VEA Options History — April 2016

In April 2016, VEA traded between $34.74 and $37.54. ATM implied volatility averaged 14.9%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 2.4% (HV 20d: 17.4%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2016-04-29: Highest Volume — 1,476 contracts
  • 2016-04-12: Largest IV spike — 61.1% change
  • 2016-04-12: Highest IV Rank — 47.7%
  • 2016-04-05: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.39$34.74$37.54$35.49$36.74
Max Pain$34.76$34.00$36.00$36.00$36.00
ATM IV14.9%11.0%20.6%13.5%14.5%
Expected Move4.2%3.2%4.9%3.9%4.2%
HV 20d17.4%15.8%19.3%16.1%16.9%
HV 60d19.4%17.4%21.3%21.1%17.4%
IV Rank23.6%6.9%47.7%17.5%21.9%
IV Percentile41.8%2.0%79.8%29.4%38.9%
Term Structure2.1%-0.1%4.9%4.9%3.5%
VWIV14.0%11.2%17.3%14.9%14.1%
Skew 25d5.3%1.2%8.5%4.3%4.3%
Skew 10d9.6%3.1%18.0%18.0%3.2%
Call IV 25d12.4%9.2%16.7%15.0%11.6%
Put IV 25d17.7%15.0%21.3%19.3%15.9%
Bid-Ask Spread %93.7967.63103.8087.52100.63
Gamma HHI0.290.220.410.240.30
Net GEX119.1K-2.8K235.6K24.4K170.4K
Net DEX-213.3K-1.8M1.5M1.2M-388.4K
Net VEX-15.4K-18.8K-12.7K-12.8K-18.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.521.111.111.03
Total Volume1,080.3338051,4761,1311,476
Total OI2,979.7142,5773,6462,5773,646

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$35.49$36.0013.5%3.9%16.1%17.5%14.9%4.3%4.9%24.4K1.2M-12.8K1.1187.52N/AN/A5355961,3241,253
2016-04-04$35.41$34.0015.3%4.5%15.8%25.2%14.5%5.3%2.3%29.5K991.0K-13.3K1.0991.81N/AN/A5616091,3271,253
2016-04-05$34.74$34.0016.0%4.9%17.2%28.0%17.3%4.7%1.8%2.9K1.5M-12.7K1.0390.31N/AN/A5555731,3591,274
2016-04-06$35.28$34.0013.9%4.6%17.6%19.2%11.2%7.8%1.1%-2.8K1.3M-12.7K1.0292.58N/AN/A5555681,3601,276
2016-04-07$34.81$34.0017.7%4.6%18.3%35.6%11.9%4.9%2.5%4.3K1.5M-12.7K1.0394.53N/AN/A5585761,3601,294
2016-04-08$35.42$34.0019.7%4.7%19.3%43.8%14.5%6.6%0.7%22.5K1.1M-13.2K0.6995.98N/AN/A5433761,3641,304
2016-04-11$35.55$34.0012.8%4.3%17.0%14.3%14.5%4.2%1.2%34.8K706.4K-14.0K0.7195.65N/AN/A5433861,3891,304
2016-04-12$36.02$34.0020.6%4.4%17.7%47.7%13.7%6.4%2.4%66.8K534.4K-13.9K0.9396.84N/AN/A4183871,3891,324
2016-04-13$36.61$35.0013.5%3.9%17.4%17.3%13.7%7.0%1.2%72.9K-262.4K-14.4K0.6395.75N/AN/A6143871,3941,325
2016-04-14$36.65$35.0013.8%3.9%17.2%18.5%16.9%5.1%2.2%147.6K-755.7K-15.6K0.8082.41N/AN/A4713791,6211,338
2016-04-15$36.58$35.0014.1%4.0%16.9%19.8%16.8%1.2%2.8%135.0K-709.3K-15.9K0.7396.29N/AN/A5323881,6761,338
2016-04-18$36.85$35.0014.1%4.0%17.1%20.0%14.5%8.5%-0.1%149.1K-636.7K-14.8K0.5299.75N/AN/A5652911,5921,262
2016-04-19$37.50$35.0013.4%3.8%18.0%17.0%11.7%4.9%2.7%173.9K-1.8M-15.0K0.7996.44N/AN/A5574401,6481,282
2016-04-20$37.54$35.0011.0%3.2%17.9%6.9%13.8%6.2%4.4%181.8K-1.6M-16.8K0.7484.30N/AN/A5594111,6901,422
2016-04-21$37.28$35.0015.1%4.3%17.6%24.3%13.8%3.6%1.5%170.4K-1.4M-16.6K0.6767.63N/AN/A6824581,6921,424
2016-04-22$37.28$35.0014.1%4.0%17.3%19.8%11.5%4.0%1.8%229.5K-1.3M-17.9K0.68100.08N/AN/A6674561,8721,467
2016-04-25$37.08$35.0014.8%4.3%17.5%23.1%12.8%3.9%2.0%225.3K-1.1M-17.8K0.7398.41N/AN/A6654861,8811,470
2016-04-26$37.23$35.0016.9%4.8%17.2%31.8%15.3%5.5%0.7%204.5K-1.3M-18.3K0.66100.57N/AN/A7424861,8801,522
2016-04-27$37.32$35.0015.0%4.3%17.0%23.8%13.6%4.7%1.3%235.6K-1.4M-18.6K0.68103.80N/AN/A7425021,9591,522
2016-04-28$36.78$35.0014.2%4.1%17.6%20.6%12.6%8.3%2.7%221.8K-679.6K-18.3K0.8898.31N/AN/A7426501,9591,538
2016-04-29$36.74$36.0014.5%4.2%16.9%21.9%14.1%4.3%3.5%170.4K-388.4K-18.8K1.03100.63N/AN/A7287481,9591,687