VEA Options History — August 2016

In August 2016, VEA traded between $36.28 and $37.63. ATM implied volatility averaged 11.2%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.2% (HV 20d: 9.0%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.88.

Notable Days

  • 2016-08-10: Highest Volume — 1,461 contracts
  • 2016-08-24: Largest IV spike — 49.9% change
  • 2016-08-03: Highest IV Rank — 24.2%
  • 2016-08-03: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.12$36.28$37.63$36.64$36.99
Max Pain$36.74$35.00$37.00$35.00$37.00
ATM IV11.2%8.2%15.1%12.6%9.6%
Expected Move3.2%2.3%4.3%3.6%2.8%
HV 20d9.0%7.3%13.9%13.9%7.3%
HV 60d24.5%24.3%24.9%24.8%24.3%
IV Rank10.6%0.0%24.2%13.4%6.2%
IV Percentile7.6%0.0%36.9%7.5%2.8%
Term Structure1.9%-1.2%4.6%-1.2%4.2%
VWIV12.1%9.7%15.4%14.9%12.1%
Skew 25d3.5%-1.4%6.8%4.1%2.9%
Skew 10d3.8%1.1%8.6%1.9%5.6%
Call IV 25d10.3%7.3%16.9%12.0%10.5%
Put IV 25d13.8%10.0%17.2%16.1%13.4%
Bid-Ask Spread %92.8843.82107.34102.09101.45
Gamma HHI0.330.260.390.380.39
Net GEX235.5K141.1K317.5K202.7K317.5K
Net DEX-759.1K-1.9M274.0K-731.2K-132.0K
Net VEX-17.2K-19.1K-14.7K-14.7K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.003.201.093.04
Total Volume1,080.348111,4619351,201
Total OI3,575.0433,0873,8683,0873,742

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$36.64$35.0012.6%3.6%13.9%13.4%14.9%4.1%-1.2%202.7K-731.2K-14.7K1.09102.09N/AN/A4474881,5321,555
2016-08-02$36.44$35.0014.6%4.2%11.4%22.1%15.4%1.7%-0.3%189.5K-282.7K-14.7K1.3443.82N/AN/A4415891,5441,555
2016-08-03$36.28$35.0015.1%4.3%11.5%24.2%15.3%-1.4%1.7%141.1K274.0K-15.6K1.37102.74N/AN/A4406021,5461,658
2016-08-04$36.49$37.0012.6%4.0%11.4%13.5%12.2%3.1%1.5%157.6K-131.7K-15.5K1.42100.22N/AN/A4406231,5461,673
2016-08-05$36.65$37.009.7%2.8%10.5%1.2%12.5%4.7%2.3%228.8K-134.6K-15.1K1.6698.89N/AN/A4617651,5461,694
2016-08-08$36.76$37.009.1%2.7%9.5%0.0%11.4%5.7%2.8%204.1K-459.4K-16.7K1.66102.91N/AN/A4617651,5811,834
2016-08-09$37.06$37.008.5%2.7%8.9%0.0%10.7%6.8%2.4%226.6K-809.5K-16.5K1.24102.20N/AN/A6297811,5811,834
2016-08-10$37.21$37.008.7%2.5%8.9%0.7%12.0%6.8%4.2%225.1K-1.5M-18.7K1.2494.35N/AN/A6518101,7731,864
2016-08-11$37.48$37.0011.9%3.4%8.8%14.1%9.8%3.7%2.7%271.3K-1.8M-17.8K1.9766.64N/AN/A4659151,7951,895
2016-08-12$37.37$37.0011.8%3.4%8.6%13.4%11.6%1.6%2.6%278.9K-1.5M-18.3K1.98102.20N/AN/A4619151,8061,892
2016-08-15$37.53$37.009.2%2.6%8.7%2.8%10.2%3.1%2.9%300.2K-1.8M-18.1K2.13105.94N/AN/A4309151,8371,892
2016-08-16$37.46$37.0011.6%3.3%7.9%12.8%10.8%5.3%1.0%277.8K-1.9M-18.7K2.04106.04N/AN/A4218581,8381,892
2016-08-17$37.44$37.0012.8%3.7%7.6%17.7%12.4%5.8%1.6%271.9K-1.3M-18.1K1.2578.49N/AN/A1061321,8381,872
2016-08-18$37.63$37.008.9%2.6%7.5%1.6%12.4%6.3%3.6%268.4K-1.3M-18.4K0.00106.09N/AN/A6101,8901,978
2016-08-19$37.34$37.0011.7%3.3%8.3%12.9%12.2%4.1%0.6%216.9K-742.6K-18.7K1.82104.82N/AN/A5009101,8701,998
2016-08-22$37.37$37.0012.4%3.6%8.2%16.0%11.4%2.7%1.9%235.9K-424.1K-17.8K2.52106.04N/AN/A3508821,7341,934
2016-08-23$37.54$37.008.2%2.3%8.2%0.0%9.7%2.3%4.6%252.9K-1.2M-17.3K2.9446.60N/AN/A3028881,7341,937
2016-08-24$37.43$37.0012.2%3.5%8.3%16.5%14.3%1.7%-0.1%255.5K-806.8K-17.5K0.22107.34N/AN/A921,7401,934
2016-08-25$37.30$37.0011.4%3.3%8.5%13.6%10.8%0.9%-0.0%219.4K-352.8K-18.1K3.20104.38N/AN/A2788901,7451,954
2016-08-26$37.06$37.0011.0%3.2%7.9%12.1%10.3%-0.3%3.8%183.6K-359.8K-19.1K2.9788.86N/AN/A2988861,7451,956
2016-08-29$37.16$37.0013.0%3.7%7.7%20.2%12.4%2.3%0.0%227.6K30.5K-17.3K3.02104.69N/AN/A2968941,7321,988
2016-08-30$37.12$37.0010.4%3.0%7.3%9.4%14.0%6.4%1.6%262.7K-99.2K-17.2K3.0259.33N/AN/A2968941,7352,007
2016-08-31$36.99$37.009.6%2.8%7.3%6.2%12.1%2.9%4.2%317.5K-132.0K-16.7K3.04101.45N/AN/A2979041,7352,007