VEA Options History — October 2014

In October 2014, VEA traded between $36.97 and $39.62. ATM implied volatility averaged 16.7%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.9% (HV 20d: 15.7%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 4.33.

Notable Days

  • 2014-10-31: Highest Volume — 1,821 contracts
  • 2014-10-15: Largest IV spike — 55.7% change
  • 2014-10-10: Highest IV Rank — 100.0%
  • 2014-10-15: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.34$36.97$39.62$39.26$39.62
Max Pain$42.22$42.00$43.00$43.00$42.00
ATM IV16.7%12.1%29.5%15.2%12.1%
Expected Move4.7%4.0%5.6%4.6%4.0%
HV 20d15.7%9.3%19.5%9.3%19.5%
HV 60d11.9%9.7%13.4%9.8%13.4%
IV Rank56.9%25.5%100.0%67.5%25.5%
IV Percentile88.5%62.3%100.0%91.7%62.3%
Term Structure-0.1%-1.3%0.9%-0.2%0.3%
VWIV15.1%12.5%22.3%15.2%13.7%
Skew 25d5.6%2.9%8.1%2.9%5.5%
Skew 10d12.6%3.1%20.0%4.4%11.1%
Call IV 25d13.8%10.3%18.9%14.7%10.7%
Put IV 25d19.4%16.1%27.0%17.6%16.1%
Bid-Ask Spread %61.6255.5470.1156.1961.17
Gamma HHI0.510.130.790.460.31
Net GEX-113.1K-432.2K2.4K-70.5K-76.6K
Net DEX1.9M686.1K3.4M1.8M686.1K
Net VEX-5.7K-9.0K-3.3K-6.4K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.330.0042.5019.601.04
Total Volume727.304101,821121,821
Total OI2,085.7391,1562,5921,8942,587

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$39.26$43.0015.2%4.6%9.3%67.5%15.2%2.9%-0.2%-70.5K1.8M-6.4K0.0056.19N/AN/A0121,043851
2014-10-02$38.83$43.0014.5%4.5%9.7%62.0%16.2%3.5%0.0%-27.9K2.2M-5.1K19.6056.44N/AN/A407841,043846
2014-10-03$38.88$43.0013.3%4.4%9.8%53.5%0.0%5.8%0.9%-39.5K1.8M-5.7K1.2559.00N/AN/A8101,083996
2014-10-06$39.10$43.0014.1%4.4%10.0%59.2%15.4%4.6%-0.0%-37.2K1.5M-5.8K1.8855.54N/AN/A8151,091986
2014-10-07$38.47$43.0017.3%4.8%11.1%82.9%14.8%5.3%-0.3%-92.9K2.0M-5.3K0.0059.67N/AN/A2501,098997
2014-10-08$39.06$42.0014.5%4.4%12.5%62.3%13.1%4.6%0.1%-29.6K1.5M-5.8K2.7658.81N/AN/A3991,1031,1231,007
2014-10-09$38.01$42.0018.3%4.7%15.2%90.8%0.0%5.5%-0.5%-142.3K2.4M-5.0K0.0060.48N/AN/A0101,1261,010
2014-10-10$37.44$42.0022.3%5.2%15.7%100.0%22.3%6.5%-0.5%-149.0K2.9M-4.1K1.6962.82N/AN/A13221,1261,020
2014-10-13$37.42$42.0024.5%5.2%15.7%100.0%0.0%7.2%-1.1%-155.2K2.9M-4.2K0.0762.74N/AN/A611421,1391,042
2014-10-14$37.75$42.0018.9%4.8%16.1%69.7%15.5%6.6%-0.8%-216.2K2.9M-4.2K0.7662.32N/AN/A1,0067661,2001,071
2014-10-15$37.29$42.0029.5%5.6%16.3%100.0%17.0%8.1%-1.3%-123.4K3.0M-4.2K0.7461.04N/AN/A1,0157561,2001,071
2014-10-16$36.97$42.0020.7%5.4%15.8%62.5%14.5%7.3%-1.0%-64.8K3.4M-3.3K42.5061.91N/AN/A187651,2061,051
2014-10-17$37.57$42.0016.5%4.9%17.5%44.4%16.2%7.3%0.1%-432.2K3.1M-3.8K0.3161.82N/AN/A64201,2171,343
2014-10-20$37.90$42.0016.2%4.8%18.2%42.9%15.1%6.0%0.4%-5.3K1.1M-4.0K1.6063.88N/AN/A220353663493
2014-10-21$38.23$42.0016.0%5.0%18.6%42.1%14.4%6.6%-0.3%2.4K1.0M-4.6K2.2270.11N/AN/A262581697506
2014-10-22$38.01$42.0015.8%4.6%18.6%41.5%14.6%5.9%-0.2%-47.1K1.4M-5.1K2.1562.63N/AN/A280602750735
2014-10-23$38.41$42.0015.6%4.6%18.7%40.3%13.9%4.2%-0.1%-172.4K1.7M-7.6K3.5164.02N/AN/A2809847811,385
2014-10-24$38.56$42.0012.5%4.3%18.7%27.2%14.3%6.7%0.8%-166.8K1.6M-7.3K3.4464.04N/AN/A2819677811,385
2014-10-27$38.47$42.0015.9%4.6%18.6%41.9%0.0%6.8%-0.2%-153.8K1.7M-7.7K0.5463.22N/AN/A1378081,387
2014-10-28$38.94$42.0012.9%4.3%19.2%28.8%12.5%4.2%0.3%-125.0K1.2M-7.3K0.3362.27N/AN/A2488211,394
2014-10-29$38.71$42.0013.5%4.2%18.8%31.6%14.1%4.3%0.1%-139.6K1.4M-7.4K3.1262.97N/AN/A3871,2078251,396
2014-10-30$38.97$42.0013.4%4.2%18.6%31.2%14.0%4.0%0.1%-135.8K1.3M-9.0K1.4164.23N/AN/A3895509531,639
2014-10-31$39.62$42.0012.1%4.0%19.5%25.5%13.7%5.5%0.3%-76.6K686.1K-8.8K1.0461.17N/AN/A8949279521,635