VEA Options History — January 2017

In January 2017, VEA traded between $36.78 and $38.24. ATM implied volatility averaged 9.8%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.7% (HV 20d: 9.1%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.31.

Notable Days

  • 2017-01-24: Highest Volume — 1,279 contracts
  • 2017-01-18: Largest IV spike — 23.7% change
  • 2017-01-03: Highest IV Rank — 17.1%
  • 2017-01-03: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.62$36.78$38.24$36.78$37.91
Max Pain$36.90$36.00$37.00$36.00$37.00
ATM IV9.8%8.2%12.2%12.2%10.2%
Expected Move2.9%2.3%3.5%3.5%2.9%
HV 20d9.1%7.1%11.5%10.9%8.6%
HV 60d9.4%9.2%9.9%9.5%9.6%
IV Rank6.9%0.1%17.1%17.1%8.6%
IV Percentile7.1%0.8%18.3%18.3%10.7%
Term Structure0.8%0.2%1.6%0.2%0.3%
VWIV10.9%7.3%13.3%12.2%9.3%
Skew 25d3.6%-1.3%14.0%4.0%0.4%
Skew 10d9.0%0.3%25.8%5.2%8.5%
Call IV 25d8.3%5.7%10.4%10.4%8.4%
Put IV 25d12.0%7.3%19.7%14.4%8.7%
Bid-Ask Spread %38.7916.4183.3038.8624.42
Gamma HHI0.500.380.630.420.40
Net GEX428.7K232.3K687.2K232.3K538.8K
Net DEX-1.1M-2.4M-162.0K-162.0K-1.2M
Net VEX-15.6K-18.9K-12.7K-12.7K-18.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.310.645.911.354.76
Total Volume8024021,279416997
Total OI3,191.32,8123,6072,8123,607

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$36.78$36.0012.2%3.5%10.9%17.1%12.2%4.0%0.2%232.3K-162.0K-12.7K1.3538.86N/AN/A1772391,953859
2017-01-04$37.21$36.0010.6%3.0%11.2%10.3%10.6%4.6%0.2%331.0K-807.6K-13.6K1.5142.42N/AN/A1602421,990859
2017-01-05$37.56$37.008.7%2.9%11.5%2.4%11.1%3.4%0.3%359.3K-1.1M-13.5K3.8753.83N/AN/A1796922,033859
2017-01-06$37.42$37.009.2%3.4%10.5%4.7%11.8%3.8%0.7%330.2K-767.4K-15.9K4.8140.25N/AN/A1446922,0541,024
2017-01-09$37.33$37.0011.4%3.4%10.5%13.6%13.0%4.8%0.6%319.3K-575.6K-14.9K4.7883.30N/AN/A1456932,0591,024
2017-01-10$37.37$37.009.3%3.4%10.5%5.0%12.9%4.3%1.0%343.9K-771.8K-15.2K4.9550.03N/AN/A1457182,0611,032
2017-01-11$37.59$37.009.4%2.7%10.6%5.4%12.0%4.4%1.6%353.9K-816.0K-14.8K5.9141.46N/AN/A1297632,0611,039
2017-01-12$37.63$37.009.5%2.7%9.8%5.8%13.0%4.6%1.1%374.9K-1.1M-15.2K3.9344.14N/AN/A1365342,0671,050
2017-01-13$37.79$37.009.7%2.8%7.8%6.5%11.6%3.8%1.0%410.5K-1.3M-15.8K3.9041.99N/AN/A1375342,0891,051
2017-01-17$37.67$37.009.5%2.7%7.8%5.6%12.5%3.4%0.6%422.2K-1.2M-14.9K3.5121.71N/AN/A1445052,0891,051
2017-01-18$37.46$37.0011.7%3.4%8.1%15.0%13.3%3.7%0.9%348.8K-1.5M-16.5K2.0727.61N/AN/A2445042,0751,055
2017-01-19$37.42$37.0011.5%3.3%8.2%14.2%12.0%3.5%1.6%378.5K-791.5K-14.9K1.5542.06N/AN/A3235002,2031,068
2017-01-20$37.57$37.009.6%2.7%8.2%6.1%12.0%3.5%1.0%362.9K-1.1M-15.5K2.0641.30N/AN/A2414972,2491,089
2017-01-23$37.71$37.009.4%2.7%8.2%5.4%9.8%2.7%0.5%390.9K-845.7K-14.9K1.0242.91N/AN/A4744832,1431,050
2017-01-24$37.84$37.008.9%2.6%7.1%3.4%9.0%3.4%0.6%598.6K-1.4M-15.9K0.6433.30N/AN/A7814982,4031,050
2017-01-25$38.24$37.008.2%2.3%7.7%0.1%7.3%14.0%1.5%660.6K-2.1M-15.3K2.8628.86N/AN/A1744982,0811,087
2017-01-26$38.13$37.008.8%2.5%7.9%2.7%8.3%1.5%0.8%687.2K-2.4M-16.2K4.4033.81N/AN/A1677342,1891,087
2017-01-27$38.01$37.008.6%2.5%7.9%1.8%8.1%0.4%0.9%630.5K-1.6M-18.9K4.1216.41N/AN/A1737122,1921,337
2017-01-30$37.74$37.009.0%2.6%8.6%3.6%8.3%-1.3%0.8%500.6K-784.2K-17.9K4.3027.06N/AN/A1767562,2101,347
2017-01-31$37.91$37.0010.2%2.9%8.6%8.6%9.3%0.4%0.3%538.8K-1.2M-18.6K4.7624.42N/AN/A1738242,2131,394