VEA Options History — October 2015

In October 2015, VEA traded between $35.54 and $38.63. ATM implied volatility averaged 15.6%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 3.7% (HV 20d: 19.2%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.69.

Notable Days

  • 2015-10-07: Highest Volume — 1,758 contracts
  • 2015-10-13: Largest IV spike — 48.0% change
  • 2015-10-01: Highest IV Rank — 55.2%
  • 2015-10-01: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.72$35.54$38.63$35.54$38.09
Max Pain$36.55$35.00$37.00$36.00$37.00
ATM IV15.6%9.4%22.4%22.4%14.0%
Expected Move4.6%3.8%6.4%6.4%4.0%
HV 20d19.2%13.7%23.3%21.9%13.7%
HV 60d20.7%20.4%20.9%20.6%20.9%
IV Rank26.3%0.0%55.2%55.2%19.7%
IV Percentile56.3%0.0%92.9%92.9%46.4%
Term Structure0.6%-1.6%2.8%-1.4%1.2%
VWIV16.3%12.3%20.0%19.8%14.7%
Skew 25d6.5%3.0%13.1%11.3%5.9%
Skew 10d10.8%4.1%16.0%8.7%5.0%
Call IV 25d12.6%9.6%17.7%17.7%9.6%
Put IV 25d19.1%15.3%29.0%29.0%15.5%
Bid-Ask Spread %94.4486.32102.1196.7694.85
Gamma HHI0.360.180.450.190.42
Net GEX503.0K99.0K732.7K99.0K650.0K
Net DEX-1.6M-3.3M931.3K931.3K-1.7M
Net VEX-21.2K-24.2K-15.0K-15.0K-21.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.382.510.752.40
Total Volume869.909261,7581,105948
Total OI4,466.5913,4944,8743,4944,874

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$35.54$36.0022.4%6.4%21.9%55.2%19.8%11.3%-1.4%99.0K931.3K-15.0K0.7596.76N/AN/A6324732,3911,103
2015-10-02$36.29$36.0022.1%6.3%23.3%53.9%15.0%13.1%-1.6%148.5K627.4K-15.5K0.76101.45N/AN/A6144672,5031,113
2015-10-05$37.06$35.0017.6%5.3%23.2%34.3%15.0%9.9%-0.7%210.4K-258.1K-17.3K1.3689.93N/AN/A11152,5101,117
2015-10-06$37.15$35.0017.7%5.3%21.2%34.8%20.0%8.3%-0.1%235.9K-520.1K-17.3K1.6489.61N/AN/A2954832,5191,115
2015-10-07$37.49$35.0015.9%5.1%21.4%27.3%16.1%4.9%0.7%260.8K-1.1M-18.6K0.3890.55N/AN/A1,2784802,5291,099
2015-10-08$37.82$35.009.4%4.3%21.5%0.0%18.1%9.3%0.1%541.8K-2.1M-22.2K1.5593.26N/AN/A3004643,5191,098
2015-10-09$37.88$37.0012.8%4.5%21.5%14.5%17.7%6.0%0.1%571.3K-2.9M-24.0K1.7692.26N/AN/A3065403,5311,109
2015-10-12$37.83$37.0013.9%4.6%21.3%19.0%17.9%7.4%0.6%539.4K-2.2M-22.5K1.8090.69N/AN/A3065503,5311,193
2015-10-13$37.42$37.0020.5%5.2%21.6%47.5%18.1%4.2%1.3%463.1K-1.4M-21.7K2.2690.90N/AN/A2786283,5311,271
2015-10-14$37.44$37.0017.5%5.0%20.9%34.6%17.6%3.6%0.6%458.0K-1.4M-21.3K1.7788.91N/AN/A2734833,5311,271
2015-10-15$38.15$37.0014.9%4.3%22.0%23.3%17.1%5.0%1.2%597.7K-2.4M-22.6K2.2195.21N/AN/A2675913,5331,272
2015-10-16$38.13$37.0015.3%4.4%20.1%25.1%17.0%6.9%0.7%580.8K-2.3M-23.6K1.9396.37N/AN/A2675153,4741,380
2015-10-19$37.94$37.0015.3%4.4%20.2%25.1%17.6%6.3%0.1%558.3K-1.6M-22.9K1.7586.32N/AN/A2594543,3691,194
2015-10-20$37.80$37.0016.1%4.6%17.0%28.3%17.2%5.8%0.6%509.5K-1.3M-21.8K1.8690.51N/AN/A2594813,3511,193
2015-10-21$37.81$37.0013.4%3.8%17.0%17.1%16.1%5.5%2.8%561.1K-1.5M-22.0K1.3991.82N/AN/A2873993,3691,215
2015-10-22$38.27$37.0014.1%4.0%17.1%19.8%16.4%5.5%1.5%700.6K-1.7M-21.6K1.50102.11N/AN/A2734093,3941,215
2015-10-23$38.63$37.0013.1%3.8%17.2%15.7%12.7%5.1%0.6%709.6K-3.3M-24.2K1.1099.57N/AN/A3714093,3991,225
2015-10-26$38.50$37.0013.9%4.0%15.4%19.1%13.1%3.8%1.5%732.7K-2.9M-22.2K1.95101.60N/AN/A3717223,4281,225
2015-10-27$38.14$37.0015.2%4.4%16.0%24.7%15.5%4.6%0.6%647.8K-2.0M-23.7K2.12100.05N/AN/A3387183,4281,425
2015-10-28$38.34$37.0013.2%3.8%14.8%16.3%12.3%3.0%2.2%696.3K-2.3M-21.8K2.5199.35N/AN/A2797013,4221,422
2015-10-29$38.07$37.0014.6%4.2%15.2%22.1%13.2%6.8%1.5%593.6K-1.5M-22.1K2.3895.60N/AN/A2796653,4411,433
2015-10-30$38.09$37.0014.0%4.0%13.7%19.7%14.7%5.9%1.2%650.0K-1.7M-21.9K2.4094.85N/AN/A2796693,4411,433