VEA Options History — November 2015

In November 2015, VEA traded between $36.95 and $38.38. ATM implied volatility averaged 13.7%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.7% (HV 20d: 12.0%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 3.01.

Notable Days

  • 2015-11-17: Highest Volume — 1,181 contracts
  • 2015-11-18: Largest IV drop — 21.2% change
  • 2015-11-16: Highest IV Rank — 32.1%
  • 2015-11-16: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.74$36.95$38.38$38.38$37.75
Max Pain$37.89$37.00$38.00$37.00$38.00
ATM IV13.7%12.2%16.9%12.4%13.1%
Expected Move4.0%3.5%4.9%3.6%3.8%
HV 20d12.0%10.8%13.1%12.0%10.8%
HV 60d19.6%16.7%21.0%21.0%16.7%
IV Rank18.3%11.9%32.1%12.9%15.7%
IV Percentile36.4%13.9%77.0%18.7%26.2%
Term Structure1.8%-0.5%3.5%2.3%1.8%
VWIV14.1%11.2%18.4%13.6%13.2%
Skew 25d4.9%-2.5%9.7%6.1%3.8%
Skew 10d6.5%-0.6%11.7%8.6%0.9%
Call IV 25d11.5%8.5%15.7%8.5%9.9%
Put IV 25d16.4%11.7%21.7%14.6%13.8%
Bid-Ask Spread %96.6592.81101.54101.5496.33
Gamma HHI0.290.190.450.440.26
Net GEX465.8K252.4K763.0K758.6K367.0K
Net DEX-217.2K-2.0M1.3M-2.0M135.6K
Net VEX-17.3K-21.8K-14.0K-21.8K-15.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.010.1118.672.4918.67
Total Volume725.63211,18195259
Total OI4,745.5793,8785,2464,8873,925

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$38.38$37.0012.4%3.6%12.0%12.9%13.6%6.1%2.3%758.6K-2.0M-21.8K2.49101.54N/AN/A2736793,4411,446
2015-11-04$38.17$37.0012.2%3.5%12.3%11.9%12.0%-2.5%3.3%751.4K-1.9M-21.4K1.99100.27N/AN/A3436843,4921,456
2015-11-05$38.15$38.0012.7%3.9%11.9%13.9%12.9%4.5%2.7%763.0K-1.9M-21.6K2.0196.07N/AN/A3406843,5131,456
2015-11-06$37.93$38.0013.4%3.9%11.8%16.9%16.1%3.5%2.6%600.1K-981.5K-20.1K5.2494.89N/AN/A17893,5151,443
2015-11-09$37.53$38.0013.2%4.5%12.4%16.2%18.4%4.5%0.9%422.4K37.2K-17.6K5.6495.80N/AN/A14793,5241,405
2015-11-10$37.51$38.0015.4%4.2%12.4%25.6%13.7%1.9%1.4%434.2K279.6K-16.9K2.7499.29N/AN/A2897913,5261,496
2015-11-11$37.80$38.0013.9%4.0%12.0%18.9%13.8%5.0%2.2%559.4K-370.0K-18.1K2.7497.09N/AN/A2897913,5441,491
2015-11-12$37.27$38.0015.4%4.4%13.1%25.6%13.4%4.1%2.4%410.6K445.6K-16.7K2.6593.78N/AN/A2967833,5581,491
2015-11-13$36.95$38.0015.3%4.4%11.3%25.0%15.9%6.3%1.6%252.4K1.3M-14.3K2.2796.42N/AN/A3026853,5581,482
2015-11-16$37.40$38.0016.9%4.9%12.3%32.1%16.3%7.5%-0.5%314.8K995.3K-14.0K0.0098.42N/AN/A013,5581,467
2015-11-17$37.47$38.0016.7%4.8%12.3%31.2%14.7%9.7%0.2%337.4K397.6K-16.0K1.3795.36N/AN/A4986833,5581,480
2015-11-18$37.84$38.0013.2%3.8%12.7%16.0%11.2%6.2%2.8%555.1K-424.3K-17.1K1.3796.17N/AN/A4986833,7651,471
2015-11-19$38.01$38.0012.9%3.7%12.8%14.7%13.7%6.8%3.5%551.9K-519.7K-17.5K1.4198.00N/AN/A4836823,7651,471
2015-11-20$37.93$38.0012.9%3.7%12.1%14.8%12.6%4.9%2.6%436.6K-872.6K-17.9K1.4099.07N/AN/A4746653,7751,471
2015-11-23$37.70$38.0012.6%3.6%11.6%13.7%14.3%5.3%2.2%317.0K295.3K-16.5K0.1994.64N/AN/A2142,6161,262
2015-11-24$37.75$38.0012.8%3.7%11.7%14.3%13.3%4.7%0.2%308.4K275.0K-15.3K0.1192.81N/AN/A4552,6221,266
2015-11-25$37.81$38.0012.6%3.6%11.2%13.3%14.8%5.3%1.8%344.3K483.0K-15.4K0.9897.26N/AN/A3953862,6541,274
2015-11-27$37.80$38.0012.9%3.7%11.0%14.8%13.2%5.2%1.0%365.4K204.1K-15.6K0.9793.24N/AN/A3953822,6551,274
2015-11-30$37.75$38.0013.1%3.8%10.8%15.7%0.0%3.8%1.8%367.0K135.6K-15.1K18.6796.33N/AN/A3562,6531,272