VEA Options History — May 2016

In May 2016, VEA traded between $35.74 and $37.01. ATM implied volatility averaged 16.6%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.3% (HV 20d: 14.3%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2016-05-02: Highest Volume — 1,444 contracts
  • 2016-05-11: Largest IV spike — 46.7% change
  • 2016-05-03: Highest IV Rank — 39.6%
  • 2016-05-03: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.22$35.74$37.01$37.01$36.64
Max Pain$36.86$36.00$37.00$36.00$37.00
ATM IV16.6%12.2%18.7%16.0%17.1%
Expected Move4.9%4.1%5.4%4.6%4.9%
HV 20d14.3%12.9%17.0%17.0%13.4%
HV 60d16.4%15.3%17.5%17.5%15.3%
IV Rank30.9%11.9%39.6%28.1%32.7%
IV Percentile56.6%7.9%71.0%54.8%59.9%
Term Structure0.7%-1.8%5.1%1.6%-1.8%
VWIV18.0%13.2%21.6%13.2%19.7%
Skew 25d4.7%0.8%7.8%7.8%0.8%
Skew 10d10.2%1.3%19.3%3.5%1.4%
Call IV 25d14.2%9.2%17.5%9.9%13.2%
Put IV 25d19.0%12.5%22.4%17.8%14.0%
Bid-Ask Spread %96.2490.24104.47101.22102.36
Gamma HHI0.310.240.730.300.33
Net GEX-19.5K-1.3M188.5K188.5K60.2K
Net DEX943.1K-753.6K1.9M-753.6K430.6K
Net VEX-14.6K-18.5K-11.8K-18.5K-12.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.982.021.082.01
Total Volume1,022.4768711,4441,444930
Total OI3,567.8573,0923,7863,6573,182

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$37.01$36.0016.0%4.6%17.0%28.1%13.2%7.8%1.6%188.5K-753.6K-18.5K1.08101.22N/AN/A6957491,9601,697
2016-05-03$36.41$36.0018.7%5.4%16.5%39.6%14.9%3.3%1.7%141.8K31.5K-18.0K1.14102.73N/AN/A5336091,9621,698
2016-05-04$35.94$36.0017.6%5.0%16.6%35.0%16.4%1.4%1.3%80.3K830.9K-17.7K1.34102.40N/AN/A4435951,9851,777
2016-05-05$35.86$37.0016.2%4.8%15.8%28.9%19.7%5.0%2.4%44.7K1.2M-17.2K1.3090.24N/AN/A4626021,9971,778
2016-05-06$35.97$37.0015.3%5.0%14.7%25.3%18.7%5.0%1.9%37.5K1.2M-16.3K1.3192.67N/AN/A4626041,9971,781
2016-05-09$35.88$37.0017.4%5.1%14.7%34.0%20.4%5.1%0.4%51.0K1.2M-16.2K1.3993.09N/AN/A4626401,9971,784
2016-05-10$36.40$37.0012.2%5.2%14.8%11.9%17.1%7.5%-0.7%90.0K638.9K-16.2K1.2898.40N/AN/A4826192,0021,784
2016-05-11$36.17$37.0017.9%5.1%13.8%36.4%18.9%6.8%0.5%80.1K971.3K-15.6K1.2893.32N/AN/A4826151,9481,790
2016-05-12$36.13$37.0017.6%5.1%13.8%35.2%19.3%5.3%0.2%60.2K932.0K-15.5K1.2996.19N/AN/A4766151,9481,790
2016-05-13$35.74$37.0018.1%5.2%14.2%37.1%21.6%5.9%-1.0%-16.2K1.7M-14.5K1.3595.47N/AN/A4576151,9411,790
2016-05-16$36.16$37.0017.4%5.0%14.6%33.9%19.4%7.1%0.4%-32.7K1.4M-13.9K1.1395.08N/AN/A4585161,9411,790
2016-05-17$36.12$37.0018.3%5.2%12.9%37.9%20.9%5.5%-0.3%-18.2K1.2M-14.1K1.1394.18N/AN/A4585161,9421,791
2016-05-18$35.93$37.0017.3%5.0%12.9%33.8%20.4%4.9%0.4%-68.9K1.5M-13.4K1.0193.69N/AN/A4574611,9421,791
2016-05-19$35.74$37.0018.0%5.2%12.9%36.8%20.6%2.1%1.0%-73.3K1.8M-12.9K0.9890.70N/AN/A4804711,9421,792
2016-05-20$35.98$37.0018.3%5.3%13.2%38.1%17.4%5.6%-1.0%-1.3M1.9M-13.2K1.2092.79N/AN/A4395271,9551,796
2016-05-23$35.89$37.0016.0%4.6%13.1%28.1%17.5%4.8%1.7%-18.5K1.4M-12.4K1.8193.19N/AN/A3105611,4791,613
2016-05-24$36.37$37.0016.9%4.8%14.1%31.9%17.2%6.0%0.4%10.6K1.1M-13.0K1.8592.38N/AN/A3215931,4831,623
2016-05-25$36.74$37.0014.9%4.3%14.6%23.4%15.4%4.7%-1.5%68.2K487.2K-11.9K1.8994.18N/AN/A3145941,4961,647
2016-05-26$36.80$37.0014.1%4.1%13.6%20.1%15.2%3.3%5.1%94.2K287.9K-12.3K1.92102.34N/AN/A3146031,5041,648
2016-05-27$36.74$37.0014.3%4.1%13.7%20.8%15.2%1.6%2.0%74.3K316.6K-11.8K2.02104.47N/AN/A3096231,5041,658
2016-05-31$36.64$37.0017.1%4.9%13.4%32.7%19.7%0.8%-1.8%60.2K430.6K-12.0K2.01102.36N/AN/A3096211,5041,678