VEA Options History — November 2014

In November 2014, VEA traded between $38.92 and $39.93. ATM implied volatility averaged 12.3%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.9% (HV 20d: 13.1%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 3.44.

Notable Days

  • 2014-11-24: Highest Volume — 1,744 contracts
  • 2014-11-19: Largest IV spike — 14.4% change
  • 2014-11-04: Highest IV Rank — 38.5%
  • 2014-11-04: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.31$38.92$39.93$39.31$39.61
Max Pain$40.42$40.00$42.00$42.00$40.00
ATM IV12.3%10.0%15.1%15.0%10.3%
Expected Move3.9%3.6%4.2%4.2%3.6%
HV 20d13.1%10.5%19.6%19.6%10.8%
HV 60d13.5%13.3%13.8%13.4%13.8%
IV Rank26.2%16.7%38.5%38.1%17.7%
IV Percentile59.7%26.2%87.7%87.7%32.1%
Term Structure0.8%-1.1%1.9%-0.9%0.2%
VWIV13.9%12.8%16.5%12.9%13.3%
Skew 25d4.6%2.2%6.2%5.0%4.0%
Skew 10d10.6%4.4%13.7%9.4%6.4%
Call IV 25d10.9%7.2%14.5%12.8%10.1%
Put IV 25d15.4%13.4%18.7%17.8%14.1%
Bid-Ask Spread %68.8458.9180.5563.8878.40
Gamma HHI0.430.320.620.410.62
Net GEX153.4K-412.4K568.3K205.8K568.3K
Net DEX90.9K-1.4M1.4M159.2K-1.0M
Net VEX-12.8K-17.1K-9.7K-16.0K-12.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.440.0031.913.730.00
Total Volume958.89511,7441,7071
Total OI4,331.2112,5624,8494,4573,554

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$39.31$42.0015.0%4.2%19.6%38.1%12.9%5.0%-0.9%205.8K159.2K-16.0K3.7363.88N/AN/A3611,3462,2122,245
2014-11-04$39.08$42.0015.1%4.2%18.8%38.5%14.1%5.1%-1.1%70.8K868.9K-17.1K2.3263.47N/AN/A3037032,3422,361
2014-11-05$39.10$41.0013.7%4.2%18.0%32.4%13.9%3.9%0.2%52.2K478.4K-16.9K2.2063.76N/AN/A3227072,3872,365
2014-11-06$38.92$41.0013.8%4.2%15.0%32.7%13.7%2.2%0.5%-26.8K1.1M-16.0K2.1962.03N/AN/A3227042,3952,365
2014-11-07$38.93$41.0012.6%4.1%13.7%27.6%13.9%4.7%1.3%-77.7K1.4M-14.5K2.4166.47N/AN/A2927052,3952,373
2014-11-10$39.09$41.0012.3%4.0%13.7%26.4%13.3%4.6%1.4%18.2K687.0K-13.8K2.3763.71N/AN/A2987052,3872,376
2014-11-11$39.34$40.0011.4%4.0%13.6%22.6%13.6%5.2%1.7%196.1K-542.8K-9.9K2.3458.91N/AN/A2996991,6091,931
2014-11-12$39.04$40.0012.1%4.0%13.0%25.4%13.4%5.0%1.2%-31.0K952.2K-12.8K2.3766.39N/AN/A2997082,4082,383
2014-11-13$39.17$40.0012.5%4.0%12.4%27.3%13.2%4.8%1.3%161.4K239.7K-12.9K2.3766.09N/AN/A2997082,4082,392
2014-11-14$39.24$40.0012.3%4.0%11.3%26.6%16.5%4.3%1.5%203.3K76.1K-12.2K2.8665.94N/AN/A14402,3982,397
2014-11-17$39.08$40.0012.3%4.0%11.3%26.1%13.8%4.3%1.9%-43.8K768.3K-11.1K2.4966.15N/AN/A2987412,4012,427
2014-11-18$39.52$40.0010.9%3.6%11.5%20.5%12.8%5.0%1.9%427.3K-984.6K-12.1K2.5366.84N/AN/A2987542,4072,427
2014-11-19$39.36$40.0012.5%4.0%11.4%27.3%0.0%3.6%1.4%339.7K-61.6K-11.0K1.1975.22N/AN/A16192,4072,442
2014-11-20$39.15$40.0012.8%4.0%11.2%28.5%15.5%4.2%1.0%-412.4K710.7K-10.3K0.8076.23N/AN/A8797072,2892,436
2014-11-21$39.49$40.0012.0%3.9%11.4%25.0%14.8%5.1%1.6%453.9K-436.5K-10.3K0.8080.55N/AN/A8757042,2922,441
2014-11-24$39.68$40.0010.6%3.7%11.4%19.2%14.1%5.0%-0.2%232.1K-699.7K-9.7K31.9172.87N/AN/A531,6911,5141,048
2014-11-25$39.78$40.0010.6%3.7%10.7%19.1%13.3%4.8%0.1%208.1K-547.8K-11.2K0.4274.27N/AN/A6792831,5671,330
2014-11-26$39.93$40.0010.0%3.6%10.5%16.7%0.0%6.2%0.6%369.4K-1.4M-11.8K0.0676.76N/AN/A364231,8581,324
2014-11-28$39.61$40.0010.3%3.6%10.8%17.7%0.0%4.0%0.2%568.3K-1.0M-12.8K0.0078.40N/AN/A102,2131,341