VEA Options History — March 2018

In March 2018, VEA traded between $43.34 and $45.18. ATM implied volatility averaged 13.4%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 1.6% (HV 20d: 15.0%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.63.

Notable Days

  • 2018-03-01: Highest Volume — 1,937 contracts
  • 2018-03-23: Largest IV spike — 31.6% change
  • 2018-03-01: Highest IV Rank — 21.5%
  • 2018-03-01: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.43$43.34$45.18$44.01$44.28
Max Pain$45.19$44.00$46.00$44.00$45.00
ATM IV13.4%8.3%19.3%19.3%14.0%
Expected Move3.7%2.4%5.5%5.5%4.0%
HV 20d15.0%11.4%24.0%24.0%12.5%
HV 60d15.6%15.3%16.4%15.4%16.4%
IV Rank13.2%6.2%21.5%21.5%14.1%
IV Percentile84.2%40.5%98.4%98.4%88.1%
Term Structure0.7%-3.2%2.7%-3.2%-0.1%
VWIV13.2%8.4%25.7%25.7%12.1%
Skew 25d5.9%4.8%8.0%6.7%4.8%
Skew 10d13.1%8.8%32.8%13.6%11.5%
Call IV 25d11.0%7.7%17.2%17.2%10.6%
Put IV 25d16.9%14.1%24.0%24.0%15.3%
Bid-Ask Spread %41.5523.1581.4381.4323.15
Gamma HHI0.170.120.320.200.17
Net GEX-78.0K-161.9K108.1K-117.1K-153.5K
Net DEX1.9M-542.7K5.2M2.6M2.5M
Net VEX-26.2K-28.9K-23.2K-27.3K-26.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.631.112.181.741.42
Total Volume1,426.2861,2111,9371,9371,211
Total OI5,489.7624,5376,1375,5465,184

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$44.01$44.0019.3%5.5%24.0%21.5%25.7%6.7%-3.2%-117.1K2.6M-27.3K1.7481.43N/AN/A7061,2312,8442,702
2018-03-02$44.13$44.0018.1%5.2%24.0%19.7%19.7%8.0%-2.8%-109.3K2.3M-28.4K1.5664.24N/AN/A6521,0152,9422,785
2018-03-05$44.32$46.0016.2%4.0%23.1%17.1%8.4%6.2%0.8%-117.7K2.2M-25.9K1.6126.29N/AN/A6451,0382,9392,851
2018-03-06$44.69$46.0014.1%3.5%18.5%14.2%13.1%6.7%1.3%-98.0K1.0M-27.3K1.4936.43N/AN/A6951,0332,9532,874
2018-03-07$44.65$46.0013.6%3.5%17.3%13.5%12.3%6.1%1.3%-85.4K1.2M-27.4K1.3630.52N/AN/A6358652,9782,876
2018-03-08$44.71$46.0013.3%3.4%16.7%13.1%11.9%7.1%1.8%-62.6K892.4K-26.9K1.4670.15N/AN/A5878582,9892,821
2018-03-09$45.09$46.0010.9%3.3%13.8%9.8%11.4%5.0%1.8%22.8K-247.0K-26.1K1.5542.07N/AN/A5528562,9912,819
2018-03-12$45.18$46.0014.1%3.2%13.7%14.3%11.0%6.0%1.9%19.1K-542.7K-25.3K1.1136.93N/AN/A5786402,9982,824
2018-03-13$44.86$45.0013.9%3.2%13.5%13.9%11.8%5.1%1.5%-33.7K397.5K-25.5K1.3628.07N/AN/A5457423,0302,865
2018-03-14$45.00$45.0011.1%3.2%13.5%10.0%12.5%5.5%2.2%68432.9K-26.2K2.0225.01N/AN/A5051,0213,0912,958
2018-03-15$44.97$45.0010.9%3.1%11.9%9.9%12.9%5.2%2.2%108.1K82.2K-26.4K1.8846.93N/AN/A5139653,1212,996
2018-03-16$44.93$45.0010.4%3.0%11.7%9.1%12.4%5.2%2.7%-56.4K212.7K-28.9K1.6844.60N/AN/A5308933,1283,009
2018-03-19$44.52$45.009.0%2.6%12.0%7.2%11.9%5.1%1.0%-81.7K2.5M-24.4K1.9024.67N/AN/A4368302,1172,420
2018-03-20$44.55$45.008.3%2.4%11.5%6.2%10.5%6.8%1.2%-118.6K2.3M-25.5K1.9227.82N/AN/A4358352,2192,560
2018-03-21$44.66$45.0010.6%3.0%11.4%9.4%11.7%6.4%-0.4%-95.6K2.1M-26.6K2.1874.88N/AN/A3858402,2232,565
2018-03-22$43.87$45.0013.0%3.7%12.9%12.7%13.4%6.1%1.2%-74.1K3.7M-23.2K1.6446.97N/AN/A5168482,2612,567
2018-03-23$43.34$45.0017.1%4.9%12.8%18.4%14.6%6.4%-0.5%-137.1K5.2M-25.0K1.8748.35N/AN/A4528472,3672,910
2018-03-26$43.92$45.0013.8%4.0%13.5%13.8%13.3%4.9%0.3%-161.9K3.9M-26.1K2.0823.69N/AN/A4248832,3262,875
2018-03-27$43.57$45.0014.6%4.2%13.0%14.9%12.6%5.8%-0.2%-146.9K4.4M-25.5K1.1334.94N/AN/A6467282,3332,852
2018-03-28$43.81$45.0014.1%4.0%12.8%14.2%13.2%5.6%0.2%-139.5K3.4M-25.1K1.2335.49N/AN/A5997372,3592,763
2018-03-29$44.28$45.0014.0%4.0%12.5%14.1%12.1%4.8%-0.1%-153.5K2.5M-26.4K1.4223.15N/AN/A5017102,3932,791