VEA Options History — September 2016

In September 2016, VEA traded between $36.37 and $38.05. ATM implied volatility averaged 13.3%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.9% (HV 20d: 14.1%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.00.

Notable Days

  • 2016-09-09: Highest Volume — 1,316 contracts
  • 2016-09-09: Largest IV spike — 47.9% change
  • 2016-09-13: Highest IV Rank — 58.6%
  • 2016-09-13: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.26$36.37$38.05$37.27$37.48
Max Pain$37.00$37.00$37.00$37.00$37.00
ATM IV13.3%8.1%22.1%12.1%14.4%
Expected Move3.8%2.4%5.2%3.5%4.1%
HV 20d14.1%7.4%18.5%7.4%18.4%
HV 60d19.3%12.9%24.3%24.3%13.1%
IV Rank21.6%0.0%58.6%16.5%26.6%
IV Percentile28.7%0.0%88.9%9.9%40.9%
Term Structure1.8%-0.5%5.4%-0.5%1.2%
VWIV13.5%10.6%17.6%14.5%11.4%
Skew 25d5.1%2.1%8.3%7.4%4.9%
Skew 10d7.9%3.6%16.3%6.0%6.3%
Call IV 25d11.4%6.6%17.1%11.8%10.5%
Put IV 25d16.5%13.2%21.1%19.2%15.3%
Bid-Ask Spread %88.3748.87107.02107.0259.06
Gamma HHI0.230.170.340.300.24
Net GEX95.6K-43.7K280.6K219.2K20.8K
Net DEX-164.6K-2.1M1.7M17.0K-465.0K
Net VEX-16.6K-17.8K-14.8K-17.7K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.001.023.343.001.29
Total Volume967.8577481,3161,187748
Total OI3,603.813,0334,2713,7533,367

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$37.27$37.0012.1%3.5%7.4%16.5%14.5%7.4%-0.5%219.2K17.0K-17.7K3.00107.02N/AN/A2978901,7362,017
2016-09-02$37.67$37.008.3%2.4%8.1%0.4%10.9%8.3%3.7%280.6K-957.4K-16.0K2.83104.61N/AN/A3018531,7362,017
2016-09-06$38.02$37.008.1%3.6%8.6%0.0%14.4%8.2%1.2%171.4K-958.4K-16.0K3.29101.31N/AN/A2869411,7442,014
2016-09-07$38.05$37.008.5%2.9%8.2%1.5%12.4%3.5%3.0%216.0K-2.1M-14.8K3.3498.79N/AN/A2829411,7752,076
2016-09-08$37.98$37.0010.5%3.1%8.2%9.9%12.0%3.6%2.3%256.7K-1.7M-15.5K3.1172.14N/AN/A2848821,7822,076
2016-09-09$37.21$37.0015.5%4.0%10.9%31.0%17.6%6.5%1.4%226.8K-293.0K-16.8K3.29101.16N/AN/A3071,0091,7782,077
2016-09-12$37.45$37.0018.2%3.9%11.1%42.3%14.0%4.2%3.1%141.5K-494.7K-16.6K2.3299.38N/AN/A3107191,8242,447
2016-09-13$36.44$37.0022.1%5.2%14.7%58.6%15.8%3.8%0.3%24.3K1.7M-17.5K2.1494.11N/AN/A3096621,6802,474
2016-09-14$36.46$37.0018.2%5.2%14.7%42.3%16.6%4.0%-0.1%46.5K1.4M-16.8K2.0297.53N/AN/A3326711,6822,385
2016-09-15$36.80$37.0014.7%4.2%15.1%27.7%14.7%5.4%2.5%177.8K693.5K-16.9K2.0396.58N/AN/A3306701,7212,352
2016-09-16$36.37$37.0017.3%5.0%15.4%38.6%15.6%4.2%0.8%-43.7K1.4M-16.4K1.5695.68N/AN/A4266631,7232,353
2016-09-19$36.58$37.0011.6%3.3%15.5%14.8%11.4%5.3%2.3%-20.7K675.9K-15.9K1.0799.59N/AN/A3774041,3021,731
2016-09-20$36.78$37.0013.8%4.0%15.7%23.9%13.3%4.7%1.2%5.4K514.7K-17.0K1.02104.45N/AN/A3974041,3551,733
2016-09-21$37.47$37.0011.3%3.2%17.0%13.3%12.8%3.9%5.4%43.3K-340.8K-16.0K1.16105.63N/AN/A3884501,3701,733
2016-09-22$37.85$37.0010.4%3.0%17.4%9.8%12.1%5.3%1.4%75.1K-720.1K-17.0K1.4464.27N/AN/A3374841,3841,781
2016-09-23$37.46$37.0013.8%4.0%17.7%23.8%14.1%5.1%2.3%50.3K-509.6K-17.4K1.4357.49N/AN/A3334761,4421,818
2016-09-26$37.10$37.0013.4%3.8%17.9%22.2%13.8%2.1%2.0%11.5K-194.5K-17.8K1.43101.87N/AN/A3334761,4421,828
2016-09-27$37.26$37.0012.2%3.5%18.0%17.3%12.2%8.3%1.4%9.9K-274.0K-16.0K1.5497.02N/AN/A3094761,4421,828
2016-09-28$37.58$37.0010.3%3.0%18.2%9.2%10.6%4.0%1.1%48.4K-449.3K-16.6K1.4048.87N/AN/A3304611,4711,828
2016-09-29$37.24$37.0014.0%4.0%18.5%24.7%13.0%4.9%1.8%47.0K-270.2K-17.2K1.3849.20N/AN/A3274501,5031,853
2016-09-30$37.48$37.0014.4%4.1%18.4%26.6%11.4%4.9%1.2%20.8K-465.0K-16.6K1.2959.06N/AN/A3274211,5021,865