VEA Options History — June 2014

In June 2014, VEA traded between $42.44 and $43.40. ATM implied volatility averaged 9.1%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 2.3% (HV 20d: 6.9%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.70.

Notable Days

  • 2014-06-25: Highest Volume — 439 contracts
  • 2014-06-24: Largest IV spike — 50.6% change
  • 2014-06-25: Highest IV Rank — 29.0%
  • 2014-06-10: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.86$42.44$43.40$42.73$42.59
Max Pain$42.43$40.00$43.00$40.00$43.00
ATM IV9.1%6.6%10.1%9.2%8.8%
Expected Move2.7%1.9%3.0%2.6%2.5%
HV 20d6.9%5.8%8.8%6.3%8.4%
HV 60d8.7%8.0%9.8%9.8%8.7%
IV Rank19.5%2.8%29.0%19.5%19.4%
IV Percentile8.4%0.8%18.3%5.6%6.3%
Term Structure1.6%-0.0%3.0%0.8%0.1%
VWIV13.6%6.7%45.0%45.0%9.0%
Skew 25d4.1%2.2%9.4%3.7%2.8%
Skew 10d7.1%-0.2%20.0%7.8%7.2%
Call IV 25d8.3%5.6%9.9%8.8%9.0%
Put IV 25d12.4%9.3%15.8%12.6%11.8%
Bid-Ask Spread %76.7543.07113.5646.7851.15
Gamma HHI0.460.200.730.390.25
Net GEX374.8K-35.3K620.6K382.5K35.6K
Net DEX-2.9M-4.6M95.0K-3.4M-502.1K
Net VEX-7.4K-9.7K-5.9K-8.2K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.700.0032.0020.002.70
Total Volume94.1904392137
Total OI2,188.7149822,5962,3801,703

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$42.73$40.009.2%2.6%6.3%19.5%45.0%3.7%0.8%382.5K-3.4M-8.2K20.0046.78N/AN/A1201,672708
2014-06-03$42.64$40.009.3%2.7%6.3%20.4%14.8%3.9%0.4%379.3K-3.3M-8.4K0.6758.42N/AN/A15101,672728
2014-06-04$42.66$40.009.4%2.7%6.2%20.5%8.3%2.2%0.5%356.4K-3.4M-7.8K3.6066.12N/AN/A10361,682738
2014-06-05$42.95$40.009.0%2.6%6.6%18.3%19.3%3.9%1.0%419.9K-3.8M-7.5K0.30106.66N/AN/A67201,682738
2014-06-06$43.17$43.008.8%2.9%6.7%16.7%11.8%3.5%2.6%522.7K-4.2M-7.3K0.0186.66N/AN/A11611,686758
2014-06-09$43.12$43.008.7%3.0%6.7%16.2%12.4%3.6%1.9%534.9K-4.1M-7.0K0.0986.77N/AN/A237211,686759
2014-06-10$43.04$43.009.2%3.0%6.4%19.3%0.0%3.9%1.8%547.6K-4.1M-7.2K0.0079.42N/AN/A3901,732764
2014-06-11$42.84$43.009.0%3.0%6.7%18.3%0.0%4.6%2.2%535.2K-3.7M-7.2K0.0096.59N/AN/A041,771764
2014-06-12$42.85$43.0010.1%2.9%6.6%25.0%12.4%4.5%2.1%556.0K-3.6M-6.8K0.0094.17N/AN/A0431,771768
2014-06-13$42.84$43.009.8%2.8%6.3%23.2%0.0%4.6%2.9%544.7K-3.7M-7.0K0.0078.86N/AN/A001,771791
2014-06-16$42.87$43.0010.1%2.9%6.3%24.8%0.0%5.0%2.8%590.8K-3.7M-6.6K0.0086.64N/AN/A001,771791
2014-06-17$42.82$43.009.7%2.8%6.3%22.6%10.8%5.1%3.0%620.6K-3.7M-6.5K1.17113.35N/AN/A18211,771791
2014-06-18$43.19$43.009.0%2.6%6.2%17.9%0.0%3.5%2.2%585.1K-4.2M-6.4K0.0082.23N/AN/A12801,789807
2014-06-19$43.40$43.009.1%2.6%5.8%18.8%0.0%4.3%1.9%590.6K-4.6M-6.2K0.1584.89N/AN/A112171,771797
2014-06-20$43.31$43.008.7%2.5%6.0%16.3%8.9%4.6%2.5%569.6K-4.3M-6.6K0.27113.56N/AN/A83221,775814
2014-06-23$43.20$43.006.6%1.9%6.1%2.8%6.7%9.4%1.8%66.8K-1.0M-5.9K0.7445.29N/AN/A2720651407
2014-06-24$42.44$43.009.9%2.8%8.8%23.9%0.0%3.7%-0.0%34.4K-271.8K-6.0K32.0043.07N/AN/A10320555427
2014-06-25$42.48$43.0010.1%2.9%8.7%29.0%11.6%3.1%1.0%-35.3K95.0K-8.2K0.2363.36N/AN/A35881565733
2014-06-26$42.46$43.009.9%2.8%8.4%28.1%9.9%3.4%0.7%24.5K-446.1K-9.7K1.0783.43N/AN/A1415923771
2014-06-27$42.54$43.007.4%2.1%8.4%9.5%10.0%3.6%1.7%8.4K-487.5K-9.4K0.0044.40N/AN/A550937773
2014-06-30$42.59$43.008.8%2.5%8.4%19.4%9.0%2.8%0.1%35.6K-502.1K-9.4K2.7051.15N/AN/A1027930773