VEA Options History — August 2014

In August 2014, VEA traded between $40.55 and $41.92. ATM implied volatility averaged 11.2%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.7% (HV 20d: 10.5%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2014-08-18: Highest Volume — 200 contracts
  • 2014-08-18: Largest IV drop — 19.1% change
  • 2014-08-01: Highest IV Rank — 67.3%
  • 2014-08-08: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.37$40.55$41.92$41.35$41.69
Max Pain$40.48$38.00$43.00$38.00$42.00
ATM IV11.2%8.4%15.2%15.2%8.4%
Expected Move4.0%3.1%4.4%4.4%3.9%
HV 20d10.5%8.2%11.7%11.5%8.2%
HV 60d9.6%9.2%9.8%9.2%9.6%
IV Rank37.5%17.0%67.3%67.3%17.0%
IV Percentile40.5%5.2%88.1%88.1%5.2%
Term Structure0.8%-1.0%2.1%-1.0%1.0%
VWIV14.9%11.8%21.7%14.5%13.7%
Skew 25d4.1%1.3%5.1%5.1%4.1%
Skew 10d9.9%3.0%14.3%13.9%7.0%
Call IV 25d10.3%7.9%13.2%13.2%8.6%
Put IV 25d14.4%11.4%18.3%18.3%12.6%
Bid-Ask Spread %43.1040.9248.8042.0748.27
Gamma HHI0.290.230.370.280.36
Net GEX61.1K-15.6K159.6K36.6K145.5K
Net DEX141.0K-796.4K1.2M351.1K-348.6K
Net VEX-8.3K-9.1K-7.2K-9.1K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.003.640.500.00
Total Volume45.85702001511
Total OI2,149.5241,8742,3192,0812,319

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$41.35$38.0015.2%4.4%11.5%67.3%14.5%5.1%-1.0%36.6K351.1K-9.1K0.5042.07N/AN/A1051,285796
2014-08-04$41.49$38.0014.3%4.4%11.4%61.0%0.0%3.9%0.6%36.5K251.7K-8.6K0.0040.92N/AN/A1001,282801
2014-08-05$40.98$38.0014.1%4.4%11.7%59.1%0.0%4.3%0.7%25.5K650.5K-8.5K0.6941.57N/AN/A32221,292801
2014-08-06$40.89$38.0013.7%4.4%11.5%56.1%21.1%4.1%0.8%8.2K805.3K-8.2K0.0042.07N/AN/A0141,293821
2014-08-07$40.55$38.0013.9%3.7%11.1%57.5%21.7%5.0%-0.8%-5.4K1.2M-7.3K3.6441.55N/AN/A14511,293835
2014-08-08$40.81$40.0012.2%4.4%11.5%45.5%0.0%4.6%1.3%-4.2K1.0M-8.0K0.0041.11N/AN/A0251,299875
2014-08-11$40.91$40.0012.9%4.4%11.1%50.1%0.0%4.8%1.9%-15.6K974.0K-7.6K0.0041.47N/AN/A001,299888
2014-08-12$40.91$40.0013.0%4.4%11.1%50.8%0.0%4.4%1.8%-10.7K906.8K-7.7K0.0041.55N/AN/A0501,299888
2014-08-13$41.19$40.0012.4%3.1%11.1%46.4%0.0%4.4%-0.5%-6.5K621.0K-7.6K0.0041.31N/AN/A3101,299888
2014-08-14$41.38$40.0012.6%4.4%10.4%48.0%0.0%2.7%1.6%12.8K103.0K-7.9K0.2242.14N/AN/A3681,324839
2014-08-15$41.36$40.0011.8%4.4%9.8%42.2%0.0%5.0%2.1%10.4K281.5K-7.4K1.5042.01N/AN/A24361,330846
2014-08-18$41.59$40.009.6%4.1%10.0%25.4%14.1%4.4%0.7%49.2K-156.0K-7.2K0.5042.26N/AN/A133671,099775
2014-08-19$41.69$42.009.2%4.0%9.9%22.4%0.0%4.1%0.7%99.5K-240.3K-8.3K1.3642.99N/AN/A11151,206841
2014-08-20$41.55$42.009.0%4.0%9.8%21.1%13.1%4.5%1.0%98.6K-259.0K-8.5K0.9541.58N/AN/A21201,217845
2014-08-21$41.71$43.008.7%3.3%9.9%19.0%11.9%3.8%0.7%111.1K-475.7K-8.6K0.5044.82N/AN/A20101,238865
2014-08-22$41.53$43.008.8%3.4%10.0%20.1%11.8%4.2%0.0%101.9K-255.5K-8.8K0.3643.09N/AN/A59211,258875
2014-08-25$41.81$42.008.8%4.0%10.3%19.6%0.0%4.1%0.8%135.6K-524.8K-9.0K0.0943.92N/AN/A4741,317896
2014-08-26$41.80$42.008.9%3.1%10.3%20.9%0.0%4.1%1.4%156.1K-620.9K-9.0K0.0045.35N/AN/A0531,354899
2014-08-27$41.92$42.008.6%3.9%10.4%18.7%11.9%3.2%0.8%159.6K-796.4K-8.6K0.0046.24N/AN/A5101,354902
2014-08-28$41.72$42.008.7%3.9%8.5%19.1%13.7%1.3%0.9%139.3K-532.2K-8.9K0.4448.80N/AN/A36161,405902
2014-08-29$41.69$42.008.4%3.9%8.2%17.0%0.0%4.1%1.0%145.5K-348.6K-9.0K0.0048.27N/AN/A1101,409910