VEA Options History — March 2016

In March 2016, VEA traded between $34.48 and $36.21. ATM implied volatility averaged 14.5%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 3.5% (HV 20d: 18.0%). Max pain ranged from $32.00 to $38.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.02.

Notable Days

  • 2016-03-01: Highest Volume — 1,356 contracts
  • 2016-03-03: Largest IV spike — 22.7% change
  • 2016-03-08: Highest IV Rank — 33.5%
  • 2016-03-10: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.52$34.48$36.21$34.48$35.93
Max Pain$35.09$32.00$38.00$38.00$36.00
ATM IV14.5%11.3%17.3%16.2%12.1%
Expected Move4.2%3.2%4.9%4.6%3.5%
HV 20d18.0%15.4%21.4%21.4%15.7%
HV 60d21.3%20.9%21.6%21.3%20.9%
IV Rank21.8%8.0%33.5%28.9%11.4%
IV Percentile39.4%2.4%65.9%59.5%5.6%
Term Structure1.9%-0.5%3.7%3.7%2.0%
VWIV14.9%11.5%21.5%15.6%11.5%
Skew 25d5.6%1.2%10.1%10.1%1.2%
Skew 10d7.3%-0.5%23.8%12.7%-0.1%
Call IV 25d11.6%8.1%15.3%9.7%9.8%
Put IV 25d17.1%11.0%20.3%19.8%11.0%
Bid-Ask Spread %96.7452.39104.5094.1891.50
Gamma HHI0.210.150.440.260.26
Net GEX-11.9K-82.4K180.4K-67.5K48.9K
Net DEX1.6M376.9K2.9M2.9M376.9K
Net VEX-10.3K-14.4K-8.7K-8.7K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.021.073.581.761.07
Total Volume1,064.1367151,3561,3561,152
Total OI3,075.4551,9033,7623,4532,566

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$34.48$38.0016.2%4.6%21.4%28.9%15.6%10.1%3.7%-67.5K2.9M-8.7K1.7694.18N/AN/A4928641,8891,564
2016-03-02$34.72$38.0014.0%4.0%19.7%19.7%14.0%2.9%2.5%-82.4K2.5M-8.8K1.6896.30N/AN/A5048461,9111,564
2016-03-03$35.09$32.0017.2%4.6%19.9%33.3%17.0%5.6%2.0%-54.6K2.3M-9.0K1.7194.24N/AN/A4908361,9241,585
2016-03-04$35.41$32.0013.5%4.9%20.1%17.4%18.9%6.2%2.8%-38.0K2.1M-9.5K1.5895.26N/AN/A5118051,9271,584
2016-03-07$35.34$32.0015.0%4.7%19.1%23.7%15.5%6.9%2.3%-43.8K2.2M-9.1K1.6297.41N/AN/A4927981,9591,579
2016-03-08$34.94$32.0017.3%4.4%18.5%33.5%21.5%9.8%2.3%-40.6K2.2M-9.5K1.6597.36N/AN/A4918121,9891,588
2016-03-09$35.07$32.0016.8%4.8%17.7%31.5%16.1%5.1%1.7%-26.3K2.1M-9.3K1.6699.89N/AN/A4888121,9941,613
2016-03-10$35.06$32.0017.0%4.9%17.7%32.5%15.1%5.4%1.6%-65.6K2.1M-9.8K1.81101.21N/AN/A4397962,0481,613
2016-03-11$35.96$36.0015.1%4.3%18.2%24.3%15.1%6.5%0.9%22.0K1.4M-11.1K1.78102.60N/AN/A4477962,0571,638
2016-03-14$35.96$36.0014.5%4.2%18.0%21.6%14.9%7.6%2.5%17.7K1.3M-11.2K3.11100.89N/AN/A2567962,1241,638
2016-03-15$35.37$36.0016.3%4.7%18.8%29.3%11.7%5.8%2.0%-21.5K2.0M-10.5K2.1799.37N/AN/A2555542,0931,668
2016-03-16$35.73$36.0012.7%3.6%18.0%14.0%14.8%8.0%2.1%-1.6K1.9M-10.3K2.11101.63N/AN/A2725732,0531,674
2016-03-17$36.07$36.0013.8%4.0%17.9%18.7%14.3%3.5%3.0%19.1K1.6M-10.6K2.06102.16N/AN/A2725602,0711,678
2016-03-18$36.05$36.0014.0%4.0%17.9%19.7%13.4%4.2%1.8%180.4K1.5M-10.6K3.5895.09N/AN/A2047302,0711,689
2016-03-21$36.00$36.0014.2%4.1%17.7%20.5%14.2%5.7%1.5%-13.7K824.8K-10.6K2.6598.84N/AN/A1965198171,086
2016-03-22$35.91$36.0013.2%3.8%16.4%16.2%13.5%5.1%2.1%-6.5K963.6K-10.6K2.6398.79N/AN/A2055398671,088
2016-03-23$35.53$36.0011.3%3.2%17.0%8.0%13.8%7.1%0.5%-15.4K1.1M-10.9K2.17101.89N/AN/A2645738761,108
2016-03-24$35.28$36.0013.4%3.9%17.0%17.1%12.8%1.8%2.7%-28.1K1.3M-10.8K2.1799.72N/AN/A2645749381,142
2016-03-28$35.50$36.0015.1%4.3%17.0%24.4%14.3%2.1%2.3%-22.8K1.1M-10.7K2.19102.94N/AN/A2645779381,149
2016-03-29$35.90$36.0012.8%3.7%17.1%14.3%14.0%4.4%0.8%-24.4K880.8K-10.3K2.14104.50N/AN/A2976359381,150
2016-03-30$36.21$36.0014.2%4.1%15.4%20.6%15.8%7.9%-0.5%3.3K805.0K-11.5K1.0952.39N/AN/A5566059831,229
2016-03-31$35.93$36.0012.1%3.5%15.7%11.4%11.5%1.2%2.0%48.9K376.9K-14.4K1.0791.50N/AN/A5565961,3241,242