VEA Options History — March 2015

In March 2015, VEA traded between $38.93 and $41.05. ATM implied volatility averaged 13.3%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.9% (HV 20d: 14.1%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.50.

Notable Days

  • 2015-03-03: Highest Volume — 1,232 contracts
  • 2015-03-10: Largest IV spike — 31.8% change
  • 2015-03-10: Highest IV Rank — 49.7%
  • 2015-03-26: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.08$38.93$41.05$40.55$39.82
Max Pain$40.86$40.00$41.00$40.00$41.00
ATM IV13.3%10.2%17.9%10.2%13.6%
Expected Move3.8%2.9%4.4%2.9%3.9%
HV 20d14.1%10.6%17.8%12.4%17.8%
HV 60d14.8%14.2%15.6%14.2%15.6%
IV Rank29.4%16.0%49.7%16.0%30.8%
IV Percentile62.8%24.6%95.2%24.6%69.0%
Term Structure1.0%-0.2%2.7%0.4%1.0%
VWIV13.7%8.2%17.7%13.7%15.0%
Skew 25d4.5%2.5%6.5%4.1%3.6%
Skew 10d10.0%4.9%16.4%7.0%7.3%
Call IV 25d11.9%8.1%16.2%10.0%16.2%
Put IV 25d16.4%13.4%19.8%14.1%19.8%
Bid-Ask Spread %77.4222.01100.4783.84100.47
Gamma HHI0.380.180.890.630.22
Net GEX329.7K2.1K1.7M725.8K2.1K
Net DEX-2.0M-4.4M-38.9K-4.1M-897.9K
Net VEX-16.6K-18.5K-14.8K-17.4K-18.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.247.000.370.56
Total Volume488.227301,2321,1761,143
Total OI3,771.8182,4724,4723,9563,050

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$40.55$40.0010.2%2.9%12.4%16.0%13.7%4.1%0.4%725.8K-4.1M-17.4K0.3783.84N/AN/A8583182,8101,146
2015-03-03$40.32$40.0012.5%3.6%12.3%26.2%12.9%3.6%0.1%619.9K-3.2M-18.5K0.4139.60N/AN/A8753572,8101,164
2015-03-04$40.17$40.0012.9%3.7%11.5%28.0%13.5%4.4%-0.2%552.4K-2.9M-17.9K0.3422.01N/AN/A8692962,8091,164
2015-03-05$40.28$41.0012.2%3.6%11.0%24.9%13.2%5.1%1.2%616.1K-2.8M-17.5K0.3658.41N/AN/A7742792,8091,223
2015-03-06$39.74$41.0012.8%3.8%11.7%27.5%14.1%4.5%1.6%327.4K-1.7M-17.0K0.5156.39N/AN/A7723952,8191,231
2015-03-09$39.76$41.0013.6%3.7%10.6%30.9%15.2%3.9%1.3%324.2K-1.7M-16.7K0.0083.53N/AN/A01132,8181,341
2015-03-10$38.93$41.0017.9%4.3%13.1%49.7%16.8%5.0%0.8%119.6K-169.3K-15.5K7.0081.74N/AN/A211472,8181,327
2015-03-11$39.03$41.0015.0%4.3%12.7%37.2%14.9%4.8%0.9%61.2K-38.9K-15.8K1.4187.22N/AN/A29412,8391,389
2015-03-12$39.51$41.0012.5%3.6%13.2%26.2%8.2%3.3%1.4%218.4K-1.1M-16.3K0.0085.82N/AN/A01392,8661,402
2015-03-13$39.27$41.0015.0%4.3%12.3%36.7%14.9%5.8%0.8%167.9K-488.4K-16.3K3.8987.43N/AN/A18702,8661,424
2015-03-16$39.71$41.0013.6%3.9%12.6%30.5%13.4%4.3%1.0%214.4K-1.2M-16.2K1.1483.33N/AN/A14162,8721,485
2015-03-17$39.67$41.0013.4%3.8%12.6%29.6%13.4%5.0%1.9%208.6K-1.2M-16.3K0.0082.63N/AN/A0692,8811,496
2015-03-18$40.49$41.0012.7%3.6%14.4%26.6%17.7%3.5%1.6%744.1K-3.2M-14.8K1.0690.62N/AN/A17182,8811,561
2015-03-19$40.00$41.0012.3%3.5%15.1%25.0%12.0%4.1%2.2%244.4K-1.6M-15.9K0.2466.98N/AN/A51122,8661,574
2015-03-20$40.86$41.0010.3%3.0%16.6%16.4%10.6%4.3%2.7%1.7M-4.4M-14.9K0.3393.84N/AN/A85282,8881,584
2015-03-23$41.05$41.0012.4%3.6%16.6%25.6%11.9%6.5%0.5%111.2K-2.9M-15.4K0.3064.81N/AN/A206611,573899
2015-03-24$41.01$41.0011.6%3.3%16.4%22.1%13.4%2.5%1.2%111.5K-3.3M-15.4K5.2982.16N/AN/A422221,698953
2015-03-25$40.61$41.0012.6%3.6%16.9%26.3%13.0%5.5%1.3%48.9K-2.5M-17.3K2.9395.13N/AN/A27791,7061,122
2015-03-26$40.28$41.0015.3%4.4%17.1%37.9%14.1%4.4%0.2%42.0K-1.9M-17.3K0.4589.45N/AN/A7763491,7131,197
2015-03-27$40.37$41.0014.8%4.2%17.1%35.7%15.9%5.0%0.3%34.2K-1.9M-17.7K1.4073.86N/AN/A15211,7131,233
2015-03-30$40.42$41.0015.0%4.3%17.1%36.7%14.2%5.4%-0.1%39.9K-2.0M-17.1K0.5394.07N/AN/A7333861,7281,232
2015-03-31$39.82$41.0013.6%3.9%17.8%30.8%15.0%3.6%1.0%2.1K-897.9K-18.0K0.56100.47N/AN/A7344091,7461,304