VEA Options History — December 2017

In December 2017, VEA traded between $44.01 and $44.92. ATM implied volatility averaged 8.0%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.0% (HV 20d: 7.0%). Max pain ranged from $42.00 to $48.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.31.

Notable Days

  • 2017-12-12: Highest Volume — 1,717 contracts
  • 2017-12-14: Largest IV spike — 27.9% change
  • 2017-12-01: Highest IV Rank — 55.4%
  • 2017-12-01: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.53$44.01$44.92$44.45$44.88
Max Pain$44.80$42.00$48.00$42.00$44.00
ATM IV8.0%6.3%11.3%11.3%8.0%
Expected Move2.3%1.8%3.2%3.2%2.3%
HV 20d7.0%6.3%7.3%7.1%6.6%
HV 60d6.0%5.7%6.3%5.8%6.2%
IV Rank30.8%18.1%55.4%55.4%31.3%
IV Percentile30.4%6.7%87.3%87.3%31.7%
Term Structure1.6%-1.4%3.0%-1.4%0.3%
VWIV8.9%6.5%10.5%8.6%10.5%
Skew 25d3.3%-0.1%6.2%5.2%4.7%
Skew 10d6.0%1.3%10.6%2.3%4.4%
Call IV 25d6.3%4.9%8.0%5.4%6.0%
Put IV 25d9.6%5.7%12.4%10.5%10.7%
Bid-Ask Spread %21.388.5332.5623.7612.77
Gamma HHI0.400.230.790.520.26
Net GEX258.1K66.9K694.4K420.4K104.9K
Net DEX-2.7M-4.1M-865.7K-4.1M-2.4M
Net VEX-17.8K-19.3K-16.4K-19.3K-19.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.311.113.303.061.19
Total Volume1,424.151,1501,7171,5131,354
Total OI3,126.452,3283,8123,6852,473

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$44.45$42.0011.3%3.2%7.1%55.4%8.6%5.2%-1.4%420.4K-4.1M-19.3K3.0623.76N/AN/A3731,1402,1651,520
2017-12-04$44.27$44.009.1%2.6%7.3%39.0%9.9%3.9%2.1%445.4K-3.6M-18.3K3.0321.70N/AN/A3741,1352,1691,516
2017-12-05$44.23$44.007.6%2.6%7.2%27.8%10.0%4.1%2.2%416.3K-3.5M-18.1K3.1519.76N/AN/A3601,1352,1691,516
2017-12-06$44.01$44.009.5%2.6%7.3%42.1%10.1%4.4%2.0%357.8K-3.0M-17.8K3.1122.04N/AN/A3641,1332,1691,517
2017-12-07$44.13$44.009.4%2.6%7.3%41.6%10.0%4.5%2.2%371.6K-3.2M-17.5K3.1127.29N/AN/A3641,1322,1741,522
2017-12-08$44.37$44.0010.3%2.6%7.2%47.9%10.1%6.2%2.1%448.0K-3.7M-17.8K3.1331.02N/AN/A3621,1342,1741,523
2017-12-11$44.46$44.007.8%2.5%7.1%29.7%9.9%5.2%1.9%441.3K-3.7M-16.8K3.3023.55N/AN/A3591,1842,1791,521
2017-12-12$44.49$48.008.8%2.4%6.9%36.8%8.7%2.9%1.9%445.4K-3.4M-16.5K2.2515.24N/AN/A5291,1882,1751,603
2017-12-13$44.68$45.006.5%1.9%7.0%20.1%8.1%3.0%3.0%694.4K-4.0M-17.3K2.5232.56N/AN/A4721,1892,1761,613
2017-12-14$44.47$45.008.3%2.4%7.0%33.6%8.6%3.0%2.2%263.9K-3.3M-16.4K2.3031.44N/AN/A5171,1892,1901,613
2017-12-15$44.42$45.007.8%2.2%6.3%29.9%8.1%2.8%2.2%105.0K-3.5M-16.5K1.4826.17N/AN/A6519642,2091,603
2017-12-18$44.92$45.006.6%1.9%7.2%20.4%9.5%3.5%2.0%78.8K-1.5M-17.7K3.2924.29N/AN/A2688821,2501,078
2017-12-19$44.83$45.007.0%2.0%7.3%23.9%9.6%3.6%0.9%93.7K-1.3M-17.8K3.2615.46N/AN/A2809141,2841,083
2017-12-20$44.77$45.006.9%2.0%6.9%23.1%6.5%1.5%0.9%106.5K-1.2M-17.8K1.4025.34N/AN/A4856801,3071,107
2017-12-21$44.47$48.008.4%2.4%7.3%33.9%8.9%3.1%1.0%72.8K-865.7K-18.2K1.4522.51N/AN/A4907091,2661,198
2017-12-22$44.58$48.006.3%1.8%7.0%18.1%9.5%2.6%1.8%67.6K-1.2M-18.5K1.2111.83N/AN/A5847091,2761,175
2017-12-26$44.56$44.006.3%1.8%6.7%18.7%7.8%1.8%1.5%66.9K-1.7M-18.2K1.3414.44N/AN/A5287091,2801,052
2017-12-27$44.72$44.006.8%2.0%6.7%22.3%6.6%-0.1%1.6%74.2K-1.9M-17.9K1.4217.87N/AN/A5137281,2771,052
2017-12-28$44.85$44.006.7%1.9%6.6%21.3%6.6%0.5%2.0%87.1K-2.1M-18.0K1.118.53N/AN/A6667361,2841,071
2017-12-29$44.88$44.008.0%2.3%6.6%31.3%10.5%4.7%0.3%104.9K-2.4M-19.1K1.1912.77N/AN/A6187361,4001,073