VEA Options History — December 2015

In December 2015, VEA traded between $36.19 and $38.16. ATM implied volatility averaged 14.1%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.1% (HV 20d: 14.1%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2015-12-10: Highest Volume — 815 contracts
  • 2015-12-08: Largest IV spike — 53.8% change
  • 2015-12-11: Highest IV Rank — 39.6%
  • 2015-12-11: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.03$36.19$38.16$38.16$36.84
Max Pain$37.14$36.00$38.00$38.00$36.00
ATM IV14.1%10.0%18.7%12.7%12.4%
Expected Move4.1%2.9%5.4%3.7%3.6%
HV 20d14.1%11.5%16.9%11.5%16.4%
HV 60d15.3%13.5%16.8%16.8%13.5%
IV Rank19.8%2.6%39.6%14.1%12.8%
IV Percentile38.5%1.2%83.3%20.2%12.3%
Term Structure1.8%-0.4%5.7%0.8%2.6%
VWIV13.6%9.8%16.8%15.6%11.8%
Skew 25d5.0%2.2%7.3%5.4%4.2%
Skew 10d5.9%1.8%11.8%6.8%3.8%
Call IV 25d11.6%5.9%17.0%9.9%9.1%
Put IV 25d16.7%11.1%22.6%15.3%13.2%
Bid-Ask Spread %97.7874.17104.0097.41104.00
Gamma HHI0.260.200.320.290.25
Net GEX170.4K-48.7K469.1K469.1K141.6K
Net DEX593.6K-367.7K2.0M-367.7K-84.5K
Net VEX-11.5K-15.9K-9.3K-15.9K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.001.120.190.32
Total Volume617.409481531534
Total OI3,277.8181,9104,0223,9842,170

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$38.16$38.0012.7%3.7%11.5%14.1%0.0%5.4%0.8%469.1K-367.7K-15.9K0.1997.41N/AN/A2652,6561,328
2015-12-02$37.76$38.0013.0%3.7%11.7%15.4%15.6%6.7%-0.4%369.4K282.3K-15.9K1.1293.31N/AN/A3784252,6841,336
2015-12-03$37.53$38.0012.9%4.1%11.8%14.7%14.3%2.9%1.3%295.0K329.4K-15.7K1.0098.43N/AN/A4034032,6831,339
2015-12-04$37.88$38.0011.5%3.6%12.3%9.0%13.1%2.2%3.4%462.0K2.2K-14.1K1.0197.66N/AN/A4034092,6751,231
2015-12-07$37.54$38.0010.9%3.9%12.5%6.3%0.0%5.3%1.7%312.6K566.5K-13.0K0.00102.94N/AN/A402,6751,218
2015-12-08$36.98$38.0016.8%4.0%13.1%31.4%9.8%2.2%4.8%148.7K1.2M-12.2K1.0299.31N/AN/A4004092,6771,221
2015-12-09$36.87$38.0016.1%4.6%13.1%28.4%15.3%4.2%0.7%165.5K1.0M-12.9K1.0397.10N/AN/A3974092,6781,221
2015-12-10$36.86$38.0015.8%4.5%12.7%27.1%13.5%5.6%1.6%128.5K1.3M-11.5K1.0497.43N/AN/A3994162,6781,222
2015-12-11$36.19$38.0018.7%5.4%13.4%39.6%16.3%4.6%1.5%15.9K1.8M-10.4K0.7496.54N/AN/A4113042,6781,227
2015-12-14$36.26$38.0017.9%5.1%13.2%36.3%15.8%7.2%2.5%-48.7K2.0M-10.2K0.6896.18N/AN/A4543072,6841,233
2015-12-15$36.44$37.0018.4%5.3%12.4%38.5%16.8%6.3%-0.4%24.6K1.8M-10.0K0.7096.36N/AN/A4453102,7731,236
2015-12-16$37.21$37.0015.4%4.4%14.7%25.7%15.1%6.2%1.5%149.2K1.0M-10.7K0.7099.30N/AN/A4373042,7781,226
2015-12-17$36.79$37.0014.7%4.2%14.7%22.6%13.6%5.8%1.1%78.9K1.2M-10.3K0.75102.16N/AN/A4073052,7841,227
2015-12-18$36.42$37.0016.9%4.8%14.8%32.0%15.7%7.3%0.3%78.5K1.5M-9.6K0.74100.34N/AN/A3992962,7841,197
2015-12-21$36.35$37.0014.4%4.1%14.8%21.1%14.4%5.3%1.1%86.2K322.2K-9.3K0.1798.32N/AN/A409701,352558
2015-12-22$36.60$36.0011.9%3.4%15.1%10.8%15.0%3.8%2.5%117.3K100.7K-9.8K0.19102.02N/AN/A460861,439558
2015-12-23$37.22$36.0011.9%3.4%16.4%10.5%11.5%5.0%1.6%152.4K-180.0K-10.3K0.26100.24N/AN/A4821271,507571
2015-12-24$37.14$36.0011.2%3.2%16.4%7.7%11.0%5.7%2.5%147.3K-108.6K-10.5K0.2792.82N/AN/A4821281,532611
2015-12-28$37.03$36.0012.8%3.7%16.4%14.4%10.8%2.5%1.7%137.5K-90.4K-10.3K0.3374.17N/AN/A3851281,532614
2015-12-29$37.43$36.0010.0%2.9%16.9%2.6%11.1%6.0%5.7%165.9K-365.7K-10.6K0.33102.03N/AN/A3851281,543614
2015-12-30$37.20$36.0012.8%3.7%16.5%14.3%12.2%6.6%1.6%152.0K-244.4K-10.5K0.33103.07N/AN/A3861281,548614
2015-12-31$36.84$36.0012.4%3.6%16.4%12.8%11.8%4.2%2.6%141.6K-84.5K-10.2K0.32104.00N/AN/A4061281,556614