VEA Options History — May 2015

In May 2015, VEA traded between $41.07 and $42.46. ATM implied volatility averaged 14.0%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.1% (HV 20d: 12.8%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.23.

Notable Days

  • 2015-05-21: Highest Volume — 1,400 contracts
  • 2015-05-26: Largest IV spike — 26.1% change
  • 2015-05-12: Highest IV Rank — 47.9%
  • 2015-05-29: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.83$41.07$42.46$41.70$41.39
Max Pain$37.20$37.00$41.00$41.00$37.00
ATM IV14.0%11.7%17.6%13.9%15.7%
Expected Move3.9%3.3%4.5%4.0%4.5%
HV 20d12.8%9.3%14.9%9.9%14.4%
HV 60d13.6%13.2%14.3%13.3%14.3%
IV Rank32.2%22.3%47.9%32.1%39.8%
IV Percentile64.1%34.9%94.8%71.0%84.9%
Term Structure0.5%-0.7%1.3%0.5%-0.7%
VWIV14.8%10.6%22.9%22.9%14.5%
Skew 25d4.4%2.9%6.2%6.2%3.5%
Skew 10d10.2%5.4%13.2%13.0%7.4%
Call IV 25d11.9%9.4%14.1%11.9%14.1%
Put IV 25d16.3%12.6%18.9%18.1%17.6%
Bid-Ask Spread %78.6158.4493.0693.0687.33
Gamma HHI0.270.200.410.220.24
Net GEX208.3K153.3K279.9K171.6K169.7K
Net DEX-4.2M-5.9M-2.5M-4.2M-2.5M
Net VEX-14.0K-16.1K-11.7K-14.2K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.1027.000.600.71
Total Volume917.661,4001,0731,341
Total OI3,184.152,8623,9952,8663,995

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$41.70$41.0013.9%4.0%9.9%32.1%22.9%6.2%0.5%171.6K-4.2M-14.2K0.6093.06N/AN/A6704031,8481,018
2015-05-04$41.76$37.0014.2%3.9%9.3%33.3%17.7%5.3%0.3%180.6K-4.1M-14.7K6.2572.93N/AN/A4251,8501,022
2015-05-05$41.14$37.0016.9%4.5%10.9%45.1%16.8%5.3%-0.2%161.9K-3.3M-15.0K0.5472.94N/AN/A6653621,8541,023
2015-05-06$41.17$37.0017.3%4.5%10.8%46.7%17.3%5.2%0.1%161.5K-3.3M-14.8K0.5773.47N/AN/A6633751,8541,028
2015-05-07$41.07$37.0016.4%4.4%10.9%43.1%15.9%4.9%-0.0%153.3K-3.3M-14.6K0.5873.07N/AN/A6643841,8561,028
2015-05-08$41.97$37.0012.3%3.8%13.3%25.2%13.2%3.8%1.0%197.6K-4.7M-12.8K1.0078.58N/AN/A331,8561,045
2015-05-11$41.60$37.0014.8%3.7%13.6%35.8%13.3%5.7%1.0%193.6K-4.0M-13.6K0.1082.30N/AN/A165171,8581,042
2015-05-12$41.64$37.0017.6%3.8%13.3%47.9%15.8%5.0%1.1%251.8K-4.3M-14.0K0.4781.55N/AN/A8213822,0091,047
2015-05-13$41.89$37.0013.6%3.9%13.4%30.4%17.6%3.9%1.0%272.4K-4.8M-13.3K0.5780.76N/AN/A6623802,0101,057
2015-05-14$42.40$37.0013.4%3.8%14.0%29.8%14.2%3.9%1.3%279.9K-5.7M-12.3K0.5581.64N/AN/A6843742,0301,069
2015-05-15$42.46$37.0012.2%3.5%13.1%24.5%14.7%4.4%1.2%233.1K-5.9M-11.7K0.5382.70N/AN/A6933692,0351,070
2015-05-18$42.31$37.0012.3%3.5%13.2%25.0%10.7%3.9%1.1%226.9K-5.2M-12.1K0.9670.60N/AN/A1291241,904958
2015-05-19$42.15$37.0012.2%3.5%13.2%24.5%10.6%5.0%0.9%260.3K-4.9M-12.6K27.0070.15N/AN/A51352,0271,064
2015-05-20$42.24$37.0012.3%3.5%13.1%24.8%13.1%3.3%0.7%243.6K-4.7M-13.7K0.7181.93N/AN/A7965662,0321,182
2015-05-21$42.46$37.0012.3%3.5%13.2%25.2%12.7%5.0%0.6%200.6K-4.8M-14.4K0.7781.10N/AN/A7896112,0601,303
2015-05-22$42.18$37.0011.7%3.3%13.4%22.3%14.3%2.9%0.7%223.7K-4.4M-14.9K0.7088.49N/AN/A7014922,1441,357
2015-05-26$41.49$37.0014.7%4.2%14.5%35.6%13.9%2.9%0.1%188.8K-3.1M-14.2K0.6871.74N/AN/A7495102,1641,430
2015-05-27$41.85$37.0012.7%3.6%14.9%26.7%13.0%3.7%-0.2%196.5K-3.5M-15.0K0.6589.35N/AN/A7735062,2171,495
2015-05-28$41.73$37.0012.8%3.7%14.5%27.1%13.3%4.3%0.5%198.9K-3.4M-16.0K0.6758.44N/AN/A8155422,2611,581
2015-05-29$41.39$37.0015.7%4.5%14.4%39.8%14.5%3.5%-0.7%169.7K-2.5M-16.1K0.7187.33N/AN/A7835582,3231,672