VEA Options History — July 2015 In July 2015, VEA traded between $38.28 and $40.68. ATM implied volatility averaged 17.4%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.8% (HV 20d: 20.2%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.64.
Notable Days 2015-07-17 : Highest Volume — 1,697 contracts2015-07-27 : Largest IV spike — 29.3% change2015-07-08 : Highest IV Rank — 89.6%2015-07-08 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $39.94 $38.28 $40.68 $39.92 $40.21 Max Pain $40.59 $40.00 $42.00 $42.00 $41.00 ATM IV 17.4% 11.9% 27.3% 20.8% 12.5% Expected Move 4.6% 3.4% 6.4% 6.0% 3.6% HV 20d 20.2% 16.9% 22.4% 17.3% 18.8% HV 60d 16.0% 13.9% 16.7% 14.0% 16.4% IV Rank 42.6% 16.4% 89.6% 59.9% 19.5% IV Percentile 67.3% 21.8% 99.6% 98.0% 32.5% Term Structure 0.2% -3.2% 2.1% -3.2% 1.2% VWIV 15.8% 12.6% 20.0% 19.8% 12.6% Skew 25d 4.5% 2.4% 6.5% 5.2% 3.6% Skew 10d 10.6% 3.7% 16.6% 6.7% 11.0% Call IV 25d 14.4% 10.9% 19.8% 19.1% 11.3% Put IV 25d 18.9% 14.7% 25.6% 24.3% 14.9% Bid-Ask Spread % 82.15 62.98 93.91 82.59 92.83 Gamma HHI 0.29 0.17 0.44 0.40 0.30 Net GEX 449 -210.2K 163.0K -61.5K 123.5K Net DEX 1.2M -1.0M 4.8M 2.4M -328.0K Net VEX -13.2K -14.7K -11.4K -14.7K -12.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.64 0.77 2.74 1.81 1.16 Total Volume 1,172.909 624 1,697 1,269 624 Total OI 3,137.773 2,310 3,992 3,331 2,561
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-07-01 $39.92 $42.00 20.8% 6.0% 17.3% 59.9% 19.8% 5.2% -3.2% -61.5K 2.4M -14.7K 1.81 82.59 N/A N/A 451 818 1,594 1,737 2015-07-02 $40.00 $42.00 21.2% 6.1% 16.9% 61.8% 19.7% 5.3% -3.0% -60.9K 2.3M -14.4K 1.79 84.55 N/A N/A 402 719 1,594 1,723 2015-07-06 $39.20 $40.00 23.8% 5.7% 18.0% 73.8% 18.4% 5.3% -0.2% -81.1K 3.3M -12.7K 2.25 70.76 N/A N/A 443 995 1,649 1,737 2015-07-07 $39.20 $40.00 22.0% 5.5% 18.0% 64.6% 17.5% 5.6% -0.4% -210.2K 4.0M -12.8K 2.28 69.65 N/A N/A 425 967 1,654 2,029 2015-07-08 $38.28 $40.00 27.3% 6.4% 19.6% 89.6% 20.0% 6.4% -0.9% -137.2K 4.8M -11.4K 2.27 62.98 N/A N/A 425 964 1,657 2,036 2015-07-09 $38.85 $40.00 25.9% 5.9% 18.9% 83.2% 19.5% 5.5% -0.8% -175.5K 4.2M -12.6K 2.74 67.56 N/A N/A 393 1,077 1,659 2,039 2015-07-10 $40.02 $40.00 24.1% 5.5% 22.1% 74.4% 18.8% 6.5% -0.6% -172.2K 2.6M -13.2K 2.04 73.07 N/A N/A 541 1,104 1,670 1,973 2015-07-13 $40.22 $40.00 20.3% 4.9% 22.1% 56.4% 17.7% 4.9% -0.3% -175.8K 1.6M -13.7K 2.32 72.01 N/A N/A 476 1,104 1,849 1,983 2015-07-14 $40.49 $40.00 21.6% 4.6% 22.2% 62.4% 16.4% 5.3% 0.2% -65.2K 1.0M -13.7K 2.29 81.08 N/A N/A 497 1,140 1,882 1,993 2015-07-15 $40.33 $40.00 16.2% 4.7% 22.2% 37.0% 15.5% 4.6% 0.0% -194.7K 1.4M -14.0K 2.37 78.22 N/A N/A 497 1,180 1,921 2,028 2015-07-16 $40.67 $40.00 12.9% 3.7% 22.4% 21.2% 13.8% 4.1% 0.6% -26.9K 839.6K -13.9K 2.36 83.80 N/A N/A 502 1,185 1,921 2,066 2015-07-17 $40.60 $40.00 12.7% 3.6% 22.2% 20.1% 13.3% 4.5% 0.8% 152.8K 749.1K -13.2K 2.38 76.60 N/A N/A 502 1,195 1,921 2,071 2015-07-20 $40.68 $40.00 11.9% 3.4% 22.2% 16.4% 12.9% 4.1% 1.2% 163.0K -1.0M -13.0K 0.96 89.77 N/A N/A 377 362 1,470 840 2015-07-21 $40.58 $41.00 12.0% 3.4% 21.1% 17.1% 12.9% 3.4% 1.2% 149.1K -933.3K -13.2K 0.94 89.75 N/A N/A 377 354 1,491 861 2015-07-22 $40.24 $41.00 13.2% 3.8% 21.2% 22.6% 13.3% 2.4% 1.3% 135.2K -529.4K -12.9K 0.80 89.00 N/A N/A 491 395 1,508 881 2015-07-23 $40.09 $41.00 12.4% 3.6% 21.1% 18.9% 12.6% 3.5% 2.1% 124.8K -451.3K -13.3K 0.84 92.22 N/A N/A 468 391 1,532 925 2015-07-24 $39.70 $41.00 13.3% 3.8% 21.2% 23.3% 13.8% 4.2% 1.3% 103.4K 124.7K -13.0K 0.85 90.55 N/A N/A 456 389 1,525 960 2015-07-27 $39.42 $41.00 17.2% 4.9% 20.8% 41.9% 16.8% 3.9% 0.0% 91.3K 318.9K -12.4K 0.82 86.46 N/A N/A 449 370 1,526 965 2015-07-28 $39.90 $41.00 14.6% 4.2% 18.7% 29.5% 15.3% 4.3% 0.4% 104.3K 32.0K -13.1K 0.81 87.83 N/A N/A 451 364 1,529 997 2015-07-29 $40.06 $41.00 13.4% 3.8% 18.8% 23.5% 13.4% 4.9% 1.2% 107.4K -178.8K -13.0K 0.77 93.91 N/A N/A 469 361 1,529 988 2015-07-30 $40.03 $41.00 12.7% 3.7% 18.7% 20.5% 13.1% 2.5% 1.8% 116.4K -137.5K -12.8K 1.23 92.07 N/A N/A 293 361 1,568 989 2015-07-31 $40.21 $41.00 12.5% 3.6% 18.8% 19.5% 12.6% 3.6% 1.2% 123.5K -328.0K -12.8K 1.16 92.83 N/A N/A 289 335 1,572 989
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