VEA Options History — February 2016

In February 2016, VEA traded between $32.26 and $34.66. ATM implied volatility averaged 21.3%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.4% (HV 20d: 23.8%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.45.

Notable Days

  • 2016-02-25: Highest Volume — 1,387 contracts
  • 2016-02-24: Largest IV spike — 25.9% change
  • 2016-02-11: Highest IV Rank — 77.5%
  • 2016-02-11: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.57$32.26$34.66$34.66$33.67
Max Pain$37.55$35.00$38.00$35.00$38.00
ATM IV21.3%16.5%27.5%16.5%18.8%
Expected Move6.1%4.7%7.9%4.7%5.4%
HV 20d23.8%19.5%26.5%25.7%19.5%
HV 60d19.9%18.6%20.8%18.6%20.7%
IV Rank51.0%30.4%77.5%30.4%40.0%
IV Percentile82.3%67.9%98.0%69.0%72.2%
Term Structure-0.5%-3.2%1.8%0.8%-0.4%
VWIV20.4%16.2%27.1%16.2%18.8%
Skew 25d7.4%3.8%9.7%5.9%8.5%
Skew 10d12.4%2.8%21.7%10.9%8.3%
Call IV 25d17.8%12.4%24.6%15.4%14.0%
Put IV 25d25.2%21.2%32.0%21.2%22.5%
Bid-Ask Spread %91.5084.4298.3398.3396.61
Gamma HHI0.200.160.260.200.26
Net GEX-41.5K-62.1K-5.3K-5.3K-58.1K
Net DEX2.9M1.5M3.6M1.5M3.4M
Net VEX-7.2K-9.3K-6.1K-6.1K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.871.910.871.80
Total Volume1,148.67561,3877561,353
Total OI3,161.752,5643,5082,5643,508

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$34.66$35.0016.5%4.7%25.7%30.4%16.2%5.9%0.8%-5.3K1.5M-6.1K0.8798.33N/AN/A4043521,670894
2016-02-02$33.86$35.0020.4%5.8%26.2%46.8%21.6%3.8%0.3%-11.6K1.7M-6.4K1.0297.86N/AN/A4044141,672959
2016-02-03$34.13$35.0020.5%5.9%26.5%47.3%20.6%6.3%-0.2%-31.7K2.1M-6.1K1.4097.07N/AN/A4045651,6721,042
2016-02-04$34.17$38.0019.7%5.7%25.8%44.0%21.1%9.6%0.3%-39.8K2.5M-6.6K1.3293.25N/AN/A4345751,6731,234
2016-02-05$33.65$38.0021.6%6.3%25.8%52.3%21.2%8.1%-0.7%-31.8K2.5M-7.2K1.5490.82N/AN/A4436831,7001,245
2016-02-08$33.11$38.0026.1%7.4%25.8%71.3%24.2%5.9%-3.2%-47.2K3.2M-6.8K1.6592.70N/AN/A4367201,7201,396
2016-02-09$32.72$38.0025.3%7.2%25.9%68.0%22.6%8.6%-1.8%-56.7K3.5M-6.6K1.5189.76N/AN/A4757151,7211,459
2016-02-10$32.66$38.0025.3%7.3%25.8%67.9%23.2%9.4%-2.8%-47.0K3.4M-6.8K1.4589.30N/AN/A4847001,7601,466
2016-02-11$32.26$38.0027.5%7.9%25.6%77.5%27.1%6.5%-1.8%-41.8K3.6M-6.5K1.4688.60N/AN/A4857061,7701,470
2016-02-12$32.71$38.0024.1%6.9%25.7%63.0%22.4%8.4%-1.1%-56.5K3.6M-6.6K1.3986.23N/AN/A4666491,7701,503
2016-02-16$33.31$38.0024.8%7.1%23.9%65.6%23.1%7.0%-2.2%-55.9K3.3M-6.8K1.2884.42N/AN/A5146591,7841,505
2016-02-17$33.97$38.0019.8%5.7%24.7%44.4%19.3%9.7%1.8%-45.0K2.9M-8.2K1.3588.02N/AN/A4926641,8471,511
2016-02-18$33.80$38.0019.9%5.7%23.0%44.7%18.4%8.1%1.8%-36.6K2.5M-9.3K1.3487.52N/AN/A5317131,9161,505
2016-02-19$33.74$38.0019.7%5.7%22.8%44.1%16.4%6.9%1.5%-32.3K3.2M-7.2K1.4391.08N/AN/A4987101,9111,499
2016-02-22$34.13$38.0018.9%5.4%20.9%40.4%19.9%4.1%0.6%-30.5K2.8M-7.3K1.3686.09N/AN/A4756451,7931,334
2016-02-23$33.60$38.0018.3%5.2%21.0%37.8%17.7%4.8%-0.2%-39.4K3.0M-7.3K1.4591.07N/AN/A4536551,8271,380
2016-02-24$33.49$38.0023.0%6.6%20.1%58.0%17.4%7.1%-1.7%-47.2K3.2M-6.5K1.9192.41N/AN/A4628831,8301,395
2016-02-25$33.90$38.0017.5%5.0%20.5%34.6%16.3%9.0%0.7%-62.1K3.3M-8.5K1.7795.15N/AN/A5008871,8411,567
2016-02-26$33.80$38.0019.1%5.5%20.4%41.4%20.9%9.7%-0.7%-54.1K3.3M-8.7K1.7693.65N/AN/A4958691,8811,605
2016-02-29$33.67$38.0018.8%5.4%19.5%40.0%18.8%8.5%-0.4%-58.1K3.4M-8.2K1.8096.61N/AN/A4848691,8881,620