VEA Options History — October 2016

In October 2016, VEA traded between $36.42 and $37.42. ATM implied volatility averaged 12.9%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.0% (HV 20d: 12.9%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2016-10-31: Highest Volume — 2,166 contracts
  • 2016-10-17: Largest IV spike — 16.6% change
  • 2016-10-17: Highest IV Rank — 34.8%
  • 2016-10-17: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.83$36.42$37.42$37.37$36.53
Max Pain$37.00$37.00$37.00$37.00$37.00
ATM IV12.9%9.8%16.4%12.4%9.8%
Expected Move3.8%2.8%4.7%3.6%2.8%
HV 20d12.9%8.1%18.0%18.0%8.1%
HV 60d12.5%12.3%12.8%12.8%12.3%
IV Rank20.0%7.1%34.8%18.1%7.1%
IV Percentile25.5%4.4%62.7%16.3%4.4%
Term Structure1.2%-0.5%3.1%1.8%1.9%
VWIV13.4%10.0%15.8%11.5%10.0%
Skew 25d5.2%0.9%9.4%5.9%0.9%
Skew 10d7.9%-5.1%15.5%6.2%-5.1%
Call IV 25d10.9%7.5%14.8%7.8%12.6%
Put IV 25d16.2%12.7%20.3%13.7%13.6%
Bid-Ask Spread %82.1749.51108.8849.51108.88
Gamma HHI0.250.210.310.230.23
Net GEX32.0K-145.3K114.5K58.5K74.4K
Net DEX-80.5K-548.3K867.9K-356.9K258.2K
Net VEX-14.2K-17.5K-11.0K-16.8K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.321.431.240.32
Total Volume911.817342,1667342,166
Total OI3,288.3812,9223,5003,3673,122

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$37.37$37.0012.4%3.6%18.0%18.1%11.5%5.9%1.8%58.5K-356.9K-16.8K1.2449.51N/AN/A3274071,5021,865
2016-10-04$37.25$37.0012.7%3.7%17.7%19.4%11.7%6.2%2.2%61.7K-482.0K-15.7K0.9550.50N/AN/A4404201,5021,865
2016-10-05$37.42$37.0014.2%4.1%17.8%25.5%12.4%9.4%0.9%52.5K-548.3K-17.5K1.2294.20N/AN/A3454201,5681,890
2016-10-06$37.23$37.0012.9%4.1%17.9%20.0%14.6%3.7%1.4%59.2K-239.8K-16.7K1.2164.06N/AN/A3474201,5731,889
2016-10-07$36.99$37.0012.9%4.4%16.5%20.1%15.8%6.0%-0.2%-5.8K-105.3K-16.9K1.3554.44N/AN/A3474701,5761,869
2016-10-10$37.14$37.0013.4%4.1%16.4%22.1%14.9%6.2%1.3%45.2K-251.4K-16.8K1.3370.82N/AN/A3564731,5761,921
2016-10-11$36.60$37.0013.2%4.1%14.0%21.3%15.8%5.3%0.6%-42.4K353.5K-16.2K1.1460.67N/AN/A4374991,5761,924
2016-10-12$36.57$37.0014.8%4.2%14.1%28.0%15.2%4.8%-0.1%-44.3K151.1K-14.6K1.0977.50N/AN/A4514931,4911,844
2016-10-13$36.45$37.0016.4%4.7%13.7%34.6%14.1%6.1%0.7%-105.6K867.9K-15.0K1.0783.87N/AN/A4494821,5051,830
2016-10-14$36.53$37.0014.1%4.0%13.0%24.9%14.1%8.1%1.0%-102.1K418.9K-15.1K1.0776.65N/AN/A4494821,5041,832
2016-10-17$36.42$37.0016.4%4.7%12.9%34.8%15.1%7.3%0.6%-145.3K506.9K-13.9K1.1195.52N/AN/A4374871,5041,832
2016-10-18$36.83$37.0014.0%4.0%13.4%24.8%14.3%6.6%0.6%-14.6K-73.0K-12.8K1.2499.89N/AN/A3924871,5051,837
2016-10-19$36.95$37.0013.2%3.8%11.6%21.2%13.8%2.4%1.1%62.3K-440.2K-13.2K1.32103.36N/AN/A3704871,5471,837
2016-10-20$36.94$37.0013.1%3.8%10.8%20.8%13.7%3.8%1.2%111.3K-291.6K-14.0K1.3474.00N/AN/A3634871,5621,837
2016-10-21$36.84$37.0011.4%3.3%10.3%13.8%12.3%6.3%1.9%93.2K-99.7K-12.5K1.4377.38N/AN/A3304711,5751,837
2016-10-24$36.80$37.0012.4%3.6%9.8%18.2%13.4%6.1%0.7%114.5K-476.1K-12.8K1.2193.89N/AN/A3584341,5001,422
2016-10-25$36.78$37.0010.7%3.1%9.6%10.6%11.3%6.4%-0.5%107.2K-465.8K-11.3K1.25105.41N/AN/A3614511,5461,422
2016-10-26$36.62$37.0010.4%3.0%9.1%9.6%12.1%2.9%3.1%94.3K-204.7K-11.9K1.29106.31N/AN/A3604641,5781,422
2016-10-27$36.58$37.0010.8%3.1%8.6%11.1%12.4%3.6%3.1%109.4K-197.3K-12.0K1.3275.26N/AN/A3604751,5911,435
2016-10-28$36.53$37.0011.3%3.2%8.1%13.4%12.5%1.8%2.5%88.3K-14.3K-11.9K1.23103.41N/AN/A4014931,5911,452
2016-10-31$36.53$37.009.8%2.8%8.1%7.1%10.0%0.9%1.9%74.4K258.2K-11.0K0.32108.88N/AN/A1,6435231,6421,480