VEA Options History — July 2017

In July 2017, VEA traded between $41.00 and $42.55. ATM implied volatility averaged 8.2%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded below realized volatility by 0.6% (HV 20d: 8.7%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2017-07-26: Highest Volume — 1,257 contracts
  • 2017-07-27: Largest IV spike — 113.3% change
  • 2017-07-27: Highest IV Rank — 26.0%
  • 2017-07-06: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.90$41.00$42.55$41.24$42.55
Max Pain$41.65$41.00$42.00$41.00$42.00
ATM IV8.2%3.8%10.1%9.7%3.8%
Expected Move2.4%1.1%3.1%2.8%1.1%
HV 20d8.7%6.1%10.2%9.9%6.2%
HV 60d9.2%8.5%9.8%9.7%8.5%
IV Rank10.9%0.0%26.0%17.3%0.0%
IV Percentile14.0%0.0%40.5%30.2%0.0%
Term Structure1.4%0.3%4.6%1.2%4.6%
VWIV7.8%4.9%11.8%7.2%6.6%
Skew 25d3.6%2.3%5.3%3.3%5.1%
Skew 10d5.1%0.8%22.1%2.0%2.7%
Call IV 25d5.7%3.4%9.5%5.8%4.1%
Put IV 25d9.3%6.6%13.0%9.1%9.2%
Bid-Ask Spread %16.677.5967.3010.569.87
Gamma HHI0.570.360.720.400.63
Net GEX503.3K383.8K733.9K407.6K505.1K
Net DEX-2.9M-4.9M-703.8K-1.2M-3.7M
Net VEX-19.7K-23.6K-16.6K-23.6K-17.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.371.031.871.391.87
Total Volume1,078.459271,2571,0391,229
Total OI3,877.53,4444,0654,0543,606

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$41.24$41.009.7%2.8%9.9%17.3%7.2%3.3%1.2%407.6K-1.2M-23.6K1.3910.56N/AN/A4356042,1451,909
2017-07-05$41.25$41.009.2%2.6%9.9%14.5%7.9%3.2%2.1%403.6K-1.0M-22.9K1.3758.60N/AN/A4365992,1451,897
2017-07-06$41.00$41.0010.0%3.1%10.1%19.9%11.8%3.5%1.0%383.8K-703.8K-22.1K1.3723.14N/AN/A4365972,1461,855
2017-07-07$41.12$41.009.2%2.9%10.1%14.6%11.0%3.0%1.0%430.9K-708.0K-21.9K1.3912.56N/AN/A4386102,1461,872
2017-07-10$41.19$41.0010.1%2.8%10.1%20.4%10.5%3.5%0.8%469.6K-1.0M-20.6K1.3914.88N/AN/A4386102,1491,872
2017-07-11$41.26$41.009.7%2.8%10.1%17.5%10.8%3.8%1.1%490.3K-1.1M-21.0K1.3816.36N/AN/A4476152,1241,871
2017-07-12$41.65$41.007.8%2.2%10.1%5.2%9.4%3.7%1.2%573.2K-2.4M-21.0K1.3312.77N/AN/A4666202,1381,872
2017-07-13$41.78$42.007.7%2.2%10.2%4.1%8.8%3.6%1.6%519.3K-3.0M-20.4K1.3314.41N/AN/A4425902,1641,858
2017-07-14$42.11$42.007.9%2.3%9.8%5.6%7.2%4.3%1.0%472.2K-4.1M-18.9K1.2910.93N/AN/A4525832,1671,858
2017-07-17$41.99$42.008.3%2.4%9.5%8.2%6.9%4.3%0.9%497.1K-3.8M-19.2K1.1610.22N/AN/A5055882,1901,860
2017-07-18$42.06$42.008.2%2.3%9.3%7.4%7.1%4.4%1.2%497.4K-3.9M-19.2K1.1811.10N/AN/A4995882,1611,862
2017-07-19$42.28$42.008.1%2.3%8.8%6.8%5.3%5.3%1.4%487.8K-4.6M-18.5K1.177.72N/AN/A4995822,1741,862
2017-07-20$42.43$42.008.2%2.4%7.2%7.7%4.9%3.8%1.1%456.2K-4.9M-18.2K1.119.09N/AN/A4995552,1741,861
2017-07-21$42.29$42.008.2%2.3%7.4%7.5%6.7%2.9%0.9%510.3K-4.7M-17.8K1.187.59N/AN/A4655512,1881,877
2017-07-24$42.25$42.008.0%2.3%7.4%6.0%6.8%2.3%1.4%583.5K-3.2M-18.3K1.088.54N/AN/A4464811,8421,602
2017-07-25$42.29$42.007.8%2.2%7.4%4.9%6.4%3.1%1.5%579.6K-3.5M-17.8K1.037.85N/AN/A4684811,8511,604
2017-07-26$42.52$42.004.1%1.2%7.5%0.0%5.2%2.3%3.5%733.9K-4.3M-16.6K1.6467.30N/AN/A4767811,8771,604
2017-07-27$42.40$42.008.8%2.5%7.3%26.0%7.3%3.6%0.3%532.8K-3.5M-18.9K1.879.54N/AN/A4288011,8871,674
2017-07-28$42.41$42.008.5%2.4%6.1%24.6%7.5%3.6%0.9%530.8K-3.4M-18.9K1.8710.42N/AN/A4288011,8881,718
2017-07-31$42.55$42.003.8%1.1%6.2%0.0%6.6%5.1%4.6%505.1K-3.7M-17.8K1.879.87N/AN/A4288011,8881,718