VEA Options History — August 2015

In August 2015, VEA traded between $36.14 and $40.62. ATM implied volatility averaged 18.1%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.7% (HV 20d: 14.5%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-08-31: Highest Volume — 1,977 contracts
  • 2015-08-24: Largest IV spike — 46.0% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.89$36.14$40.62$40.11$37.35
Max Pain$39.90$39.00$41.00$41.00$39.00
ATM IV18.1%10.8%32.8%13.0%25.1%
Expected Move5.2%3.5%9.4%3.7%7.2%
HV 20d14.5%9.2%20.3%17.2%20.2%
HV 60d16.6%15.7%18.6%16.4%18.5%
IV Rank43.0%11.1%100.0%21.5%68.3%
IV Percentile72.3%11.9%100.0%39.7%98.0%
Term Structure-1.0%-5.4%1.8%1.0%-5.2%
VWIV18.7%8.4%30.8%8.4%25.0%
Skew 25d6.2%3.2%14.5%5.6%8.6%
Skew 10d13.5%5.1%31.2%5.6%19.9%
Call IV 25d16.1%9.5%28.0%9.5%20.2%
Put IV 25d22.3%15.2%40.5%15.2%28.7%
Bid-Ask Spread %84.2172.1496.3396.3389.48
Gamma HHI0.270.190.370.280.27
Net GEX114.5K34.1K246.0K118.0K36.6K
Net DEX255.5K-1.8M2.3M-156.3K1.6M
Net VEX-17.9K-20.4K-12.4K-12.4K-18.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.103.771.070.46
Total Volume1,054.333621,9771861,977
Total OI3,526.8572,5654,1402,5654,140

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$40.11$41.0013.0%3.7%17.2%21.5%8.4%5.6%1.0%118.0K-156.3K-12.4K1.0796.33N/AN/A90961,5641,001
2015-08-04$40.12$41.0012.2%3.5%17.2%17.8%12.2%3.2%1.8%142.5K-319.7K-13.0K1.1394.20N/AN/A3694171,6621,061
2015-08-05$40.37$41.0013.3%3.8%14.5%23.3%12.2%4.3%0.7%163.4K-638.4K-13.2K0.5995.45N/AN/A8685111,6621,061
2015-08-06$40.22$40.0013.2%4.0%13.9%22.8%14.1%4.0%1.5%202.8K-1.2M-20.0K0.5978.64N/AN/A8595112,1611,158
2015-08-07$40.15$40.0013.4%4.0%9.2%23.6%14.4%3.9%1.1%212.9K-1.5M-19.6K0.5978.95N/AN/A8595112,1611,158
2015-08-10$40.62$40.0010.8%3.6%10.0%11.1%13.7%3.7%1.6%246.0K-1.8M-19.8K0.6185.31N/AN/A8595242,1611,158
2015-08-11$39.99$40.0014.0%4.1%11.2%26.3%16.2%4.1%1.1%187.7K-780.1K-19.1K3.7781.16N/AN/A13492,1541,171
2015-08-12$39.73$40.0016.3%4.7%11.3%37.4%16.4%4.8%-0.4%153.8K-404.7K-19.1K0.5274.45N/AN/A8244312,1611,210
2015-08-13$39.73$40.0015.3%4.4%10.8%32.7%17.3%6.1%0.3%148.4K-464.5K-18.6K1.3579.83N/AN/A3274432,1641,240
2015-08-14$39.76$40.0015.6%4.5%10.8%34.0%17.9%5.5%-0.5%151.0K-429.6K-18.8K1.4478.30N/AN/A3344812,1661,298
2015-08-17$39.69$40.0015.1%4.3%10.8%31.6%17.5%4.0%0.6%134.2K-387.7K-18.8K2.1477.29N/AN/A2465272,1751,399
2015-08-18$39.40$40.0016.4%4.7%11.0%37.8%17.3%3.4%-0.0%126.1K-135.5K-17.3K2.2981.85N/AN/A2405502,1731,418
2015-08-19$39.08$40.0016.8%4.8%11.0%39.5%19.4%4.9%-0.3%60.1K863.3K-18.0K0.1077.75N/AN/A362362,1901,442
2015-08-20$38.16$40.0020.3%5.8%13.5%56.4%19.9%4.8%-2.2%45.2K1.5M-19.7K0.9477.83N/AN/A5945592,5061,467
2015-08-21$37.18$40.0022.5%6.4%15.8%66.6%21.3%7.3%-2.9%43.9K2.3M-17.5K1.0872.14N/AN/A6366892,5371,470
2015-08-24$36.14$40.0032.8%9.4%18.1%100.0%30.8%12.5%-4.4%34.1K2.2M-16.8K1.1091.85N/AN/A6066682,3541,370
2015-08-25$36.42$39.0028.7%8.2%17.6%83.4%24.3%5.8%-5.4%34.1K1.6M-17.8K1.0488.65N/AN/A6376642,4301,436
2015-08-26$37.14$39.0025.0%7.2%19.4%67.9%25.4%14.5%-3.2%55.1K1.2M-18.7K0.7792.93N/AN/A6895302,4941,450
2015-08-27$37.65$39.0020.5%5.9%20.3%49.7%24.7%8.6%-2.0%46.3K1.3M-18.6K0.8589.67N/AN/A7035992,5071,458
2015-08-28$37.64$39.0020.9%6.0%20.2%51.4%25.4%9.8%-3.6%63.4K1.1M-20.4K0.9686.42N/AN/A6396142,5791,537
2015-08-31$37.35$39.0025.1%7.2%20.2%68.3%25.0%8.6%-5.2%36.6K1.6M-18.6K0.4689.48N/AN/A1,3586192,5811,559