%10.1%12.8%12.8%10.1%
IV Rank25.5%13.9%34.7%28.5%14.5%
IV Percentile11.7%3.2%25.8%12.3%3.6%
Term Structure1.6%0.6%2.6%1.7%1.0%
VWIV12.4%8.4%15.0%10.7%8.4%
Skew 25d4.0%3.2%5.0%4.0%3.7%
Skew 10d8.2%3.4%12.8%5.3%7.3%
Call IV 25d9.4%7.3%11.4%9.4%8.3%
Put IV 25d13.4%11.9%15.4%13.4%12.1%
Bid-Ask Spread %60.5025.77108.65108.6551.73
Gamma HHI0.280.200.450.200.38
Net GEX300.1K96.4K517.7K261.9K365.5K
Net DEX-2.7M-3.3M-1.8M-2.7M-3.3M
Net VEX-8.8K-9.6K-8.0K-9.5K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.400.0023.380.000.00
Total Volume66.0950227260
Total OI2,080.5241,7892,3801,7892,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$42.06$41.0010.6%3.1%11.2%28.5%10.7%4.0%1.7%261.9K-2.7M-9.5K0.00108.65N/AN/A2601,348441
2014-05-02$42.00$41.0010.5%3.0%11.1%28.0%10.5%4.3%1.7%266.2K-2.5M-9.5K0.0059.48N/AN/A10001,354441
2014-05-05$41.95$40.0010.7%3.5%11.1%28.7%14.2%4.1%2.0%356.5K-2.8M-9.6K4.0065.84N/AN/A141,454441
2014-05-06$41.89$40.0011.4%3.6%11.0%33.5%0.0%4.2%1.4%350.4K-2.7M-9.3K0.0025.86N/AN/A01561,455445
2014-05-07$41.93$40.0011.6%3.5%10.9%34.7%13.7%4.0%1.6%277.7K-2.6M-9.6K0.0534.03N/AN/A5531,455601
2014-05-08$41.92$40.0010.3%3.5%9.8%26.4%0.0%4.5%1.5%298.4K-2.7M-9.4K0.0030.35N/AN/A01111,482600
2014-05-09$41.86$40.009.3%3.4%7.1%20.2%10.6%4.7%1.7%324.8K-2.6M-9.2K0.1436.47N/AN/A70101,482536
2014-05-12$42.18$40.0010.9%3.3%7.0%30.2%11.8%4.2%1.8%410.5K-3.1M-8.8K0.2025.77N/AN/A1021,529546
2014-05-13$42.24$40.0010.0%3.2%6.9%24.5%0.0%3.6%2.0%451.5K-3.2M-8.5K1.0035.56N/AN/A10101,539544
2014-05-14$42.18$40.0010.0%3.2%6.5%24.5%13.8%4.3%1.9%446.8K-3.2M-8.5K23.3899.65N/AN/A81871,539554
2014-05-15$41.99$40.0011.0%3.2%5.3%30.8%14.1%3.5%2.3%409.6K-2.7M-9.2K0.1070.25N/AN/A1011,528705
2014-05-16$42.06$40.0010.9%3.1%5.2%30.1%13.8%3.3%2.6%517.7K-2.8M-8.8K0.8676.98N/AN/A22191,528705
2014-05-19$41.99$40.0010.2%2.9%5.3%25.5%12.6%4.2%2.1%182.9K-2.3M-8.1K0.0066.27N/AN/A01591,354528
2014-05-20$41.71$40.0010.3%3.0%5.7%26.6%15.0%4.7%1.1%102.1K-1.8M-8.9K0.0066.63N/AN/A0471,354684
2014-05-21$42.05$40.0010.0%2.9%6.3%24.2%0.0%5.0%1.6%96.4K-2.1M-8.1K3.5072.94N/AN/A4141,354703
2014-05-22$42.15$40.009.8%2.8%6.3%23.1%0.0%3.6%1.5%134.6K-2.2M-8.5K0.0098.54N/AN/A051,358717
2014-05-23$42.25$40.0010.0%2.9%6.0%24.5%8.4%3.6%1.5%127.6K-2.4M-8.0K0.0064.57N/AN/A22701,358722
2014-05-27$42.51$40.008.3%2.4%6.2%13.9%0.0%3.6%1.5%295.2K-3.0M-8.0K0.0063.81N/AN/A0201,585722
2014-05-28$42.38$40.0010.3%3.0%6.1%26.5%0.0%3.2%1.4%290.1K-2.9M-8.4K0.2970.27N/AN/A34101,585708
2014-05-29$42.66$40.008.6%2.5%6.4%15.9%0.0%3.6%0.6%336.1K-3.2M-8.2K0.0046.81N/AN/A5301,619708
2014-05-30$42.66$40.008.4%2.4%6.3%14.5%0.0%3.7%1.0%365.5K-3.3M-8.2K0.0051.73N/AN/A001,672708