VEA Options History — July 2016

In July 2016, VEA traded between $34.60 and $36.85. ATM implied volatility averaged 16.2%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 16.7% (HV 20d: 32.9%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.96.

Notable Days

  • 2016-07-14: Highest Volume — 1,820 contracts
  • 2016-07-08: Largest IV drop — 28.3% change
  • 2016-07-06: Highest IV Rank — 49.5%
  • 2016-07-05: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.88$34.60$36.85$35.50$36.85
Max Pain$34.35$34.00$37.00$37.00$35.00
ATM IV16.2%11.7%21.0%18.7%11.7%
Expected Move4.6%3.3%5.4%5.4%3.3%
HV 20d32.9%13.6%40.3%39.7%13.6%
HV 60d25.2%24.8%25.4%25.2%24.8%
IV Rank28.9%9.5%49.5%39.7%9.5%
IV Percentile45.3%3.2%77.8%65.9%3.2%
Term Structure0.4%-2.6%3.5%1.0%1.1%
VWIV15.5%11.9%18.9%16.3%11.9%
Skew 25d5.0%0.8%8.2%5.9%4.3%
Skew 10d8.3%1.9%21.2%13.5%21.2%
Call IV 25d12.8%9.5%17.5%15.6%11.4%
Put IV 25d17.8%13.2%24.8%21.5%15.7%
Bid-Ask Spread %97.0979.15103.2296.35103.22
Gamma HHI0.360.190.530.380.38
Net GEX-3.5K-325.6K181.8K-140.3K181.8K
Net DEX1.1M-483.0K3.5M2.1M-483.0K
Net VEX-15.4K-18.0K-14.4K-18.0K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.983.032.650.98
Total Volume1,3439261,8201,6521,022
Total OI3,793.72,8384,7354,5892,986

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$35.50$37.0018.7%5.4%39.7%39.7%16.3%5.9%1.0%-140.3K2.1M-18.0K2.6596.35N/AN/A4521,2001,7252,864
2016-07-05$34.76$34.0019.6%5.4%40.1%43.6%18.9%5.7%-0.7%-194.7K3.0M-17.0K2.6590.86N/AN/A4521,2001,7762,916
2016-07-06$34.70$34.0021.0%5.2%39.9%49.5%18.6%7.2%0.1%-206.2K3.5M-16.1K2.9792.56N/AN/A4041,2001,7762,926
2016-07-07$34.60$34.0019.8%5.3%39.9%44.2%18.1%7.0%-0.5%-225.8K3.4M-15.9K3.0387.52N/AN/A3971,2021,7772,925
2016-07-08$35.13$34.0014.2%5.1%40.3%20.3%14.1%5.0%-0.4%-325.6K3.0M-15.9K2.8293.95N/AN/A4111,1581,7802,923
2016-07-11$35.62$34.0015.1%4.3%39.6%24.1%18.2%2.8%3.5%-236.0K1.9M-16.0K2.2495.32N/AN/A5171,1591,7962,939
2016-07-12$36.07$34.0019.3%4.5%39.4%42.2%14.6%8.2%2.7%-74.8K1.3M-15.5K2.4898.47N/AN/A5151,2761,7012,947
2016-07-13$36.03$34.0016.1%4.6%38.1%28.4%17.7%5.1%0.0%-63.8K728.5K-15.9K2.49100.29N/AN/A5131,2761,7112,894
2016-07-14$36.34$34.0015.7%4.5%38.1%26.9%17.3%4.8%1.7%63.4K282.0K-15.5K2.5698.97N/AN/A5111,3091,7212,894
2016-07-15$36.15$34.0014.9%4.3%38.2%23.6%14.1%3.6%0.6%88.9K282.7K-15.1K2.56102.12N/AN/A5111,3091,7312,854
2016-07-18$36.24$34.0015.4%4.4%38.1%25.5%13.6%3.5%0.2%100.4K228.0K-15.0K1.26101.08N/AN/A4635841,3201,518
2016-07-19$35.94$34.0014.0%4.0%37.3%19.7%16.7%4.2%0.8%96.5K501.2K-14.8K1.4579.15N/AN/A4105941,3621,521
2016-07-20$36.24$34.0015.9%4.5%37.4%27.5%13.8%3.7%-0.8%100.9K154.9K-15.3K1.48101.66N/AN/A4015941,3781,531
2016-07-21$36.14$34.0015.6%4.5%37.4%26.6%14.6%4.6%-0.9%117.1K345.0K-14.7K1.48101.05N/AN/A4015941,3841,531
2016-07-22$36.16$34.0014.9%4.3%36.1%23.3%13.5%6.2%-0.7%111.6K257.6K-14.6K1.3096.67N/AN/A4445771,3841,531
2016-07-25$36.09$34.0016.2%4.7%19.8%29.1%16.2%5.3%-2.6%118.3K360.1K-14.5K1.3199.93N/AN/A4415781,4061,537
2016-07-26$36.26$35.0017.4%5.0%17.0%33.9%14.9%7.2%0.3%120.8K292.7K-14.7K1.1699.62N/AN/A4294971,4091,540
2016-07-27$36.38$35.0013.9%4.0%14.8%19.0%13.9%5.5%1.3%153.2K171.2K-14.4K1.16103.17N/AN/A4294971,4261,554
2016-07-28$36.42$35.0014.4%4.1%13.6%21.2%13.2%0.8%1.8%145.1K-82.7K-14.5K1.1799.93N/AN/A4295041,4261,554
2016-07-29$36.85$35.0011.7%3.3%13.6%9.5%11.9%4.3%1.1%181.8K-483.0K-14.5K0.98103.22N/AN/A5175051,4321,554