VEA Options History — July 2014

In July 2014, VEA traded between $41.58 and $43.09. ATM implied volatility averaged 10.3%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.1% (HV 20d: 10.4%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.51.

Notable Days

  • 2014-07-28: Highest Volume — 374 contracts
  • 2014-07-17: Largest IV spike — 39.6% change
  • 2014-07-17: Highest IV Rank — 43.4%
  • 2014-07-29: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.39$41.58$43.09$42.97$41.58
Max Pain$41.46$41.00$43.00$43.00$41.00
ATM IV10.3%7.8%12.0%8.5%11.9%
Expected Move3.2%2.0%4.1%2.4%3.4%
HV 20d10.4%8.7%12.1%9.0%11.4%
HV 60d8.4%7.8%9.2%8.9%9.2%
IV Rank30.9%12.6%43.4%17.2%43.0%
IV Percentile27.5%3.2%53.2%4.8%53.2%
Term Structure0.8%-0.2%1.4%0.7%-0.2%
VWIV11.0%7.8%17.7%11.2%17.7%
Skew 25d3.9%0.6%5.7%4.0%5.7%
Skew 10d7.6%1.0%12.8%3.7%12.8%
Call IV 25d9.2%7.7%11.2%7.7%11.1%
Put IV 25d13.0%8.6%16.8%11.7%16.8%
Bid-Ask Spread %57.2921.88109.7521.8840.79
Gamma HHI0.270.170.430.210.30
Net GEX31.1K-11.8K91.7K30.3K53.0K
Net DEX-336.2K-1.1M371.9K-909.4K148.4K
Net VEX-8.9K-9.5K-8.4K-9.5K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.006.000.080.00
Total Volume60.3180374133
Total OI1,814.6361,6852,0781,7372,078

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$42.97$43.008.5%2.4%9.0%17.2%11.2%4.0%0.7%30.3K-909.4K-9.5K0.0821.88N/AN/A121940797
2014-07-02$43.02$43.008.1%2.3%9.0%14.3%0.0%3.2%0.9%26.7K-937.9K-9.5K0.0049.93N/AN/A130937797
2014-07-03$43.09$43.007.8%2.2%8.7%12.6%7.8%0.6%1.3%30.8K-1.1M-9.1K0.2452.35N/AN/A174938797
2014-07-07$42.76$41.008.6%2.6%8.9%18.3%10.8%4.5%1.0%11.1K-778.2K-8.7K0.00109.75N/AN/A130946801
2014-07-08$42.33$41.0011.2%3.1%9.5%37.4%0.0%4.3%0.9%20.3K-306.0K-9.0K0.3760.09N/AN/A6524949801
2014-07-09$42.49$41.0011.4%3.1%9.7%39.4%0.0%4.5%0.9%23.9K-443.8K-9.0K5.7771.46N/AN/A1375954815
2014-07-10$41.99$41.0010.8%3.1%10.4%34.5%11.0%4.1%1.1%-1.1K293.7K-9.0K5.0061.75N/AN/A420957870
2014-07-11$42.04$41.0010.9%3.1%10.4%35.5%0.0%4.2%0.3%-7.4K276.4K-9.0K4.2569.69N/AN/A834953890
2014-07-14$42.34$41.0011.0%3.2%10.8%36.4%8.9%4.2%0.7%-11.8K-20.6K-8.9K0.06103.55N/AN/A312961900
2014-07-15$42.21$41.0010.9%3.1%10.8%35.4%0.0%2.9%1.0%2.6K102.1K-8.9K3.8670.92N/AN/A727992901
2014-07-16$42.52$41.008.6%2.5%11.2%18.1%0.0%4.1%1.3%6.2K-141.3K-9.0K0.0069.51N/AN/A50999926
2014-07-17$41.96$41.0012.0%3.4%11.5%43.4%0.0%4.0%0.5%-11.0K371.9K-8.9K1.0063.05N/AN/A11989924
2014-07-18$42.31$41.0010.2%2.9%11.8%30.4%9.3%4.1%1.0%12.8K-248.6K-8.5K6.0082.50N/AN/A424989865
2014-07-21$42.14$0.0010.2%4.0%11.9%30.6%0.0%3.3%1.4%33.3K-308.6K-8.4K0.1142.80N/AN/A10011928757
2014-07-22$42.36$0.0010.5%4.1%12.1%32.4%0.0%4.0%1.1%75.2K-553.8K-9.0K0.0043.08N/AN/A001,028768
2014-07-23$42.45$0.0010.1%2.0%10.4%29.8%0.0%3.3%1.2%79.3K-679.2K-8.7K0.0042.89N/AN/A001,028768
2014-07-24$42.52$0.008.6%3.8%10.4%18.4%0.0%3.7%1.2%75.9K-729.6K-8.8K0.0041.46N/AN/A5001,028768
2014-07-25$42.37$0.0011.0%4.1%10.5%36.0%0.0%4.3%0.6%84.6K-611.2K-9.2K0.3241.39N/AN/A1961,078768
2014-07-28$42.39$0.0011.2%4.1%10.4%37.5%0.0%4.0%0.8%91.7K-704.3K-9.2K0.0642.50N/AN/A354201,097774
2014-07-29$42.35$0.0011.1%4.1%10.4%37.3%0.0%4.0%0.7%27.7K-111.2K-8.6K0.0039.28N/AN/A07943787
2014-07-30$42.31$0.0011.9%4.1%9.9%42.9%0.0%4.4%0.1%29.7K-29.3K-8.5K0.0039.78N/AN/A3520943793
2014-07-31$41.58$0.0011.9%3.4%11.4%43.0%17.7%5.7%-0.2%53.0K148.4K-8.9K0.0040.79N/AN/A031,285793