VEA Options History — November 2016

In November 2016, VEA traded between $35.59 and $36.45. ATM implied volatility averaged 15.7%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 7.1% (HV 20d: 8.6%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2016-11-03: Highest Volume — 5,025 contracts
  • 2016-11-21: Largest IV drop — 22.2% change
  • 2016-11-04: Highest IV Rank — 51.1%
  • 2016-11-02: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.00$35.59$36.45$36.42$35.99
Max Pain$35.62$35.00$37.00$37.00$35.00
ATM IV15.7%11.1%20.3%16.7%14.4%
Expected Move4.4%3.2%5.5%4.8%4.1%
HV 20d8.6%7.8%9.6%8.1%9.6%
HV 60d12.5%12.1%12.8%12.2%12.3%
IV Rank31.9%12.3%51.1%36.2%26.4%
IV Percentile51.7%9.1%84.1%63.5%41.3%
Term Structure0.2%-2.2%2.7%0.5%-0.7%
VWIV15.8%12.3%21.3%14.4%14.7%
Skew 25d5.5%1.5%7.9%2.8%7.5%
Skew 10d9.2%1.8%17.6%1.8%5.5%
Call IV 25d12.4%8.6%16.3%12.2%8.7%
Put IV 25d17.9%14.3%21.6%15.1%16.2%
Bid-Ask Spread %77.9038.95114.5456.0838.95
Gamma HHI0.340.210.480.280.41
Net GEX812.4K111.1K2.3M300.0K650.1K
Net DEX-1.3M-3.6M355.2K-622.5K-935.8K
Net VEX-19.3K-28.2K-11.1K-17.5K-15.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.101.500.331.49
Total Volume2,474.8578155,0252,099863
Total OI8,771.6674,47911,5784,4798,206

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$36.42$37.0016.7%4.8%8.1%36.2%14.4%2.8%0.5%300.0K-622.5K-17.5K0.3356.08N/AN/A1,5765232,9691,510
2016-11-02$36.20$37.0019.2%5.5%8.0%46.6%14.5%7.0%0.3%252.8K-402.2K-18.5K0.1196.57N/AN/A4,5164793,0051,510
2016-11-03$36.10$36.0018.3%5.0%7.9%42.7%13.7%7.6%-0.6%1.1M-2.9M-28.2K0.1066.45N/AN/A4,5574686,0171,514
2016-11-04$35.82$36.0020.3%5.1%8.0%51.1%15.5%6.5%-1.5%900.5K-1.7M-24.3K0.1060.11N/AN/A4,5404546,0831,514
2016-11-07$36.26$36.0019.3%4.9%9.2%46.7%21.2%7.2%-1.1%1.2M-2.8M-26.2K0.2964.93N/AN/A1,5894546,0941,515
2016-11-08$36.45$36.0018.5%4.6%8.0%43.4%15.5%4.4%-1.0%1.3M-3.4M-24.7K0.2967.94N/AN/A1,6284686,0921,515
2016-11-09$36.40$36.0016.2%4.7%8.0%34.0%13.4%2.6%-2.2%1.6M-3.1M-25.6K0.1290.11N/AN/A4,1794917,3421,511
2016-11-10$36.20$36.0015.8%4.5%8.2%32.4%14.1%3.1%-0.5%2.3M-3.6M-27.1K0.1584.90N/AN/A3,1884938,8731,497
2016-11-11$35.94$35.0016.3%4.7%8.4%34.2%15.7%4.7%-1.4%1.8M-3.2M-27.1K0.16114.54N/AN/A3,1885189,9611,500
2016-11-14$35.73$35.0016.3%4.7%8.6%34.4%21.3%5.3%-0.3%1.1M-1.0M-20.4K0.2688.51N/AN/A1,9935189,9611,521
2016-11-15$35.95$35.0015.3%4.4%7.8%30.2%18.8%4.9%1.6%949.0K-959.6K-19.9K0.25110.92N/AN/A1,9934979,9591,541
2016-11-16$35.68$35.0014.9%4.3%7.9%28.5%19.4%4.7%1.8%827.6K-742.5K-19.3K0.2698.18N/AN/A2,0305369,9591,541
2016-11-17$35.87$35.0015.1%4.3%8.3%29.2%16.8%1.5%1.9%726.2K-1.3M-20.9K0.27113.12N/AN/A2,0045369,9991,579
2016-11-18$35.59$35.0014.2%4.1%8.6%25.5%16.3%6.5%2.3%424.0K-36.8K-16.2K0.26110.72N/AN/A2,0045289,9961,579
2016-11-21$35.85$35.0011.1%3.2%9.2%12.3%12.3%6.8%2.7%111.1K355.2K-11.9K1.2896.27N/AN/A3574586,5501,461
2016-11-22$35.99$35.0013.2%3.8%9.4%21.1%15.2%7.9%2.1%242.1K-25.6K-12.6K1.3162.61N/AN/A3594706,5571,460
2016-11-23$35.85$36.0012.8%3.7%9.3%19.7%12.3%4.3%0.2%410.4K-194.9K-13.1K1.4261.31N/AN/A3595106,5651,476
2016-11-25$35.94$36.0012.7%3.6%9.4%19.0%15.2%6.5%0.7%224.1K269.4K-11.1K1.4553.94N/AN/A3535116,5651,504
2016-11-28$35.83$36.0014.0%4.0%9.5%24.5%15.2%7.1%-0.5%176.3K201.5K-11.4K1.3044.00N/AN/A4015216,5671,505
2016-11-29$35.99$35.0015.7%4.5%9.6%31.9%15.6%7.5%0.3%571.7K-591.4K-13.9K1.5055.64N/AN/A3455176,6171,515
2016-11-30$35.99$35.0014.4%4.1%9.6%26.4%14.7%7.5%-0.7%650.1K-935.8K-15.5K1.4938.95N/AN/A3465176,6851,521