VEA Options History — January 2015

In January 2015, VEA traded between $36.44 and $38.79. ATM implied volatility averaged 16.5%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.3% (HV 20d: 15.1%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 18.79.

Notable Days

  • 2015-01-30: Highest Volume — 1,395 contracts
  • 2015-01-05: Largest IV spike — 29.5% change
  • 2015-01-06: Highest IV Rank — 59.3%
  • 2015-01-06: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.77$36.44$38.79$37.74$38.19
Max Pain$37.55$37.00$38.00$37.00$38.00
ATM IV16.5%12.7%20.1%14.7%17.2%
Expected Move4.7%3.6%5.6%4.4%4.9%
HV 20d15.1%13.2%17.2%13.2%16.2%
HV 60d13.2%12.7%14.5%14.1%13.0%
IV Rank43.3%26.8%59.3%35.6%46.5%
IV Percentile87.9%60.3%98.4%85.3%92.5%
Term Structure-0.1%-0.7%0.9%0.9%-0.7%
VWIV16.7%13.2%19.7%14.7%16.4%
Skew 25d5.6%2.6%6.9%3.7%6.3%
Skew 10d13.4%4.7%18.8%6.7%15.7%
Call IV 25d14.3%10.8%16.7%15.1%13.5%
Put IV 25d19.9%16.6%22.5%18.8%19.7%
Bid-Ask Spread %79.5660.7990.0674.7890.06
Gamma HHI0.300.220.360.360.29
Net GEX92.2K-184.7K319.8K82.0K256.8K
Net DEX-70.5K-2.2M2.4M967.3K-1.4M
Net VEX-10.6K-15.4K-4.8K-6.0K-15.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.790.12335.001.170.42
Total Volume721.4101,3955511,395
Total OI2,548.952,0143,1312,0292,705

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$37.74$37.0014.7%4.4%13.2%35.6%14.7%3.7%0.9%82.0K967.3K-6.0K1.1774.78N/AN/A2542971,263766
2015-01-05$36.85$37.0019.0%5.0%15.2%54.4%18.9%6.4%0.1%-19.3K1.7M-4.8K335.0077.80N/AN/A13351,261789
2015-01-06$36.44$37.0020.1%5.6%15.3%59.3%19.7%6.4%-0.3%-154.0K2.4M-5.8K0.6772.28N/AN/A21141,2611,122
2015-01-07$36.83$37.0016.2%5.0%16.1%42.1%17.3%6.0%0.2%-184.7K2.2M-5.9K0.0081.82N/AN/A0101,2811,133
2015-01-08$37.36$37.0016.1%4.8%17.2%41.8%15.4%5.9%0.1%-69.4K1.5M-6.6K1.1481.21N/AN/A3864391,2831,143
2015-01-09$37.22$37.0016.0%4.9%16.8%41.4%15.6%6.1%-0.0%-142.8K1.6M-6.6K1.2577.09N/AN/A3814761,4071,122
2015-01-12$37.19$38.0019.0%5.0%16.8%54.4%17.5%5.8%0.1%-117.0K1.5M-6.4K1.7579.14N/AN/A2724771,4101,119
2015-01-13$37.32$38.0016.6%5.3%15.8%44.1%17.7%5.8%-0.3%-92.6K1.3M-6.1K0.5880.23N/AN/A8214771,4141,121
2015-01-14$37.28$37.0018.4%5.3%15.0%51.8%18.7%6.1%-0.3%-41.3K351.7K-11.4K0.6075.37N/AN/A8184901,9671,118
2015-01-15$37.44$37.0019.4%5.6%14.9%56.3%19.4%5.7%-0.5%28.0K151.6K-11.7K0.5976.16N/AN/A8034741,9781,139
2015-01-16$37.87$37.0017.3%5.0%15.0%46.9%17.2%6.9%-0.7%190.4K-429.6K-11.6K1.8182.26N/AN/A26471,9901,141
2015-01-20$38.04$38.0016.7%4.8%13.8%44.2%14.8%6.6%-0.3%130.3K-733.3K-11.1K0.1285.48N/AN/A258311,378636
2015-01-21$38.32$38.0016.4%4.7%14.0%43.0%15.9%6.7%-0.2%232.0K-1.2M-12.1K0.1688.68N/AN/A231381,636643
2015-01-22$38.43$38.0015.7%4.5%14.0%40.0%17.4%4.8%0.0%272.2K-1.7M-15.0K0.4987.65N/AN/A9384561,867681
2015-01-23$38.29$38.0014.9%4.3%14.1%36.5%17.0%6.2%0.1%271.2K-1.5M-15.4K0.5562.09N/AN/A8424661,913699
2015-01-26$38.74$38.0012.7%3.6%14.6%26.8%13.2%6.1%0.3%319.8K-2.2M-15.4K1.0087.60N/AN/A991,929714
2015-01-27$38.77$38.0012.9%3.7%14.6%28.1%15.3%3.8%0.3%317.1K-2.2M-14.9K8.7560.79N/AN/A4351,934718
2015-01-28$38.31$38.0015.6%4.5%15.0%39.8%16.9%2.6%0.0%267.6K-1.6M-15.2K0.4585.00N/AN/A8093661,934713
2015-01-29$38.79$38.0014.2%4.1%15.3%33.4%15.6%4.4%-0.2%297.8K-2.2M-14.8K0.5185.68N/AN/A8074151,937714
2015-01-30$38.19$38.0017.2%4.9%16.2%46.5%16.4%6.3%-0.7%256.8K-1.4M-15.3K0.4290.06N/AN/A9814141,939766