VEA Options History — December 2014

In December 2014, VEA traded between $37.27 and $39.65. ATM implied volatility averaged 13.3%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.2% (HV 20d: 11.1%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.55.

Notable Days

  • 2014-12-29: Highest Volume — 1,231 contracts
  • 2014-12-08: Largest IV spike — 28.9% change
  • 2014-12-15: Highest IV Rank — 52.3%
  • 2014-12-15: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.62$37.27$39.65$39.55$37.88
Max Pain$39.52$38.00$40.00$40.00$38.00
ATM IV13.3%10.2%18.5%11.3%14.5%
Expected Move4.1%3.5%5.1%3.8%4.4%
HV 20d11.1%8.1%13.6%9.1%13.2%
HV 60d14.1%13.5%14.9%13.8%14.4%
IV Rank30.1%17.3%52.3%22.2%34.7%
IV Percentile67.1%29.0%97.6%47.2%83.3%
Term Structure0.8%-0.9%2.6%-0.2%1.0%
VWIV14.6%12.0%18.5%14.1%17.1%
Skew 25d4.8%3.7%5.9%5.3%3.8%
Skew 10d10.4%6.4%17.6%7.8%9.1%
Call IV 25d12.1%10.1%16.0%10.5%13.7%
Put IV 25d16.9%14.3%21.9%15.8%17.5%
Bid-Ask Spread %74.4622.7584.4274.4322.75
Gamma HHI0.530.240.830.620.44
Net GEX100.2K-538.5K612.9K527.3K154.4K
Net DEX848.8K-1.2M4.3M-983.7K702.5K
Net VEX-8.2K-12.6K-5.3K-12.6K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.023.482.193.48
Total Volume589.5361,23140594
Total OI3,040.9091,2433,7633,5551,983

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$39.55$40.0011.3%3.8%9.1%22.2%14.1%5.3%-0.2%527.3K-983.7K-12.6K2.1974.43N/AN/A1272782,2141,341
2014-12-02$39.65$40.0011.3%3.7%8.6%22.0%14.2%4.2%-0.8%567.0K-1.2M-12.2K2.0774.63N/AN/A1322732,2071,347
2014-12-03$39.62$40.0011.2%3.7%8.3%21.5%14.2%5.6%-0.3%608.1K-1.1M-12.2K2.1675.19N/AN/A1322852,2171,346
2014-12-04$39.54$40.0010.9%3.6%8.4%20.3%12.3%5.0%-0.2%577.0K-768.0K-11.5K2.4774.54N/AN/A19472,2171,366
2014-12-05$39.58$40.0010.2%3.5%8.1%17.3%13.4%3.8%1.6%612.9K-920.2K-11.8K2.1279.25N/AN/A1463092,2121,401
2014-12-08$39.27$40.0013.1%3.9%8.7%29.9%14.0%4.3%1.1%392.0K-182.9K-9.5K1.7578.03N/AN/A1522662,2121,401
2014-12-09$39.03$40.0014.3%4.0%8.9%34.8%14.3%4.8%0.9%118.0K966.0K-9.0K1.7676.49N/AN/A1512662,2321,417
2014-12-10$38.54$40.0016.0%4.0%9.6%42.2%14.6%4.0%0.9%-22.0K1.5M-9.4K1.7180.22N/AN/A2013442,2321,483
2014-12-11$38.46$40.0015.6%4.5%9.3%39.6%15.3%3.7%-0.0%-178.3K2.3M-8.2K1.7581.72N/AN/A1532682,2021,555
2014-12-12$37.81$40.0016.5%4.7%10.8%43.4%16.7%5.8%0.2%-218.1K3.1M-7.8K1.8978.41N/AN/A1623062,1951,555
2014-12-15$37.27$40.0018.5%5.1%11.6%52.3%18.5%5.9%-0.9%-286.8K4.3M-5.6K1.5878.53N/AN/A2073282,1911,564
2014-12-16$37.53$40.0016.4%4.8%12.1%42.9%17.2%5.6%0.4%-442.8K4.0M-5.9K1.4977.52N/AN/A2103122,1811,582
2014-12-17$37.91$40.0015.7%4.7%11.9%39.9%17.0%5.0%1.0%-538.5K2.9M-5.4K1.1274.87N/AN/A2873222,1631,366
2014-12-18$38.55$40.0012.0%4.1%13.6%23.9%15.2%5.4%2.1%-330.7K1.1M-6.1K1.7270.46N/AN/A2233832,2451,283
2014-12-19$38.63$40.0011.1%4.0%13.5%20.2%0.0%3.8%2.6%-332.3K1.4M-5.6K0.0267.54N/AN/A1,032252,2361,441
2014-12-22$38.55$0.0011.4%3.8%13.1%21.4%12.0%4.9%1.8%-36.9K787.6K-5.3K2.0681.10N/AN/A205423565678
2014-12-23$38.42$40.0013.4%4.3%12.9%29.9%13.4%5.0%1.6%-23.2K760.8K-5.8K0.5584.42N/AN/A771423647678
2014-12-24$38.58$38.0010.8%3.7%13.0%18.6%13.3%5.3%1.9%282.7K-24.2K-7.7K0.5778.85N/AN/A7754381,223678
2014-12-26$38.71$38.0011.1%3.7%13.0%20.0%13.1%4.5%1.7%299.8K-308.7K-7.8K0.5577.03N/AN/A7924351,237699
2014-12-29$38.47$38.0014.1%4.3%12.9%32.9%13.7%5.6%1.1%270.9K44.7K-7.3K0.5576.00N/AN/A7964351,256699
2014-12-30$38.11$38.0014.0%4.2%13.2%32.5%12.6%5.2%0.6%204.6K455.2K-6.7K0.5776.23N/AN/A23131,254699
2014-12-31$37.88$38.0014.5%4.4%13.2%34.7%17.1%3.8%1.0%154.4K702.5K-6.3K3.4822.75N/AN/A21731,277706