VEA Options History — January 2018

In January 2018, VEA traded between $45.22 and $47.84. ATM implied volatility averaged 8.7%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.7% (HV 20d: 7.1%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2018-01-30: Highest Volume — 1,924 contracts
  • 2018-01-29: Largest IV spike — 30.2% change
  • 2018-01-30: Highest IV Rank — 61.4%
  • 2018-01-30: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.74$45.22$47.84$45.22$47.04
Max Pain$44.19$43.00$46.00$44.00$46.00
ATM IV8.7%5.5%12.1%7.7%11.3%
Expected Move2.6%1.6%3.5%2.2%3.2%
HV 20d7.1%5.6%8.3%7.0%8.2%
HV 60d6.8%6.4%7.4%6.4%7.4%
IV Rank36.3%12.9%61.4%28.8%55.5%
IV Percentile49.5%6.3%97.2%22.2%94.4%
Term Structure1.2%0.6%1.7%1.2%1.7%
VWIV10.8%8.0%14.3%10.8%12.9%
Skew 25d3.4%1.7%5.5%5.1%3.8%
Skew 10d6.0%0.2%9.8%8.2%9.3%
Call IV 25d7.7%4.7%10.9%4.9%10.8%
Put IV 25d11.0%9.0%14.6%10.0%14.6%
Bid-Ask Spread %29.3310.0867.4312.3950.16
Gamma HHI0.250.190.330.270.28
Net GEX198.6K61.8K398.0K122.3K298.6K
Net DEX-4.6M-6.4M-2.9M-2.9M-4.3M
Net VEX-21.8K-32.6K-16.4K-18.6K-32.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.662.021.761.29
Total Volume1,444.5711,1321,9241,1541,924
Total OI3,350.3812,5014,9882,5014,988

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$45.22$44.007.7%2.2%7.0%28.8%10.8%5.1%1.2%122.3K-2.9M-18.6K1.7612.39N/AN/A4187361,4261,075
2018-01-03$45.53$44.005.5%1.6%7.1%12.9%12.0%2.8%0.7%117.0K-3.3M-18.3K1.1812.54N/AN/A5316271,4331,075
2018-01-04$45.92$44.005.8%2.3%7.4%14.7%11.4%5.5%1.4%107.7K-3.7M-17.2K1.1710.08N/AN/A5376281,4351,081
2018-01-05$46.19$44.006.4%2.3%7.1%19.4%10.1%2.5%1.7%106.5K-4.1M-16.4K1.2522.11N/AN/A5026301,4491,082
2018-01-08$46.15$44.006.6%2.4%7.2%20.8%9.4%3.0%1.0%114.7K-4.0M-16.8K2.0222.67N/AN/A4769611,4601,087
2018-01-09$46.17$43.007.1%2.2%7.1%24.2%8.9%2.0%1.5%120.3K-3.8M-16.5K1.4018.01N/AN/A5717981,5631,105
2018-01-10$46.08$43.007.8%2.2%7.3%29.8%9.3%2.2%1.5%73.0K-3.2M-17.9K1.4524.32N/AN/A5507951,5031,247
2018-01-11$46.35$43.008.2%2.3%7.4%32.3%8.0%3.0%1.4%61.8K-3.6M-17.3K1.4221.37N/AN/A5617951,5271,254
2018-01-12$46.77$43.007.4%2.1%7.8%26.7%8.6%3.9%1.5%99.2K-4.1M-18.6K1.4135.66N/AN/A5537801,6611,254
2018-01-16$46.76$43.008.6%2.5%7.4%35.1%9.6%2.5%1.1%104.0K-4.5M-16.7K1.0622.85N/AN/A7327751,6711,156
2018-01-17$47.00$43.0010.4%3.0%7.3%48.8%11.2%1.7%1.1%154.5K-5.0M-17.5K1.4867.43N/AN/A5428041,8521,173
2018-01-18$46.86$43.009.4%2.7%6.9%41.5%12.4%2.9%1.1%134.5K-4.6M-18.4K1.4129.67N/AN/A7271,0271,8561,207
2018-01-19$47.09$44.009.0%2.6%6.8%38.5%11.3%2.4%1.3%204.4K-5.1M-22.2K1.3321.04N/AN/A5557402,0431,432
2018-01-22$47.35$45.009.6%2.7%6.7%42.8%10.8%3.9%1.1%217.9K-5.2M-23.0K1.4316.79N/AN/A5157352,1011,425
2018-01-23$47.50$45.009.8%2.8%5.7%44.2%11.4%2.7%1.4%316.2K-5.1M-24.5K0.9034.76N/AN/A8247412,2761,609
2018-01-24$47.65$45.008.7%2.5%5.6%36.5%10.9%4.4%1.3%333.9K-6.2M-27.6K0.9734.78N/AN/A7227022,5761,659
2018-01-25$47.46$45.0010.3%3.0%6.1%48.5%10.5%4.4%1.0%337.0K-5.9M-28.8K0.8051.30N/AN/A8586842,5881,669
2018-01-26$47.84$45.009.2%2.6%6.3%39.6%10.9%4.5%1.7%383.6K-6.4M-28.7K0.6633.91N/AN/A1,0466942,6581,675
2018-01-29$47.45$46.0011.9%3.4%7.5%60.2%14.3%3.7%0.9%398.0K-5.8M-30.5K0.7133.38N/AN/A9466702,8041,696
2018-01-30$47.10$46.0012.1%3.5%8.3%61.4%13.0%3.7%0.6%364.8K-5.2M-30.6K1.2840.71N/AN/A8421,0822,8111,716
2018-01-31$47.04$46.0011.3%3.2%8.2%55.5%12.9%3.8%1.7%298.6K-4.3M-32.6K1.2950.16N/AN/A8391,0852,8802,108