VEA Options History — May 2017

In May 2017, VEA traded between $40.34 and $41.65. ATM implied volatility averaged 9.6%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 0.2% (HV 20d: 9.8%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.39.

Notable Days

  • 2017-05-05: Highest Volume — 1,775 contracts
  • 2017-05-03: Largest IV spike — 29.8% change
  • 2017-05-03: Highest IV Rank — 19.5%
  • 2017-05-03: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.11$40.34$41.65$40.34$41.55
Max Pain$38.14$38.00$39.00$39.00$38.00
ATM IV9.6%7.9%11.9%10.6%9.4%
Expected Move2.8%2.3%3.4%3.0%2.7%
HV 20d9.8%8.2%11.1%10.0%8.2%
HV 60d8.9%8.5%9.4%8.6%8.7%
IV Rank10.3%3.6%19.5%14.4%9.3%
IV Percentile21.1%2.0%44.4%32.5%19.4%
Term Structure1.1%-0.3%2.3%1.1%-0.3%
VWIV10.3%8.7%11.9%10.2%11.2%
Skew 25d4.0%1.6%6.5%6.5%2.3%
Skew 10d5.9%1.7%10.9%7.0%1.7%
Call IV 25d7.6%5.1%9.5%5.8%8.2%
Put IV 25d11.6%8.8%13.7%12.3%10.5%
Bid-Ask Spread %21.4311.8951.1019.4020.99
Gamma HHI0.280.200.430.430.27
Net GEX193.4K-30.4K456.7K456.7K-21.3K
Net DEX-4.4M-5.7M-3.7M-3.7M-3.8M
Net VEX-17.9K-19.9K-15.2K-17.5K-17.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.812.011.361.79
Total Volume1,3139761,7751,3761,146
Total OI3,743.5913,4614,1253,4613,600

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$40.34$39.0010.6%3.0%10.0%14.4%10.2%6.5%1.1%456.7K-3.7M-17.5K1.3619.40N/AN/A5827942,0071,454
2017-05-02$40.53$39.009.2%2.6%9.9%8.5%11.9%4.8%0.3%393.4K-3.9M-17.6K1.2518.39N/AN/A6027512,0191,458
2017-05-03$40.41$39.0011.9%3.4%10.0%19.5%11.3%4.7%0.7%419.9K-3.9M-17.6K1.2451.10N/AN/A6067512,0391,453
2017-05-04$40.67$38.0010.2%2.9%10.0%12.6%11.1%5.2%0.6%400.4K-4.4M-16.9K1.2419.99N/AN/A6077512,0451,453
2017-05-05$41.08$38.0010.8%3.1%10.3%15.3%11.6%3.3%0.5%328.9K-5.3M-15.2K1.3827.98N/AN/A7471,0282,0521,453
2017-05-08$40.90$38.008.7%2.8%10.6%6.6%10.5%3.6%1.5%330.3K-4.3M-19.9K1.0719.70N/AN/A8419032,1211,797
2017-05-09$40.78$38.008.2%2.8%10.7%4.5%10.3%3.6%2.1%332.5K-4.5M-19.8K1.0720.91N/AN/A8419032,1791,775
2017-05-10$40.88$38.009.7%2.8%10.7%10.7%10.3%5.2%1.9%365.7K-4.6M-19.2K0.8123.96N/AN/A8416782,1791,775
2017-05-11$40.81$38.009.4%2.7%10.8%9.3%9.7%4.6%2.2%351.7K-4.4M-19.4K0.8417.88N/AN/A8417072,1791,800
2017-05-12$40.95$38.009.6%2.8%10.4%10.3%10.3%6.0%1.8%221.0K-4.6M-19.3K0.9116.42N/AN/A7747072,1791,835
2017-05-15$41.20$38.008.5%2.4%10.4%5.8%10.7%3.4%2.3%174.3K-5.3M-18.4K0.8427.85N/AN/A8106772,2331,835
2017-05-16$41.43$38.009.8%2.8%10.2%10.9%9.7%3.5%1.4%95.4K-5.7M-17.8K0.8820.49N/AN/A7736772,2351,838
2017-05-17$40.97$38.0011.2%3.2%11.1%16.6%11.6%4.0%0.8%210.6K-4.9M-19.1K1.4824.18N/AN/A4566752,2421,838
2017-05-18$41.01$38.0010.8%3.1%10.8%15.2%11.0%4.1%1.6%203.7K-4.8M-19.3K1.8318.81N/AN/A3706762,2341,864
2017-05-19$41.44$38.0011.0%3.2%11.1%16.0%10.1%4.3%0.8%45.8K-5.7M-18.2K1.7319.35N/AN/A3916762,2551,870
2017-05-22$41.61$38.007.9%2.3%8.4%3.6%8.7%3.4%1.1%18.2K-3.9M-17.1K2.0115.68N/AN/A3246521,7431,727
2017-05-23$41.55$38.008.3%2.4%8.3%5.2%9.2%3.4%1.4%22.6K-3.8M-17.4K1.6815.70N/AN/A3806371,7481,736
2017-05-24$41.62$38.008.9%2.5%8.2%7.3%9.6%2.3%-0.3%-18.5K-3.8M-16.7K1.7720.66N/AN/A3846781,7321,744
2017-05-25$41.65$38.008.2%2.3%8.2%4.5%9.6%2.6%1.0%-30.4K-3.9M-17.1K1.8419.32N/AN/A3696781,7571,788
2017-05-26$41.50$38.009.2%2.6%8.3%8.4%9.0%1.6%1.0%-19.6K-3.7M-16.9K1.8320.86N/AN/A3726821,7591,788
2017-05-30$41.49$38.0010.2%2.9%8.3%12.5%9.6%4.7%0.6%-25.8K-3.7M-16.7K1.6711.89N/AN/A4307181,7631,778
2017-05-31$41.55$38.009.4%2.7%8.2%9.3%11.2%2.3%-0.3%-21.3K-3.8M-17.4K1.7920.99N/AN/A4117351,7751,825