VEA Options History — April 2015

In April 2015, VEA traded between $40.07 and $42.13. ATM implied volatility averaged 13.9%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.4% (HV 20d: 13.5%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2015-04-02: Highest Volume — 1,177 contracts
  • 2015-04-30: Largest IV spike — 18.3% change
  • 2015-04-30: Highest IV Rank — 47.4%
  • 2015-04-30: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.25$40.07$42.13$40.07$41.34
Max Pain$41.00$41.00$41.00$41.00$41.00
ATM IV13.9%12.1%17.4%14.9%17.4%
Expected Move4.0%3.5%5.0%4.3%5.0%
HV 20d13.5%9.1%18.2%17.9%9.9%
HV 60d14.2%13.4%14.7%14.7%13.4%
IV Rank32.0%24.2%47.4%36.3%47.4%
IV Percentile70.0%48.8%94.8%81.0%94.8%
Term Structure0.3%-1.6%0.9%0.1%-1.6%
VWIV14.8%13.3%20.8%15.3%20.8%
Skew 25d4.1%2.5%5.3%3.3%2.9%
Skew 10d11.0%3.9%13.9%9.3%3.9%
Call IV 25d12.6%11.0%15.9%14.1%15.9%
Put IV 25d16.8%15.0%19.1%17.4%18.8%
Bid-Ask Spread %76.6217.4094.2994.2991.35
Gamma HHI0.190.160.220.190.19
Net GEX96.8K-20.6K182.7K-19.4K156.6K
Net DEX-3.4M-4.5M-1.1M-1.1M-3.5M
Net VEX-16.0K-17.9K-14.4K-17.9K-15.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.250.600.530.60
Total Volume1,016.762101,1771,1261,087
Total OI3,121.8572,6263,4343,1792,925

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$40.07$41.0014.9%4.3%17.9%36.3%15.3%3.3%0.1%-19.4K-1.1M-17.9K0.5394.29N/AN/A7343921,7511,428
2015-04-02$40.42$41.0014.5%4.3%18.2%34.8%14.5%5.1%0.3%-20.6K-1.7M-17.6K0.5079.60N/AN/A7853921,7511,434
2015-04-06$40.84$41.0013.8%3.9%17.8%31.4%14.3%4.3%0.4%16.7K-2.6M-17.1K0.4680.52N/AN/A7683571,8221,434
2015-04-07$40.81$41.0013.6%3.9%17.8%30.6%13.7%4.2%0.8%7.1K-2.7M-17.0K0.4784.36N/AN/A7593601,8431,506
2015-04-08$40.99$41.0013.9%4.0%15.7%32.0%13.8%4.7%0.3%22.9K-3.0M-16.9K0.2584.68N/AN/A821,8641,508
2015-04-09$41.04$41.0013.3%3.8%15.7%29.5%13.7%4.9%0.7%31.7K-3.2M-16.4K0.5282.90N/AN/A6863551,8721,508
2015-04-10$41.12$41.0013.0%3.7%15.3%28.1%13.3%4.5%0.9%73.0K-3.3M-16.8K0.5467.05N/AN/A6873691,8791,513
2015-04-13$40.89$41.0013.7%3.9%15.3%30.8%14.0%3.6%0.5%32.8K-3.0M-15.7K0.5265.26N/AN/A7083671,8811,533
2015-04-14$41.19$41.0013.5%3.9%15.0%30.2%13.8%5.3%0.8%67.0K-3.4M-16.5K0.5189.77N/AN/A7213661,8921,542
2015-04-15$41.42$41.0013.6%3.9%15.0%30.5%14.2%3.3%0.3%94.3K-4.1M-14.5K0.5088.79N/AN/A7143571,8821,541
2015-04-16$41.51$41.0012.1%3.5%13.4%24.2%14.1%2.5%0.6%98.6K-4.2M-15.5K0.4888.15N/AN/A7083411,8851,542
2015-04-17$41.02$41.0014.3%4.1%13.4%33.8%15.2%4.8%0.3%136.9K-3.3M-14.9K0.4865.73N/AN/A7083421,8821,542
2015-04-20$41.07$41.0013.7%3.9%11.1%31.0%14.3%4.9%0.4%136.6K-3.4M-14.4K0.4717.40N/AN/A6753161,677949
2015-04-21$41.39$41.0014.3%4.1%11.3%33.6%13.3%5.0%0.7%152.7K-3.6M-15.4K0.4566.43N/AN/A7273291,700997
2015-04-22$41.50$41.0014.1%4.0%11.3%32.6%13.6%4.8%0.4%166.8K-3.6M-16.0K0.4467.56N/AN/A7373251,7721,019
2015-04-23$41.69$41.0012.5%3.6%10.7%25.7%14.8%3.9%0.8%171.7K-4.0M-15.5K0.4467.49N/AN/A7253161,7821,019
2015-04-24$41.88$41.0013.3%3.8%10.1%29.5%15.2%3.7%0.4%173.8K-4.2M-15.9K0.4559.63N/AN/A7063211,8191,029
2015-04-27$42.09$41.0014.0%4.0%10.2%32.4%15.6%3.1%0.1%176.5K-4.4M-15.5K0.4892.07N/AN/A6983381,8261,030
2015-04-28$42.13$41.0013.7%3.9%10.2%31.2%16.6%3.1%0.2%182.7K-4.5M-14.9K0.4790.28N/AN/A6983271,8341,053
2015-04-29$41.74$41.0014.7%4.2%9.1%35.6%17.6%4.6%-0.6%173.5K-4.1M-15.5K0.4885.76N/AN/A7013401,8341,059
2015-04-30$41.34$41.0017.4%5.0%9.9%47.4%20.8%2.9%-1.6%156.6K-3.5M-15.8K0.6091.35N/AN/A6784091,8341,091