VEA Options History — September 2014

In September 2014, VEA traded between $39.75 and $42.00. ATM implied volatility averaged 11.0%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.2% (HV 20d: 7.8%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.73.

Notable Days

  • 2014-09-25: Highest Volume — 433 contracts
  • 2014-09-08: Largest IV spike — 37.0% change
  • 2014-09-30: Highest IV Rank — 52.1%
  • 2014-09-30: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.02$39.75$42.00$41.73$39.75
Max Pain$42.81$42.00$43.00$42.00$43.00
ATM IV11.0%8.7%13.1%8.8%13.1%
Expected Move3.8%2.0%4.3%3.3%4.3%
HV 20d7.8%6.2%9.3%8.1%9.3%
HV 60d9.6%9.3%9.9%9.5%9.7%
IV Rank35.9%18.9%52.1%19.9%52.1%
IV Percentile42.6%8.7%76.6%11.5%76.6%
Term Structure1.3%-0.2%3.3%0.9%0.1%
VWIV13.3%7.9%17.9%11.1%7.9%
Skew 25d3.9%2.4%5.5%4.0%5.5%
Skew 10d7.9%2.9%11.2%8.7%8.6%
Call IV 25d10.0%7.7%12.0%9.1%11.4%
Put IV 25d14.0%11.4%16.9%13.1%16.9%
Bid-Ask Spread %53.1047.3680.8748.9553.71
Gamma HHI0.440.260.660.370.52
Net GEX-3.9K-155.5K173.8K159.2K-127.5K
Net DEX552.1K-906.4K1.6M-572.8K1.5M
Net VEX-7.9K-8.8K-6.5K-8.7K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.730.0036.8026.000.26
Total Volume81.04834332767
Total OI2,205.5711,1072,6012,3161,924

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$41.73$42.008.8%3.3%8.1%19.9%11.1%4.0%0.9%159.2K-572.8K-8.7K26.0048.95N/AN/A1261,406910
2014-09-03$42.00$42.009.7%3.9%6.9%26.4%0.0%3.6%-0.0%173.8K-906.4K-8.4K4.1747.36N/AN/A12501,407936
2014-09-04$41.82$42.009.2%3.9%7.1%22.5%0.0%3.2%0.2%147.0K-465.7K-8.5K0.0049.63N/AN/A301,419986
2014-09-05$41.81$42.008.7%3.9%6.2%18.9%12.9%3.2%2.5%164.4K-812.3K-7.8K4.0555.81N/AN/A20811,422986
2014-09-08$41.39$43.0011.9%4.1%7.1%42.8%0.0%3.6%0.9%70.3K341.2K-8.8K2.3852.53N/AN/A13311,4281,067
2014-09-09$41.23$43.0011.9%4.1%7.3%43.0%0.0%4.2%1.9%13.0K774.3K-8.5K0.0049.56N/AN/A1001,4411,087
2014-09-10$41.47$43.0013.1%2.0%7.5%51.6%0.0%5.3%2.5%71.7K-45.4K-8.6K0.0050.28N/AN/A301,4411,087
2014-09-11$41.24$43.0011.7%4.1%7.5%41.3%13.5%4.4%2.0%11.0K712.7K-8.2K0.0049.34N/AN/A3001,4411,087
2014-09-12$41.16$43.0011.5%4.2%7.3%40.2%16.2%4.3%2.3%14.7K751.0K-8.4K9.0053.37N/AN/A2181,4711,087
2014-09-15$41.10$43.0011.8%4.1%7.3%41.9%0.0%4.0%1.8%9.2K778.6K-8.0K0.0049.36N/AN/A3301,4731,087
2014-09-16$41.27$43.0010.2%3.2%7.2%30.5%17.9%2.4%2.1%41.2K322.6K-8.1K3.2248.87N/AN/A9291,4731,087
2014-09-17$40.97$43.0010.8%4.1%7.5%34.7%13.6%3.4%2.0%-74.9K1.1M-7.1K0.9351.22N/AN/A15141,4731,074
2014-09-18$41.25$43.008.9%3.4%7.9%20.3%10.8%2.6%2.6%-51.2K354.4K-7.2K0.0351.54N/AN/A10131,4341,064
2014-09-19$41.10$43.008.8%4.0%7.8%19.9%13.4%3.6%3.3%-155.5K693.4K-6.9K0.0055.28N/AN/A11601,5351,066
2014-09-22$40.96$43.0011.2%3.5%7.8%38.0%11.2%3.9%0.1%54.1K495.4K-6.5K36.8080.87N/AN/A10368669438
2014-09-23$40.59$43.0010.2%3.9%7.8%30.2%13.7%4.1%1.3%-126.3K1.3M-7.3K1.6854.77N/AN/A2237676803
2014-09-24$40.60$43.0010.0%3.9%7.8%29.1%0.0%4.3%1.1%-118.0K1.1M-8.0K1.5053.33N/AN/A2436685840
2014-09-25$40.03$43.0013.1%4.3%8.8%51.7%17.0%4.0%-0.2%-136.5K1.6M-7.6K0.0853.73N/AN/A40033699860
2014-09-26$40.18$43.0012.5%4.2%9.0%47.5%0.0%3.9%0.2%-105.6K1.0M-8.3K0.0054.00N/AN/A0301,029889
2014-09-29$39.83$43.0012.9%4.3%9.3%50.6%0.0%4.8%0.5%-115.8K1.5M-7.4K4.5051.57N/AN/A10451,029901
2014-09-30$39.75$43.0013.1%4.3%9.3%52.1%7.9%5.5%0.1%-127.5K1.5M-7.1K0.2653.71N/AN/A53141,039885