VEA Options History — January 2016

In January 2016, VEA traded between $32.86 and $36.16. ATM implied volatility averaged 21.7%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.8% (HV 20d: 20.9%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.46.

Notable Days

  • 2016-01-07: Highest Volume — 815 contracts
  • 2016-01-15: Largest IV spike — 38.9% change
  • 2016-01-08: Highest IV Rank — 87.0%
  • 2016-01-20: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.34$32.86$36.16$36.16$34.69
Max Pain$36.68$36.00$38.00$38.00$36.00
ATM IV21.7%17.1%29.8%20.6%17.2%
Expected Move5.8%4.7%7.1%5.3%4.9%
HV 20d20.9%17.0%25.8%17.5%25.8%
HV 60d16.1%13.9%18.7%14.0%18.7%
IV Rank52.5%32.8%87.0%47.7%33.3%
IV Percentile87.7%73.0%99.6%88.1%73.0%
Term Structure-0.0%-1.7%1.7%-0.5%0.1%
VWIV18.1%13.6%21.3%15.1%17.6%
Skew 25d6.7%3.0%13.2%4.2%5.7%
Skew 10d10.4%0.1%22.1%11.2%11.0%
Call IV 25d17.5%12.1%21.9%16.2%15.0%
Put IV 25d24.2%19.8%31.5%20.5%20.7%
Bid-Ask Spread %92.5586.4297.4991.6597.49
Gamma HHI0.190.160.210.200.18
Net GEX15.2K-12.4K108.4K96.0K-2.1K
Net DEX1.1M428.8K1.5M500.1K1.3M
Net VEX-6.8K-9.5K-5.1K-8.7K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.292.000.302.00
Total Volume654.7376081568760
Total OI2,366.6322,1902,5082,1902,508

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$36.16$38.0020.6%5.3%17.5%47.7%15.1%4.2%-0.5%96.0K500.1K-8.7K0.3091.65N/AN/A5281591,576614
2016-01-05$36.12$38.0017.1%4.7%17.0%32.8%14.1%7.8%0.6%108.4K428.8K-9.5K0.3092.89N/AN/A5501641,702655
2016-01-06$35.44$38.0021.8%5.4%17.9%52.9%13.6%7.0%-0.2%70.4K692.5K-8.9K0.2995.15N/AN/A6171761,712660
2016-01-07$34.91$38.0025.3%5.7%17.9%68.1%16.0%6.0%-0.2%34.0K1.0M-7.7K0.3293.11N/AN/A6191961,662676
2016-01-08$34.35$38.0029.8%6.3%18.5%87.0%16.8%4.2%-0.7%25.5K988.8K-8.1K0.3294.43N/AN/A5651831,674698
2016-01-11$34.52$37.0021.1%5.7%18.7%50.1%17.8%3.0%0.6%13.1K1.2M-7.2K0.3294.12N/AN/A5581771,696706
2016-01-12$34.69$37.0023.4%5.3%18.0%59.6%17.2%5.4%0.2%13.5K1.1M-7.1K0.3494.54N/AN/A5191781,707690
2016-01-13$34.15$37.0020.7%5.9%18.6%48.4%17.3%3.6%0.9%8.8K1.1M-6.9K0.4095.29N/AN/A4631851,719692
2016-01-14$34.55$36.0017.6%5.0%19.1%34.8%16.1%6.6%1.3%-6.5K1.3M-6.3K0.3992.43N/AN/A4701831,721706
2016-01-15$33.39$36.0024.4%7.0%20.1%64.1%20.5%7.5%-0.7%-1051.4M-5.9K0.4588.90N/AN/A4321931,728707
2016-01-19$33.69$36.0021.6%6.2%20.5%52.2%19.5%6.0%0.6%-9.1K1.3M-5.6K0.3888.52N/AN/A4481681,561685
2016-01-20$32.86$36.0024.8%7.1%21.7%65.9%20.7%9.7%-0.9%-6.5K1.4M-5.4K0.3786.57N/AN/A4481651,597689
2016-01-21$33.14$36.0023.4%6.7%22.2%60.0%20.2%13.2%-0.9%-10.6K1.5M-5.1K0.3790.66N/AN/A4791781,597690
2016-01-22$34.08$36.0019.8%5.7%24.8%44.3%19.6%6.2%1.7%-10.2K1.2M-5.9K0.3886.42N/AN/A4791821,637734
2016-01-25$33.58$36.0021.2%6.1%23.9%50.2%21.0%8.6%-0.9%-7.7K1.2M-5.9K0.3892.33N/AN/A4791801,637740
2016-01-26$34.15$36.0021.6%6.2%25.1%52.3%21.0%10.4%-1.7%-12.4K1.3M-5.8K0.4094.52N/AN/A4521801,637743
2016-01-27$33.95$36.0020.1%5.8%25.1%45.7%21.3%8.2%-0.7%-5.3K1.1M-6.2K0.5094.53N/AN/A4522261,642743
2016-01-28$34.13$36.0020.9%6.0%24.8%49.0%18.6%3.9%0.7%-9.7K1.2M-6.4K0.6394.86N/AN/A4592901,642783
2016-01-29$34.69$36.0017.2%4.9%25.8%33.3%17.6%5.7%0.1%-2.1K1.3M-6.7K2.0097.49N/AN/A20401,655853