VEA Options History — June 2015

In June 2015, VEA traded between $39.71 and $41.84. ATM implied volatility averaged 15.2%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.4% (HV 20d: 13.8%). Max pain ranged from $37.00 to $43.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2015-06-10: Highest Volume — 1,997 contracts
  • 2015-06-29: Largest IV spike — 40.9% change
  • 2015-06-30: Highest IV Rank — 62.7%
  • 2015-06-30: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.01$39.71$41.84$41.23$39.71
Max Pain$41.50$37.00$43.00$37.00$42.00
ATM IV15.2%10.5%21.4%15.9%21.4%
Expected Move4.3%3.0%6.1%4.6%6.1%
HV 20d13.8%11.6%17.4%14.1%17.3%
HV 60d13.3%12.4%14.3%14.3%13.9%
IV Rank37.1%17.2%62.7%40.8%62.7%
IV Percentile72.3%16.7%98.8%86.5%98.8%
Term Structure0.2%-2.9%3.8%-1.3%-2.7%
VWIV15.7%12.7%20.7%17.8%20.7%
Skew 25d4.7%3.1%6.5%5.8%5.1%
Skew 10d10.0%4.4%15.5%14.7%9.1%
Call IV 25d13.6%10.1%20.2%12.8%20.2%
Put IV 25d18.3%13.5%25.2%18.6%25.2%
Bid-Ask Spread %82.6351.6692.1985.5281.00
Gamma HHI0.320.220.460.270.35
Net GEX20.4K-229.0K289.2K199.4K-35.1K
Net DEX210.4K-2.8M2.5M-1.9M2.3M
Net VEX-15.5K-18.5K-13.6K-15.4K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.502.900.591.84
Total Volume1,314.773821,9971,2331,282
Total OI4,240.53,0985,3124,0323,171

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$41.23$37.0015.9%4.6%14.1%40.8%17.8%5.8%-1.3%199.4K-1.9M-15.4K0.5985.52N/AN/A7754582,3421,690
2015-06-02$41.39$37.0016.2%4.6%14.2%41.8%14.5%6.0%-1.6%210.2K-2.4M-15.7K2.9088.46N/AN/A21612,3581,733
2015-06-03$41.64$37.0013.6%3.9%13.2%30.8%18.0%6.5%-0.8%195.6K-2.8M-16.5K0.5690.37N/AN/A7874372,3771,785
2015-06-04$41.13$43.0016.5%4.4%14.0%43.2%15.1%4.3%0.1%181.9K-1.8M-15.8K0.5875.20N/AN/A7984602,4321,788
2015-06-05$40.74$43.0014.7%4.2%14.4%35.4%14.7%4.7%0.6%100.7K-820.3K-14.4K0.5376.08N/AN/A9455042,4431,840
2015-06-08$40.67$43.0015.3%4.4%11.8%38.0%15.2%5.3%0.4%129.9K-716.5K-14.9K0.9579.44N/AN/A9038572,6151,926
2015-06-09$40.44$43.0017.6%4.7%11.6%48.0%15.2%4.1%-0.4%-37.8K61.1K-15.6K1.0280.82N/AN/A8528722,6232,258
2015-06-10$41.25$42.0015.1%4.3%13.8%37.2%15.7%4.6%0.2%165.9K-1.8M-16.0K1.2686.36N/AN/A8821,1152,6982,280
2015-06-11$41.37$42.0014.8%4.3%13.7%36.1%15.2%3.9%0.2%111.3K-2.1M-18.5K1.2782.70N/AN/A8781,1162,7282,584
2015-06-12$41.03$42.0015.0%4.3%13.1%36.9%16.0%4.5%-0.0%-7821.3M-17.2K1.2679.30N/AN/A8781,1042,2202,587
2015-06-15$40.80$42.0015.1%4.3%13.1%37.2%15.4%5.6%1.4%-75.3K2.0M-16.0K0.5282.48N/AN/A9855122,2202,598
2015-06-16$40.77$42.0015.4%4.4%13.1%38.7%15.3%3.4%0.4%-25.9K1.9M-15.6K0.5178.93N/AN/A9775032,3242,666
2015-06-17$40.69$42.0015.0%4.3%13.1%36.8%16.3%5.1%0.8%-74.7K2.4M-15.6K0.5085.93N/AN/A1,0585322,3252,677
2015-06-18$41.04$42.0014.3%4.1%13.5%33.7%15.2%3.6%0.8%289.2K1.0M-15.9K0.6084.77N/AN/A8935402,4672,779
2015-06-19$41.02$42.0014.1%4.0%13.3%32.9%15.4%4.2%1.3%-48.0K1.5M-15.3K0.6090.23N/AN/A8675212,4632,766
2015-06-22$41.78$42.0012.0%3.5%14.9%23.8%15.2%5.5%1.6%-55.6K-63.4K-15.0K1.3286.40N/AN/A3104091,5441,737
2015-06-23$41.84$42.0010.5%3.0%13.7%17.2%12.7%3.4%1.3%-105.5K-556.4K-13.6K1.6691.38N/AN/A2554231,5741,833
2015-06-24$41.50$42.0013.2%3.8%13.6%26.3%13.4%4.9%1.9%-229.0K1.3M-14.3K1.0951.66N/AN/A3583901,2951,833
2015-06-25$41.50$42.0012.8%3.7%13.6%24.5%14.2%5.4%3.8%-220.9K1.2M-14.8K1.1492.19N/AN/A4204781,4161,851
2015-06-26$40.91$42.0014.9%4.3%14.2%33.8%14.9%3.1%-0.7%-170.2K2.0M-15.8K1.7087.94N/AN/A5018501,4291,918
2015-06-29$39.74$42.0021.0%6.0%17.4%61.4%20.1%4.3%-2.9%-55.5K2.5M-14.1K1.6180.59N/AN/A4437151,4611,637
2015-06-30$39.71$42.0021.4%6.1%17.3%62.7%20.7%5.1%-2.7%-35.1K2.3M-14.3K1.8481.00N/AN/A4518311,5521,619