VEA Options History — August 2017

In August 2017, VEA traded between $41.86 and $42.75. ATM implied volatility averaged 8.6%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.6% (HV 20d: 7.0%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.68.

Notable Days

  • 2017-08-25: Highest Volume — 2,166 contracts
  • 2017-08-09: Largest IV spike — 110.1% change
  • 2017-08-10: Highest IV Rank — 44.0%
  • 2017-08-10: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.31$41.86$42.75$42.75$42.52
Max Pain$40.17$40.00$42.00$42.00$40.00
ATM IV8.6%4.8%11.8%5.3%5.0%
Expected Move2.6%1.4%3.4%1.5%1.4%
HV 20d7.0%5.3%8.4%6.1%8.4%
HV 60d8.3%8.1%8.7%8.4%8.3%
IV Rank26.0%5.6%44.0%8.1%6.6%
IV Percentile31.2%0.8%69.4%0.8%1.6%
Term Structure1.6%0.1%3.9%3.9%3.9%
VWIV9.4%5.1%14.4%5.9%6.5%
Skew 25d4.5%1.4%6.8%1.6%5.0%
Skew 10d6.5%0.8%10.3%0.9%2.9%
Call IV 25d6.3%4.2%10.0%4.4%4.2%
Put IV 25d10.8%6.0%14.5%6.1%9.2%
Bid-Ask Spread %17.0910.1632.0216.0614.65
Gamma HHI0.680.190.930.540.86
Net GEX828.7K-66.0K3.9M357.5K1.5M
Net DEX-3.3M-4.9M-516.5K-4.5M-4.9M
Net VEX-18.2K-27.3K-14.2K-16.7K-26.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.582.372.001.99
Total Volume1,398.3481,1142,1661,2071,206
Total OI3,964.3482,8505,4353,6065,435

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$42.75$42.005.3%1.5%6.1%8.1%5.9%1.6%3.9%357.5K-4.5M-16.7K2.0016.06N/AN/A4028051,8881,718
2017-08-02$42.73$42.005.2%1.5%6.1%7.8%6.3%1.4%3.6%361.8K-4.7M-16.3K2.0016.57N/AN/A4068141,8961,718
2017-08-03$42.71$40.005.3%2.2%5.5%7.9%9.5%4.0%2.7%401.3K-4.6M-16.0K1.8815.42N/AN/A4177831,9021,724
2017-08-04$42.72$40.005.0%2.3%5.5%6.6%9.6%4.2%2.4%348.5K-4.8M-15.8K2.3716.10N/AN/A3317831,9171,729
2017-08-07$42.73$40.005.4%2.2%5.5%8.5%9.3%3.8%2.5%299.0K-4.8M-15.3K2.2617.60N/AN/A3507901,9151,729
2017-08-08$42.57$40.004.8%2.3%5.9%5.6%9.5%3.5%2.3%552.9K-4.2M-16.0K2.0719.74N/AN/A3737731,9351,729
2017-08-09$42.44$40.0010.2%2.9%5.3%34.8%10.8%4.0%1.4%726.4K-4.0M-16.3K1.9614.87N/AN/A3937691,9451,730
2017-08-10$41.86$40.0011.8%3.4%7.4%44.0%13.9%4.6%0.9%690.1K-2.1M-17.5K1.9923.17N/AN/A3937831,9451,727
2017-08-11$41.86$40.0011.8%3.4%6.8%43.6%14.4%4.5%0.9%706.9K-1.8M-18.0K1.9924.65N/AN/A4038001,9451,748
2017-08-14$42.11$40.0010.7%3.1%7.0%37.7%12.2%4.2%1.4%839.9K-2.6M-16.7K2.0221.91N/AN/A4058191,9341,766
2017-08-15$42.07$40.009.4%2.7%7.0%30.8%10.4%2.7%1.9%1.5M-2.7M-15.7K2.1019.55N/AN/A4038471,9361,752
2017-08-16$42.30$40.009.5%2.7%7.1%31.2%10.7%6.0%1.8%1.0M-3.7M-15.2K2.1032.02N/AN/A4038471,9371,783
2017-08-17$41.90$40.0010.8%3.1%7.7%38.2%13.3%5.3%1.4%1.5M-1.7M-15.6K1.3817.66N/AN/A6148471,9371,783
2017-08-18$42.04$40.009.9%2.8%7.7%33.4%11.7%6.3%1.6%3.9M-2.6M-15.0K0.8915.22N/AN/A9458431,9101,787
2017-08-21$41.99$40.0010.0%2.9%7.7%33.7%6.5%5.6%0.1%-66.0K-516.5K-14.2K1.0614.64N/AN/A7638101,1151,735
2017-08-22$42.18$40.009.7%2.8%7.9%32.4%5.1%5.7%0.4%124.2K-1.1M-15.4K0.6014.84N/AN/A1,3498141,5051,735
2017-08-23$42.21$40.009.6%2.8%7.7%31.7%8.4%5.6%1.1%430.7K-2.3M-18.9K0.7115.03N/AN/A1,1518192,2651,735
2017-08-24$42.16$40.009.2%2.6%7.6%29.7%9.5%5.3%0.5%427.6K-2.0M-18.7K0.6910.16N/AN/A1,1527922,2761,740
2017-08-25$42.41$40.009.7%2.8%7.9%32.2%8.4%6.1%0.1%554.2K-2.8M-19.1K0.5815.14N/AN/A1,3747922,2771,743
2017-08-28$42.40$40.009.9%2.8%7.8%33.3%8.0%6.8%0.3%1.1M-4.7M-26.6K1.9813.21N/AN/A4007923,6651,743
2017-08-29$42.24$40.009.2%2.6%7.7%29.6%8.4%5.2%0.8%850.5K-4.7M-27.3K2.0011.46N/AN/A4018023,6691,743
2017-08-30$42.16$40.009.4%2.7%7.7%30.8%8.9%2.5%0.6%1.0M-3.7M-25.0K2.0013.39N/AN/A4028023,6711,763
2017-08-31$42.52$40.005.0%1.4%8.4%6.6%6.5%5.0%3.9%1.5M-4.9M-26.3K1.9914.65N/AN/A4048023,6721,763