VEA Options History — March 2017

In March 2017, VEA traded between $38.19 and $39.48. ATM implied volatility averaged 9.5%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.6% (HV 20d: 9.0%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.69.

Notable Days

  • 2017-03-17: Highest Volume — 1,902 contracts
  • 2017-03-14: Largest IV spike — 24.8% change
  • 2017-03-27: Highest IV Rank — 15.7%
  • 2017-03-06: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.95$38.19$39.48$38.73$39.32
Max Pain$38.48$37.00$39.00$37.00$39.00
ATM IV9.5%7.8%10.9%9.5%9.1%
Expected Move2.9%2.3%3.5%2.7%2.6%
HV 20d9.0%7.1%10.4%7.1%8.2%
HV 60d8.4%7.8%9.0%8.8%7.8%
IV Rank10.0%2.9%15.7%9.8%8.2%
IV Percentile14.9%0.8%30.2%10.7%9.9%
Term Structure3.2%-0.7%4.9%-0.5%4.0%
VWIV10.1%7.6%13.3%9.8%7.6%
Skew 25d3.6%-1.9%6.9%0.5%5.4%
Skew 10d6.4%0.3%26.7%26.7%6.6%
Call IV 25d7.9%4.6%10.9%10.7%5.1%
Put IV 25d11.5%8.5%14.1%11.2%10.5%
Bid-Ask Spread %62.8219.96108.4994.9419.96
Gamma HHI0.460.310.760.530.33
Net GEX621.8K193.9K1.5M851.1K297.2K
Net DEX-2.9M-7.8M-758.4K-3.2M-1.9M
Net VEX-17.5K-20.7K-15.5K-20.6K-18.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.818.722.951.88
Total Volume747.0434751,902731930
Total OI3,493.1742,3034,3964,1972,818

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$38.73$37.009.5%2.7%7.1%9.8%9.8%0.5%-0.5%851.1K-3.2M-20.6K2.9594.94N/AN/A1855462,5911,606
2017-03-02$38.40$37.009.2%2.6%7.8%8.5%9.0%3.5%4.0%945.9K-3.0M-20.7K1.7181.08N/AN/A1853172,6151,606
2017-03-03$38.60$37.009.7%2.8%8.0%10.5%9.4%-1.9%-0.7%904.6K-3.3M-18.2K1.6784.38N/AN/A1983312,6151,377
2017-03-06$38.48$38.008.2%3.5%8.0%4.5%11.0%3.6%3.2%814.1K-3.2M-18.2K1.6877.23N/AN/A1983322,6291,395
2017-03-07$38.36$38.0010.0%3.4%7.6%11.7%10.8%3.1%3.9%772.7K-2.8M-18.0K1.7585.36N/AN/A1903322,6291,401
2017-03-08$38.19$38.009.1%3.1%7.8%8.2%11.3%4.3%4.5%727.4K-2.2M-16.8K1.8578.40N/AN/A1793312,6421,401
2017-03-09$38.32$38.007.8%3.3%7.8%2.9%11.9%2.9%3.4%802.1K-2.4M-17.0K1.7373.65N/AN/A2093612,6841,415
2017-03-10$38.63$38.007.9%2.7%8.2%3.6%11.5%3.3%4.7%1.2M-3.4M-17.1K2.3070.86N/AN/A1573612,6841,450
2017-03-13$38.80$38.008.0%2.9%8.3%3.9%10.4%4.1%3.3%1.5M-4.0M-16.3K1.0275.40N/AN/A3573642,6841,450
2017-03-14$38.51$39.0010.0%2.3%8.6%11.9%9.3%4.6%4.6%969.1K-3.2M-16.5K1.0274.63N/AN/A3573642,8841,453
2017-03-15$39.10$39.009.0%2.6%10.2%7.8%10.3%6.2%3.6%1.1M-5.4M-16.8K1.27108.49N/AN/A2873642,8831,453
2017-03-16$39.31$39.0010.1%2.9%10.2%12.2%10.3%4.8%3.6%1.3M-6.9M-15.9K4.6571.92N/AN/A843912,9011,453
2017-03-17$39.37$39.009.3%2.7%10.2%9.2%9.6%4.7%4.1%237.7K-7.8M-15.5K0.8151.29N/AN/A1,0528502,9021,494
2017-03-20$39.34$39.008.7%2.5%10.2%6.6%9.2%5.3%4.9%240.4K-1.4M-15.7K8.7227.61N/AN/A877591,304999
2017-03-21$39.12$39.0010.5%3.0%10.4%14.0%9.7%0.4%1.6%212.9K-1.4M-15.9K5.9748.97N/AN/A985851,3741,039
2017-03-22$39.16$39.0010.2%2.9%10.4%12.8%10.5%1.0%3.6%193.9K-758.4K-17.0K5.9743.56N/AN/A985851,3861,135
2017-03-23$39.20$39.0010.3%3.0%10.4%13.2%13.3%6.1%3.2%194.6K-1.1M-16.9K3.8031.76N/AN/A1626151,3861,148
2017-03-24$39.21$39.0010.8%3.1%9.8%15.1%9.6%6.9%3.1%199.9K-1.3M-17.7K2.7259.98N/AN/A2236071,4511,167
2017-03-27$39.32$39.0010.9%3.1%9.8%15.7%9.4%6.1%3.4%223.3K-1.5M-17.9K2.6464.08N/AN/A2245911,5161,157
2017-03-28$39.47$39.0010.2%2.9%9.7%12.6%9.8%2.1%3.6%236.5K-1.9M-17.7K2.0032.62N/AN/A2965911,5181,127
2017-03-29$39.48$39.0010.1%2.9%8.9%12.1%9.6%2.5%2.3%260.1K-2.0M-18.1K1.7151.30N/AN/A3566101,5931,127
2017-03-30$39.33$39.0010.8%3.1%8.3%15.0%8.8%4.2%3.0%254.0K-2.1M-18.5K2.0937.47N/AN/A2865971,6541,147
2017-03-31$39.32$39.009.1%2.6%8.2%8.2%7.6%5.4%4.0%297.2K-1.9M-18.5K1.8819.96N/AN/A3236071,6651,153