VEA Options History — February 2018

In February 2018, VEA traded between $43.40 and $47.08. ATM implied volatility averaged 19.4%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 1.2% (HV 20d: 20.7%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2018-02-01: Highest Volume — 1,746 contracts
  • 2018-02-05: Largest IV spike — 428.4% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-05: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.92$43.40$47.08$47.08$44.62
Max Pain$44.00$44.00$44.00$44.00$44.00
ATM IV19.4%11.7%76.1%12.0%14.5%
Expected Move5.0%3.3%11.5%3.5%4.2%
HV 20d20.7%8.0%23.6%8.0%23.6%
HV 60d13.5%7.4%15.1%7.4%15.1%
IV Rank27.6%10.9%100.0%60.9%14.8%
IV Percentile95.7%88.9%100.0%96.8%92.1%
Term Structure-2.1%-22.8%0.5%0.4%-0.8%
VWIV19.4%14.2%40.0%14.2%20.1%
Skew 25d7.9%4.2%33.1%4.2%5.9%
Skew 10d12.0%-20.4%20.4%9.4%11.1%
Call IV 25d14.8%8.5%37.8%10.5%13.8%
Put IV 25d22.7%14.6%70.9%14.6%19.7%
Bid-Ask Spread %45.8424.10146.1965.2773.30
Gamma HHI0.170.120.280.280.19
Net GEX81.5K18.3K296.7K296.7K35.8K
Net DEX-397.9K-4.5M2.1M-4.5M365.7K
Net VEX-28.8K-37.6K-25.8K-31.9K-25.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.471.751.120.60
Total Volume1,162.2639191,7461,7461,005
Total OI5,091.2114,7475,3634,9995,071

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$47.08$44.0012.0%3.5%8.0%60.9%14.2%4.2%0.4%296.7K-4.5M-31.9K1.1265.27N/AN/A8229242,8862,113
2018-02-02$46.06$44.0014.4%4.2%11.2%78.6%17.8%5.6%-0.4%129.8K-2.2M-32.4K0.9729.10N/AN/A7607342,8952,121
2018-02-05$44.27$44.0076.1%11.5%17.8%100.0%40.0%33.1%-22.8%85.5K-580.6K-37.6K0.47146.19N/AN/A9734562,9012,155
2018-02-06$45.09$44.0022.2%5.3%19.2%25.4%20.6%6.7%-2.0%22.5K127.4K-30.8K0.9052.44N/AN/A6025392,8552,180
2018-02-07$44.54$44.0016.7%4.8%19.6%17.7%18.8%6.2%-1.0%46.4K601.8K-29.3K1.0848.02N/AN/A5996462,9232,141
2018-02-08$43.40$44.0024.8%7.1%21.4%28.9%24.3%12.4%-4.8%42.7K1.8M-30.8K1.3951.78N/AN/A6138512,9652,234
2018-02-09$43.69$44.0022.5%6.4%21.5%25.8%23.9%10.1%-3.7%19.6K2.1M-29.8K1.5443.60N/AN/A5218003,0502,294
2018-02-12$44.20$44.0019.3%5.5%21.7%21.4%20.5%6.9%-1.2%30.9K1.4M-28.7K1.4138.27N/AN/A4766723,0542,283
2018-02-13$44.13$44.0018.2%5.2%21.7%19.9%20.4%7.4%-1.0%18.3K1.6M-26.8K1.3124.83N/AN/A4826303,0762,271
2018-02-14$44.92$44.0014.8%4.2%22.7%15.2%17.1%6.2%0.2%40.6K142.5K-27.1K1.7530.48N/AN/A4517893,0832,280
2018-02-15$45.21$44.0014.8%4.3%22.9%15.3%17.5%6.2%0.5%114.7K-1.3M-27.9K0.8725.33N/AN/A4984353,0902,119
2018-02-16$45.41$44.0015.1%4.3%22.9%15.6%16.8%5.3%0.0%145.3K-1.9M-28.1K0.8831.31N/AN/A5074463,1162,152
2018-02-20$44.95$44.0014.6%4.2%22.9%15.0%16.7%5.4%-1.3%75.3K-691.4K-25.9K0.6040.73N/AN/A5763432,7462,001
2018-02-21$44.77$44.0013.7%3.9%22.8%13.7%15.9%5.1%-0.5%79.4K-669.2K-25.9K0.6640.52N/AN/A6314182,8162,017
2018-02-22$44.96$44.0014.7%4.2%22.9%15.1%19.7%6.0%-0.5%64.6K-202.9K-26.9K0.8146.85N/AN/A5464442,7612,098
2018-02-23$45.39$44.0013.9%4.0%23.3%14.0%14.3%6.2%-1.1%108.7K-1.2M-26.9K0.7227.70N/AN/A5784142,7572,147
2018-02-26$45.73$44.0011.7%3.3%23.2%10.9%14.7%6.8%-0.2%112.3K-1.8M-27.5K0.6531.24N/AN/A5903852,8112,215
2018-02-27$45.10$44.0015.3%4.4%23.5%15.9%15.9%4.3%-0.5%80.1K-560.1K-26.4K0.6524.10N/AN/A5633642,8402,216
2018-02-28$44.62$44.0014.5%4.2%23.6%14.8%20.1%5.9%-0.8%35.8K365.7K-25.8K0.6073.30N/AN/A6293762,8542,217