VEA Options History — December 2016

In December 2016, VEA traded between $35.86 and $37.44. ATM implied volatility averaged 12.4%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.2% (HV 20d: 10.2%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.34.

Notable Days

  • 2016-12-09: Highest Volume — 1,287 contracts
  • 2016-12-13: Largest IV spike — 24.0% change
  • 2016-12-02: Highest IV Rank — 34.6%
  • 2016-12-02: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.64$35.86$37.44$35.86$36.53
Max Pain$35.62$34.00$36.00$35.00$36.00
ATM IV12.4%9.9%16.4%15.8%9.9%
Expected Move3.5%2.8%4.7%4.5%2.8%
HV 20d10.2%8.7%11.4%9.5%10.7%
HV 60d10.5%9.4%12.4%12.3%9.4%
IV Rank18.2%7.6%34.6%32.2%7.6%
IV Percentile21.4%4.8%60.3%54.4%4.8%
Term Structure0.9%-3.2%2.5%-1.9%-0.6%
VWIV12.7%9.3%20.2%17.5%12.2%
Skew 25d4.1%0.4%8.3%6.5%2.6%
Skew 10d7.2%-0.3%15.3%4.3%2.7%
Call IV 25d10.1%7.5%12.0%10.8%10.6%
Put IV 25d14.2%10.6%20.2%17.2%13.2%
Bid-Ask Spread %86.1432.30132.8635.5748.54
Gamma HHI0.460.180.770.340.39
Net GEX638.8K157.8K2.8M443.7K179.9K
Net DEX-857.9K-5.3M275.1K-193.0K108.7K
Net VEX-13.2K-18.8K-11.0K-12.5K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.341.365.011.781.36
Total Volume779.4763571,287808424
Total OI5,853.0952,5798,3088,2112,757

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$35.86$35.0015.8%4.5%9.5%32.2%17.5%6.5%-1.9%443.7K-193.0K-12.5K1.7835.57N/AN/A2915176,6901,521
2016-12-02$35.98$35.0016.4%4.7%9.5%34.6%20.2%8.3%-3.2%180.4K267.3K-11.0K1.6732.30N/AN/A3105176,6901,521
2016-12-05$36.27$34.0013.8%3.9%9.5%23.8%14.4%5.9%-0.2%545.7K-596.8K-12.2K1.7266.54N/AN/A3005176,6921,521
2016-12-06$36.49$34.0012.5%3.8%8.7%18.3%13.8%5.7%0.2%1.0M-1.8M-15.5K1.58101.53N/AN/A3275176,6951,521
2016-12-07$37.03$34.0011.5%3.4%10.0%14.0%12.9%5.3%2.5%1.5M-2.4M-15.7K1.42102.73N/AN/A3655176,7231,521
2016-12-08$37.03$36.0012.0%3.3%9.9%16.3%12.8%3.4%1.9%1.2M-2.4M-15.3K2.91132.86N/AN/A3189246,7091,521
2016-12-09$37.10$36.0012.0%3.5%9.7%16.2%12.5%4.2%2.4%1.4M-2.1M-15.9K2.51101.77N/AN/A3679206,6361,581
2016-12-12$36.99$36.0012.9%3.5%9.3%20.1%12.9%6.5%1.8%975.1K-1.6M-14.9K2.51111.53N/AN/A3679206,6781,580
2016-12-13$37.44$36.0016.0%3.5%9.6%33.1%11.9%3.9%2.0%2.8M-5.3M-18.8K2.54107.53N/AN/A3629196,6781,580
2016-12-14$36.86$36.0012.6%3.6%11.4%18.8%11.2%3.0%-0.7%1.2M-1.7M-13.7K1.95107.15N/AN/A3536896,6771,579
2016-12-15$36.72$36.0012.4%3.5%11.1%17.8%13.6%3.4%2.3%326.7K-774.0K-13.1K2.16105.97N/AN/A3206916,7161,592
2016-12-16$36.72$36.0011.9%3.4%11.0%15.8%13.0%4.9%2.1%190.4K-735.9K-13.0K2.43118.42N/AN/A2937136,6891,592
2016-12-19$36.71$36.0010.8%3.1%10.5%11.4%12.0%4.0%2.2%191.1K27.0K-12.7K4.58108.86N/AN/A924211,816763
2016-12-20$36.80$36.0010.9%3.1%10.3%11.5%12.6%3.7%1.8%188.4K168.5K-12.1K5.01111.17N/AN/A894461,819771
2016-12-21$36.76$36.0010.3%3.0%10.3%9.2%9.3%2.5%1.3%207.7K-33.5K-12.5K4.22104.03N/AN/A1054431,824796
2016-12-22$36.40$36.0012.6%3.6%10.8%18.9%11.1%4.3%2.0%157.8K245.9K-11.6K2.0891.60N/AN/A1382871,843797
2016-12-23$36.45$36.0010.9%3.1%10.8%11.7%10.1%1.3%1.0%169.0K237.1K-11.6K1.5969.69N/AN/A1382191,879804
2016-12-27$36.46$36.0011.9%3.4%10.7%16.0%11.1%3.4%1.4%179.9K155.0K-11.4K1.5149.04N/AN/A1552341,880803
2016-12-28$36.33$36.0012.1%3.5%10.8%16.7%11.5%0.4%1.2%162.6K275.1K-11.4K1.8057.17N/AN/A1522731,898817
2016-12-29$36.45$36.0012.2%3.5%10.8%17.2%10.8%2.3%0.2%173.0K227.2K-11.6K1.8144.95N/AN/A1492701,903842
2016-12-30$36.53$36.009.9%2.8%10.7%7.6%12.2%2.6%-0.6%179.9K108.7K-11.5K1.3648.54N/AN/A1802441,905852