VEA Options History — November 2017

In November 2017, VEA traded between $43.61 and $44.72. ATM implied volatility averaged 7.8%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 2.1% (HV 20d: 5.7%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.98.

Notable Days

  • 2017-11-29: Highest Volume — 1,874 contracts
  • 2017-11-27: Largest IV spike — 93.0% change
  • 2017-11-27: Highest IV Rank — 45.7%
  • 2017-11-27: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.24$43.61$44.72$44.30$44.52
Max Pain$42.05$42.00$43.00$43.00$42.00
ATM IV7.8%5.2%10.0%8.6%7.4%
Expected Move2.3%1.5%2.9%2.5%2.1%
HV 20d5.7%4.2%7.2%5.0%7.1%
HV 60d6.2%5.8%6.8%6.8%6.0%
IV Rank28.2%10.1%45.7%28.9%26.4%
IV Percentile25.0%2.4%69.0%32.9%12.3%
Term Structure2.4%0.0%4.0%0.1%0.6%
VWIV9.2%5.7%13.4%9.0%8.3%
Skew 25d3.5%0.9%5.0%0.9%2.1%
Skew 10d5.1%1.3%11.2%4.1%1.7%
Call IV 25d6.2%3.6%9.0%9.0%7.5%
Put IV 25d9.7%7.4%11.9%9.9%9.6%
Bid-Ask Spread %32.6414.7290.4290.4218.27
Gamma HHI0.510.340.740.400.59
Net GEX735.8K292.0K1.7M587.0K516.3K
Net DEX-4.1M-5.1M-2.4M-4.3M-4.2M
Net VEX-17.9K-19.1K-16.8K-18.3K-19.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.981.894.022.523.05
Total Volume1,563.6191,4121,8741,4961,544
Total OI3,577.0483,2933,8363,4483,656

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$44.30$43.008.6%2.5%5.0%28.9%9.0%0.9%0.1%587.0K-4.3M-18.3K2.5290.42N/AN/A4251,0712,0601,388
2017-11-02$44.38$42.008.3%2.5%4.9%27.5%9.2%3.3%2.3%636.0K-4.6M-18.1K2.6718.96N/AN/A4031,0742,0781,388
2017-11-03$44.33$42.007.5%2.4%4.9%22.3%10.1%3.0%2.8%690.5K-4.5M-18.3K3.2784.60N/AN/A3311,0812,1161,395
2017-11-06$44.44$42.006.5%2.2%4.9%16.1%8.1%2.9%2.9%754.3K-4.9M-17.0K3.0722.24N/AN/A3501,0732,1381,397
2017-11-07$44.28$42.005.5%2.3%4.2%11.2%8.8%3.5%2.6%865.0K-4.6M-17.8K3.0719.94N/AN/A3501,0732,1791,399
2017-11-08$44.43$42.008.9%2.6%4.2%35.0%8.8%2.9%1.9%736.4K-5.1M-17.4K3.0719.28N/AN/A3491,0732,1791,399
2017-11-09$44.16$42.009.0%2.6%4.8%38.2%10.2%2.7%2.6%833.6K-4.1M-17.7K2.9072.90N/AN/A3741,0832,1881,399
2017-11-10$44.04$42.008.7%2.5%4.6%36.1%11.0%3.0%2.6%943.2K-3.9M-17.3K2.5241.48N/AN/A4301,0832,2171,421
2017-11-13$43.86$42.008.1%2.3%4.8%31.9%11.9%4.5%3.4%968.9K-3.5M-17.8K3.2227.97N/AN/A3361,0832,3181,421
2017-11-14$43.82$42.008.2%2.3%4.8%32.4%13.4%4.7%3.4%1.0M-3.5M-17.5K2.2334.93N/AN/A4871,0882,3311,421
2017-11-15$43.61$42.008.5%2.4%5.0%34.6%11.5%5.0%3.6%459.3K-2.4M-17.9K1.8922.60N/AN/A5641,0662,3311,424
2017-11-16$44.02$42.008.1%2.3%6.0%31.5%12.3%4.8%3.7%1.7M-4.2M-18.0K2.2221.57N/AN/A4851,0762,3861,434
2017-11-17$43.88$42.007.7%2.2%6.1%28.5%11.8%4.7%3.9%1.5M-3.8M-17.4K2.6422.56N/AN/A4051,0702,3901,446
2017-11-20$43.97$42.007.0%2.0%6.1%24.0%8.2%4.0%3.6%292.0K-3.2M-16.8K2.5564.24N/AN/A4161,0612,0021,291
2017-11-21$44.29$42.007.4%2.1%6.6%26.9%6.4%4.8%1.8%456.9K-4.0M-17.1K3.1518.81N/AN/A3501,1012,0251,292
2017-11-22$44.44$42.008.4%2.4%6.5%34.1%6.2%4.5%0.9%451.4K-4.3M-17.8K4.0214.94N/AN/A3561,4302,0471,332
2017-11-24$44.72$42.005.2%1.5%6.7%10.1%5.7%2.4%2.6%607.5K-4.6M-18.8K4.0122.31N/AN/A3531,4152,0531,465
2017-11-27$44.46$42.0010.0%2.9%7.2%45.7%8.9%2.5%0.0%486.7K-3.8M-18.9K3.5416.94N/AN/A4011,4212,0551,468
2017-11-28$44.62$42.005.3%1.5%7.2%10.9%6.5%4.2%4.0%474.4K-4.5M-18.8K3.4615.78N/AN/A4111,4202,1061,468
2017-11-29$44.48$42.009.2%2.6%7.2%39.6%7.6%4.3%0.4%471.3K-4.2M-18.9K3.4414.72N/AN/A4221,4522,1471,468
2017-11-30$44.52$42.007.4%2.1%7.1%26.4%8.3%2.1%0.6%516.3K-4.2M-19.1K3.0518.27N/AN/A3811,1632,1531,503