VEA Options History — September 2015

In September 2015, VEA traded between $34.92 and $37.57. ATM implied volatility averaged 21.3%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 3.9% (HV 20d: 25.2%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2015-09-01: Highest Volume — 1,553 contracts
  • 2015-09-28: Largest IV spike — 38.0% change
  • 2015-09-01: Highest IV Rank — 83.3%
  • 2015-09-01: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.35$34.92$37.57$36.10$35.64
Max Pain$36.29$36.00$39.00$39.00$36.00
ATM IV21.3%13.5%28.8%28.8%21.8%
Expected Move6.0%3.9%8.2%8.2%6.2%
HV 20d25.2%22.6%27.3%22.9%22.6%
HV 60d20.6%19.4%21.5%19.6%21.1%
IV Rank51.4%19.4%83.3%83.3%52.5%
IV Percentile86.8%38.1%99.2%99.2%92.1%
Term Structure-0.8%-4.2%1.6%-2.0%-2.2%
VWIV21.0%17.0%29.3%29.3%19.8%
Skew 25d7.8%2.5%11.7%9.3%11.5%
Skew 10d16.2%6.2%26.9%17.2%21.5%
Call IV 25d18.7%13.1%23.9%23.9%15.5%
Put IV 25d26.5%21.0%33.2%33.2%27.0%
Bid-Ask Spread %91.5784.02100.7385.2995.73
Gamma HHI0.210.170.270.210.19
Net GEX118.5K57.3K205.3K99.0K82.0K
Net DEX1.1M30.6K1.9M1.6M1.1M
Net VEX-18.3K-22.1K-13.2K-21.2K-14.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.489.330.480.90
Total Volume1,014.33341,5531,5531,004
Total OI4,243.193,0954,8704,8703,454

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$36.10$39.0028.8%8.2%22.9%83.3%29.3%9.3%-2.0%99.0K1.6M-21.2K0.4885.29N/AN/A1,0495043,3061,564
2015-09-02$36.63$39.0025.4%7.3%23.6%69.3%20.2%8.6%-4.2%98.2K1.6M-21.6K0.9687.76N/AN/A6716473,2861,582
2015-09-03$36.74$36.0023.6%6.2%23.8%62.1%22.7%7.6%-1.1%129.3K1.1M-21.3K0.9787.69N/AN/A6706473,2851,479
2015-09-04$35.97$36.0026.0%7.1%24.5%71.7%23.5%7.3%-1.5%93.4K1.9M-19.0K0.9584.02N/AN/A6716383,2861,489
2015-09-08$36.93$36.0024.2%6.5%26.3%64.3%24.5%11.7%-1.5%138.5K1.2M-20.3K9.3386.69N/AN/A6563,2521,511
2015-09-09$36.76$36.0020.2%5.8%26.0%47.4%21.5%6.7%0.6%129.3K668.1K-22.1K0.9286.22N/AN/A6676143,2901,543
2015-09-10$36.99$36.0021.2%6.1%26.2%51.6%22.8%8.0%-0.3%128.9K1.1M-20.4K0.9285.50N/AN/A6706183,3021,540
2015-09-11$36.98$36.0021.8%6.2%26.2%54.1%21.4%9.3%-0.8%143.9K887.1K-21.0K0.9189.43N/AN/A6706123,3141,550
2015-09-14$36.73$36.0021.3%6.1%26.2%52.3%21.3%6.9%-0.8%116.8K1.3M-19.8K0.9193.29N/AN/A6706113,3141,550
2015-09-15$37.02$36.0019.6%5.6%26.5%45.2%0.0%7.1%-0.2%111.4K1.4M-18.6K0.0091.88N/AN/A043,2721,556
2015-09-16$37.57$36.0017.8%5.1%27.3%37.4%21.2%10.7%0.0%192.7K320.6K-21.5K0.7692.82N/AN/A6504913,3061,553
2015-09-17$37.57$36.0016.0%4.6%27.2%29.8%17.7%8.8%1.6%205.3K169.6K-21.2K0.71100.73N/AN/A6504623,2981,520
2015-09-18$36.71$36.0015.2%4.4%27.1%26.6%17.0%7.4%1.0%169.0K681.2K-20.6K0.7096.75N/AN/A6424493,2781,516
2015-09-21$36.62$36.0013.5%3.9%25.6%19.4%17.5%4.4%1.3%166.1K30.6K-17.2K0.6093.25N/AN/A4472692,217878
2015-09-22$35.60$36.0017.1%4.9%25.6%32.1%18.7%8.3%-0.5%99.2K995.7K-13.2K0.6094.52N/AN/A4452692,232878
2015-09-23$35.62$36.0020.6%5.9%25.4%47.6%17.7%3.0%-1.3%94.4K1.1M-13.6K0.6993.31N/AN/A4743272,264878
2015-09-24$35.51$36.0019.5%5.6%24.2%42.8%18.5%10.8%1.0%67.8K1.2M-14.5K1.0296.18N/AN/A4714802,2951,062
2015-09-25$35.67$36.0020.1%5.8%23.6%45.0%18.6%5.7%0.9%94.3K948.2K-15.1K0.8894.75N/AN/A5374712,2961,060
2015-09-28$35.03$36.0027.7%7.9%24.2%78.0%24.0%2.5%-4.0%71.4K1.3M-13.2K0.9392.06N/AN/A5375012,3471,060
2015-09-29$34.92$36.0025.3%7.2%24.1%67.5%22.2%8.3%-2.4%57.3K1.5M-13.4K0.9195.09N/AN/A5394912,3471,097
2015-09-30$35.64$36.0021.8%6.2%22.6%52.5%19.8%11.5%-2.2%82.0K1.1M-14.9K0.9095.73N/AN/A5284762,3541,100