VEA Options History — June 2016

In June 2016, VEA traded between $33.39 and $37.53. ATM implied volatility averaged 22.5%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.8% (HV 20d: 20.7%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.80.

Notable Days

  • 2016-06-23: Highest Volume — 1,730 contracts
  • 2016-06-24: Largest IV spike — 32.2% change
  • 2016-06-27: Highest IV Rank — 96.3%
  • 2016-06-27: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.81$33.39$37.53$36.56$35.33
Max Pain$37.41$37.00$38.00$37.00$37.00
ATM IV22.5%14.2%31.9%18.9%18.3%
Expected Move6.4%3.9%9.2%5.4%5.2%
HV 20d20.7%10.6%39.8%12.1%39.8%
HV 60d17.9%14.2%25.4%15.3%25.3%
IV Rank56.1%20.6%96.3%40.5%37.9%
IV Percentile77.6%32.5%99.6%71.8%63.9%
Term Structure-2.6%-9.1%3.4%-4.2%3.4%
VWIV21.8%12.4%36.9%17.4%16.3%
Skew 25d5.5%0.6%10.8%1.7%6.8%
Skew 10d11.2%-4.3%26.9%13.9%12.7%
Call IV 25d19.1%9.9%29.3%15.7%16.0%
Put IV 25d24.6%16.1%34.0%17.5%22.8%
Bid-Ask Spread %93.2083.97116.7599.2198.14
Gamma HHI0.300.160.460.350.39
Net GEX-25.4K-260.2K166.5K62.6K-181.1K
Net DEX1.7M-505.5K4.4M661.3K2.9M
Net VEX-14.1K-16.9K-10.9K-11.4K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.801.515.792.072.92
Total Volume1,107.55701,7309791,692
Total OI3,695.8642,7354,4703,1934,470

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$36.56$37.0018.9%5.4%12.1%40.5%17.4%1.7%-4.2%62.6K661.3K-11.4K2.0799.21N/AN/A3196601,5041,689
2016-06-02$36.56$38.0014.2%3.9%11.0%20.6%14.4%5.1%2.1%70.5K643.5K-10.9K2.0998.15N/AN/A3387081,5151,721
2016-06-03$36.88$38.0014.9%4.2%11.3%23.4%13.7%6.5%-0.2%94.2K403.4K-12.8K2.3797.34N/AN/A3047211,5351,778
2016-06-06$37.16$37.0018.1%4.1%11.5%37.3%13.3%3.4%1.6%166.5K-85.8K-11.9K3.7396.57N/AN/A2701,0081,5551,802
2016-06-07$37.41$38.0016.2%4.4%11.5%29.2%12.4%5.3%0.1%117.5K-115.3K-13.6K2.23100.37N/AN/A3878621,5962,073
2016-06-08$37.53$38.0014.7%4.2%10.6%22.6%14.7%5.4%-1.1%161.9K-505.5K-13.9K1.85100.33N/AN/A3797011,7362,086
2016-06-09$37.08$38.0014.9%4.3%11.3%23.5%17.9%0.6%2.3%132.0K366.0K-13.8K2.5890.60N/AN/A2566611,7352,097
2016-06-10$36.07$38.0019.2%5.5%15.3%41.9%18.9%4.6%0.2%-24.0K1.8M-13.3K2.0585.90N/AN/A2725571,7242,107
2016-06-13$35.49$38.0024.8%7.1%15.9%65.7%21.7%3.2%-3.5%-117.5K2.7M-12.4K2.37116.75N/AN/A2546031,7412,125
2016-06-14$34.56$38.0025.6%7.3%17.7%69.2%24.0%6.3%-4.3%-173.2K3.7M-12.6K2.0690.06N/AN/A2865881,7472,264
2016-06-15$34.75$38.0026.8%7.7%17.9%74.5%25.6%2.9%-5.4%-249.7K3.2M-13.1K1.5188.96N/AN/A3805741,7312,264
2016-06-16$34.80$37.0028.3%8.1%17.9%80.9%27.7%9.0%-9.1%-260.2K3.3M-13.6K2.2683.97N/AN/A2635951,8562,211
2016-06-17$35.14$37.0028.3%8.1%18.3%80.8%26.9%3.9%-5.4%2.0K2.2M-14.2K2.0087.31N/AN/A2785571,8792,172
2016-06-20$35.97$37.0025.9%7.4%20.1%70.5%25.8%3.2%-6.4%27.7K665.1K-15.2K2.1085.52N/AN/A1843861,2751,460
2016-06-21$36.25$37.0026.8%7.7%20.2%74.2%25.8%10.8%-5.6%34.4K537.7K-15.4K1.7988.04N/AN/A2264041,3111,462
2016-06-22$36.20$37.0028.8%8.2%19.7%82.8%30.1%10.5%-5.6%41.1K448.7K-15.7K1.5687.87N/AN/A2734261,3641,493
2016-06-23$37.16$37.0022.1%6.3%21.5%54.0%27.5%10.4%-3.6%62.7K-179.8K-16.3K5.0787.28N/AN/A2851,4451,4291,534
2016-06-24$34.23$37.0029.1%8.4%36.4%84.4%26.7%4.7%-4.4%-107.1K3.2M-16.2K3.9092.49N/AN/A3371,3141,4882,578
2016-06-27$33.39$37.0031.9%9.2%37.1%96.3%36.9%4.7%-4.9%-129.5K4.4M-15.0K5.7988.22N/AN/A2231,2921,5692,738
2016-06-28$34.28$37.0026.1%7.5%38.7%71.2%22.8%5.7%-2.2%-140.4K4.0M-16.3K4.9191.47N/AN/A2631,2911,5712,857
2016-06-29$34.92$37.0021.8%6.2%39.5%52.7%18.8%5.8%0.0%-150.1K3.2M-16.9K4.4795.77N/AN/A2821,2611,6002,867
2016-06-30$35.33$37.0018.3%5.2%39.8%37.9%16.3%6.8%3.4%-181.1K2.9M-16.6K2.9298.14N/AN/A4321,2601,6052,865