VEA Options History — June 2017

In June 2017, VEA traded between $41.04 and $42.24. ATM implied volatility averaged 9.0%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 0.1% (HV 20d: 9.1%). Max pain ranged from $38.00 to $51.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2017-06-23: Highest Volume — 3,404 contracts
  • 2017-06-29: Largest IV spike — 47.2% change
  • 2017-06-29: Highest IV Rank — 25.3%
  • 2017-06-29: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.62$41.04$42.24$41.81$41.34
Max Pain$43.82$38.00$51.00$38.00$41.00
ATM IV9.0%7.3%10.8%8.3%10.2%
Expected Move2.6%2.1%3.1%2.4%2.9%
HV 20d9.1%8.1%10.7%8.2%10.0%
HV 60d8.9%8.2%9.7%8.7%9.7%
IV Rank8.7%0.9%25.3%4.8%20.7%
IV Percentile19.4%0.4%49.6%5.2%39.3%
Term Structure1.5%0.0%5.4%0.7%0.8%
VWIV9.6%5.8%12.0%10.0%8.0%
Skew 25d5.4%2.5%19.8%2.5%6.3%
Skew 10d8.7%1.7%38.0%4.2%7.1%
Call IV 25d6.7%4.7%9.5%7.3%5.0%
Put IV 25d12.1%8.8%25.2%9.8%11.3%
Bid-Ask Spread %19.179.0180.8520.7312.17
Gamma HHI0.370.190.830.310.42
Net GEX151.1K-145.1K937.8K-74.6K385.5K
Net DEX-2.8M-6.8M80.6K-4.2M-1.3M
Net VEX-20.4K-25.1K-15.5K-16.5K-23.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.372.731.481.44
Total Volume2,0671,0613,4041,1821,062
Total OI3,925.7273,0955,3633,6214,051

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$41.81$38.008.3%2.4%8.2%4.8%10.0%2.5%0.7%-74.6K-4.2M-16.5K1.4820.73N/AN/A4767061,7761,845
2017-06-02$42.24$38.007.7%2.2%8.6%2.6%8.6%19.8%2.5%-120.3K-4.9M-15.5K2.0919.00N/AN/A4779971,8331,842
2017-06-05$42.03$42.009.4%2.8%8.4%9.5%12.0%5.7%1.5%-112.6K-3.9M-18.1K1.8317.06N/AN/A5571,0191,8382,009
2017-06-06$41.91$42.009.8%2.8%8.3%11.1%11.3%5.5%1.5%-110.8K-3.8M-17.6K1.8515.95N/AN/A5571,0291,8292,035
2017-06-07$41.91$47.009.1%2.8%8.1%8.2%11.2%5.7%2.1%-140.5K-3.7M-17.6K2.1519.43N/AN/A4781,0291,8292,076
2017-06-08$41.82$51.009.5%2.8%8.2%9.9%10.6%4.8%1.8%-126.3K-3.4M-18.0K2.0017.96N/AN/A5261,0521,8272,102
2017-06-09$41.65$51.0010.5%2.6%8.4%13.8%9.8%4.7%1.5%-86.0K-3.2M-18.4K2.7326.36N/AN/A3861,0521,8372,104
2017-06-12$41.53$51.007.4%2.6%8.4%1.5%10.0%5.3%2.1%-67.2K-2.9M-18.0K2.4220.23N/AN/A4451,0791,8602,110
2017-06-13$41.92$51.008.3%2.7%8.8%4.8%10.3%5.1%2.2%-145.1K-3.6M-18.1K2.5916.01N/AN/A4171,0781,9232,159
2017-06-14$41.85$51.009.8%2.8%8.6%11.1%10.7%5.0%1.4%-132.1K-3.7M-17.1K2.2080.85N/AN/A4881,0741,9232,159
2017-06-15$41.42$51.0010.3%3.0%8.5%13.2%10.0%3.0%1.7%-45.2K-2.9M-18.9K0.6514.14N/AN/A1,6391,0682,0042,160
2017-06-16$41.76$41.007.4%2.1%8.9%1.4%9.7%6.8%5.4%647.5K-6.8M-23.6K0.6324.03N/AN/A1,6391,0373,2012,162
2017-06-19$41.96$41.008.1%2.3%8.3%4.4%7.4%3.9%1.4%526.1K-3.0M-22.7K0.6016.50N/AN/A1,5239102,0851,682
2017-06-20$41.58$41.007.3%2.1%8.9%0.9%5.8%3.5%0.0%937.8K-2.4M-22.5K0.5710.77N/AN/A1,5558932,1011,726
2017-06-21$41.04$41.009.8%2.8%10.0%11.1%9.9%5.8%0.5%81.8K80.6K-20.2K0.5518.13N/AN/A1,6559131,3431,752
2017-06-22$41.12$41.009.0%2.6%10.0%7.9%9.2%5.0%1.1%97.3K-169.6K-20.1K0.3711.21N/AN/A2,4599111,3481,774
2017-06-23$41.20$41.009.1%2.6%10.1%8.1%9.1%5.2%1.0%345.9K-1.1M-25.1K0.4212.24N/AN/A2,3931,0112,1291,875
2017-06-26$41.30$41.009.1%2.6%10.0%8.1%9.0%5.6%1.4%377.4K-1.4M-24.3K0.3812.21N/AN/A2,3939092,1291,875
2017-06-27$41.34$41.0010.1%2.9%10.1%12.3%10.0%4.1%0.2%374.0K-1.4M-24.4K0.389.01N/AN/A2,3939082,1291,881
2017-06-28$41.67$41.007.4%2.1%10.5%1.7%9.4%2.9%1.7%381.2K-2.2M-24.0K0.3912.78N/AN/A1,6006202,1291,888
2017-06-29$41.27$41.0010.8%3.1%10.7%25.3%9.2%2.8%0.2%331.0K-1.2M-24.5K1.4415.05N/AN/A4356262,1311,895
2017-06-30$41.34$41.0010.2%2.9%10.0%20.7%8.0%6.3%0.8%385.5K-1.3M-23.9K1.4412.17N/AN/A4356272,1431,908