VEA Options History — October 2017

In October 2017, VEA traded between $43.37 and $44.17. ATM implied volatility averaged 7.5%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.1% (HV 20d: 5.4%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.57.

Notable Days

  • 2017-10-20: Highest Volume — 3,418 contracts
  • 2017-10-11: Largest IV spike — 41.0% change
  • 2017-10-03: Highest IV Rank — 26.9%
  • 2017-10-05: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.81$43.37$44.17$43.38$44.17
Max Pain$43.05$43.00$44.00$43.00$43.00
ATM IV7.5%5.4%8.3%8.2%7.6%
Expected Move2.2%1.9%2.6%2.4%2.2%
HV 20d5.4%4.8%6.9%6.9%5.0%
HV 60d6.8%6.7%7.1%7.0%6.8%
IV Rank22.4%9.4%26.9%26.8%22.9%
IV Percentile13.8%4.0%22.2%21.0%13.5%
Term Structure1.2%0.7%2.3%0.7%0.9%
VWIV8.0%4.2%10.1%5.1%6.0%
Skew 25d3.0%0.4%4.4%4.0%1.6%
Skew 10d3.5%-0.3%7.5%2.1%1.2%
Call IV 25d6.1%3.9%8.8%4.0%5.5%
Put IV 25d9.1%4.8%10.8%8.1%7.1%
Bid-Ask Spread %31.676.4688.598.818.06
Gamma HHI0.460.300.630.580.42
Net GEX1.2M205.0K2.5M2.1M666.3K
Net DEX-8.3M-13.3M-2.0M-8.3M-4.1M
Net VEX-19.2K-25.9K-15.4K-25.9K-18.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.332.640.642.64
Total Volume1,570.9551,1303,4182,0311,477
Total OI4,858.2273,0375,7135,5433,466

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$43.38$43.008.2%2.4%6.9%26.8%5.1%4.0%0.7%2.1M-8.3M-25.9K0.648.81N/AN/A1,2367954,1621,381
2017-10-03$43.50$43.008.3%2.4%6.2%26.9%4.8%4.4%0.8%2.1M-8.9M-24.8K0.6511.98N/AN/A1,2237954,1621,384
2017-10-04$43.46$43.006.5%1.9%5.9%16.5%4.2%0.8%0.9%2.1M-8.7M-25.3K0.786.46N/AN/A1,0127914,1721,386
2017-10-05$43.41$44.005.9%2.6%5.4%12.5%9.0%3.3%1.4%2.4M-8.7M-24.5K0.8012.32N/AN/A1,0238164,1871,391
2017-10-06$43.37$43.007.0%2.3%5.4%19.4%8.4%2.9%2.3%2.5M-8.4M-23.7K0.8011.67N/AN/A1,0228164,1881,420
2017-10-09$43.37$43.007.9%2.5%4.8%24.9%8.7%3.1%1.0%2.5M-8.5M-22.6K0.8114.81N/AN/A1,0058154,1891,420
2017-10-10$43.77$43.005.4%2.2%5.7%9.4%9.0%4.0%1.3%1.5M-11.5M-19.7K1.2414.36N/AN/A6568154,2071,420
2017-10-11$43.94$43.007.6%2.2%5.5%22.8%9.3%4.3%1.3%1.1M-12.3M-18.6K2.4313.69N/AN/A3368154,1981,420
2017-10-12$43.92$43.007.7%2.2%5.5%23.5%8.8%3.7%1.1%1.1M-12.3M-18.3K2.3471.66N/AN/A3528244,2051,420
2017-10-13$44.14$43.007.9%2.3%5.7%24.8%10.1%2.5%1.3%779.8K-12.9M-17.5K2.3366.78N/AN/A3628424,2071,432
2017-10-16$44.11$43.008.1%2.3%5.7%25.8%9.2%4.0%1.3%921.6K-12.9M-17.8K2.4654.21N/AN/A3458474,2031,461
2017-10-17$44.02$43.007.6%2.2%5.7%22.8%8.8%3.7%1.5%1.0M-12.8M-17.2K1.9332.51N/AN/A4388474,2091,451
2017-10-18$44.09$43.007.5%2.1%5.2%22.3%8.4%2.9%1.3%1.2M-13.3M-17.3K1.9440.17N/AN/A4368474,2551,451
2017-10-19$44.00$43.007.6%2.2%5.2%22.8%9.3%3.7%1.5%1.2M-12.7M-16.8K1.9626.91N/AN/A4368544,2601,451
2017-10-20$43.94$43.007.4%2.1%5.2%21.9%7.8%3.9%1.1%232.8K-12.0M-16.4K0.3386.19N/AN/A2,5718474,2601,453
2017-10-23$43.85$43.007.8%2.2%5.1%24.2%8.3%3.1%0.8%221.5K-2.4M-16.4K1.7618.96N/AN/A4287541,7491,288
2017-10-24$43.94$43.008.0%2.3%4.8%25.5%8.4%4.2%0.8%236.9K-2.4M-15.8K1.7519.34N/AN/A4287501,7501,293
2017-10-25$43.76$43.008.0%2.3%5.2%25.2%9.0%1.0%1.5%205.0K-2.0M-15.4K1.9488.59N/AN/A3847461,7501,294
2017-10-26$43.76$43.007.9%2.3%5.1%24.6%7.9%3.9%1.2%208.9K-2.2M-15.6K1.0333.55N/AN/A7217461,7491,298
2017-10-27$43.85$43.007.3%2.1%4.8%21.2%7.3%0.4%1.2%581.0K-2.9M-16.0K1.4538.19N/AN/A7381,0692,0841,302
2017-10-30$43.98$43.008.0%2.3%4.8%25.5%7.9%0.5%0.8%584.9K-3.4M-19.0K2.5017.42N/AN/A4291,0722,0701,383
2017-10-31$44.17$43.007.6%2.2%5.0%22.9%6.0%1.6%0.9%666.3K-4.1M-18.3K2.648.06N/AN/A4061,0712,0801,386