VEA Options History — September 2017

In September 2017, VEA traded between $42.30 and $43.56. ATM implied volatility averaged 7.5%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded below realized volatility by 0.3% (HV 20d: 7.7%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2017-09-29: Highest Volume — 2,134 contracts
  • 2017-09-05: Largest IV spike — 107.3% change
  • 2017-09-05: Highest IV Rank — 41.2%
  • 2017-09-05: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.11$42.30$43.56$42.62$43.41
Max Pain$42.10$40.00$43.00$40.00$43.00
ATM IV7.5%4.8%11.3%5.5%8.0%
Expected Move2.2%1.4%3.2%1.6%2.3%
HV 20d7.7%6.9%9.4%8.4%6.9%
HV 60d7.7%7.1%8.5%8.3%7.1%
IV Rank21.3%5.9%41.2%9.1%25.4%
IV Percentile12.4%0.8%68.7%3.6%15.5%
Term Structure2.1%0.6%4.0%4.0%1.2%
VWIV8.2%4.0%10.8%8.3%4.6%
Skew 25d4.3%0.9%5.9%5.0%4.3%
Skew 10d6.0%1.2%10.4%3.5%2.2%
Call IV 25d5.4%3.4%8.6%4.3%3.6%
Put IV 25d9.7%7.0%13.7%9.3%7.9%
Bid-Ask Spread %17.137.4869.7713.679.74
Gamma HHI0.810.630.910.850.63
Net GEX1.8M1.1M2.3M1.3M1.9M
Net DEX-6.9M-9.2M-4.5M-5.8M-8.0M
Net VEX-25.0K-27.5K-22.0K-27.5K-23.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.731.901.750.73
Total Volume1,362.89802,1341,2612,134
Total OI5,131.84,1915,6635,4325,057

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$42.62$40.005.5%1.6%8.4%9.1%8.3%5.0%4.0%1.3M-5.8M-27.5K1.7513.67N/AN/A4588033,6691,763
2017-09-05$42.30$42.0011.3%3.2%8.8%41.2%9.1%5.9%1.1%1.1M-4.5M-25.1K1.6918.25N/AN/A4587743,6971,764
2017-09-06$42.59$42.005.2%2.0%9.1%7.6%10.2%3.9%1.8%1.6M-5.3M-25.5K1.8820.69N/AN/A4598633,6971,766
2017-09-07$42.92$42.007.2%1.9%9.4%18.8%9.5%3.2%2.2%2.3M-6.8M-26.4K1.6620.30N/AN/A4787933,6991,856
2017-09-08$42.95$42.007.3%2.2%7.7%19.2%10.8%5.7%3.0%1.9M-7.1M-26.5K1.9017.43N/AN/A4238043,7361,856
2017-09-11$43.26$42.009.0%2.3%8.0%28.4%10.5%5.0%3.0%1.9M-8.8M-25.2K0.9014.73N/AN/A5625073,7371,867
2017-09-12$43.35$42.006.5%2.4%7.8%14.5%10.5%5.0%2.4%1.9M-9.2M-25.7K0.9916.80N/AN/A5115073,7381,871
2017-09-13$43.15$42.007.2%2.1%8.1%18.5%9.9%4.3%4.0%2.3M-8.3M-25.6K0.9214.93N/AN/A5555103,7541,871
2017-09-14$43.25$42.008.0%2.3%8.0%25.7%10.1%4.8%2.6%2.1M-8.7M-25.7K1.0717.10N/AN/A4735073,7711,873
2017-09-15$43.29$42.007.2%2.1%6.9%20.4%7.7%4.2%3.1%1.5M-9.2M-25.1K0.8513.26N/AN/A6015083,7831,880
2017-09-18$43.38$42.007.5%2.2%6.9%22.7%7.6%4.4%1.1%1.6M-6.4M-24.6K1.6515.64N/AN/A4267023,1161,075
2017-09-19$43.56$42.004.8%1.4%6.9%5.9%8.1%3.0%2.2%1.7M-7.3M-22.0K1.6013.35N/AN/A4427073,1481,158
2017-09-20$43.32$42.007.0%2.0%7.2%19.5%8.4%0.9%3.3%1.3M-6.1M-23.2K0.9069.77N/AN/A7997223,1181,164
2017-09-21$43.23$42.007.6%2.2%7.3%23.1%4.7%4.5%1.2%1.8M-6.7M-25.4K0.9212.11N/AN/A7867223,5141,172
2017-09-22$43.31$42.007.8%2.2%7.3%24.2%4.0%5.5%1.3%1.8M-7.0M-24.1K0.9213.75N/AN/A7937303,5191,182
2017-09-25$43.14$42.008.0%2.3%7.3%25.2%6.2%4.6%1.0%1.9M-5.8M-23.8K1.109.88N/AN/A7968753,5561,192
2017-09-26$42.99$43.008.2%2.4%7.5%26.7%8.4%5.1%1.0%1.8M-4.9M-24.6K1.0911.00N/AN/A8268983,5661,355
2017-09-27$43.03$43.007.8%2.2%7.3%23.9%7.9%4.1%1.2%1.9M-5.4M-24.9K1.0912.72N/AN/A8218983,6661,381
2017-09-28$43.18$43.008.0%2.3%7.3%25.7%8.0%2.8%0.6%1.9M-6.4M-25.0K1.247.48N/AN/A7278983,6681,381
2017-09-29$43.41$43.008.0%2.3%6.9%25.4%4.6%4.3%1.2%1.9M-8.0M-23.7K0.739.74N/AN/A1,2368983,6761,381