VEA Options History — April 2018

In April 2018, VEA traded between $43.55 and $45.44. ATM implied volatility averaged 11.2%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 2.3% (HV 20d: 13.5%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 4.53.

Notable Days

  • 2018-04-09: Highest Volume — 7,038 contracts
  • 2018-04-26: Largest IV drop — 17.1% change
  • 2018-04-02: Highest IV Rank — 16.7%
  • 2018-04-02: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.70$43.55$45.44$43.55$44.88
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV11.2%8.5%15.9%15.9%8.7%
Expected Move3.2%2.4%4.5%4.5%2.5%
HV 20d13.5%9.0%15.0%13.8%9.0%
HV 60d16.8%16.6%17.0%16.7%16.8%
IV Rank10.2%6.4%16.7%16.7%6.7%
IV Percentile70.0%43.3%94.0%94.0%46.0%
Term Structure0.6%-0.9%1.9%-0.9%0.5%
VWIV11.4%8.3%13.4%11.9%9.1%
Skew 25d4.3%2.8%6.2%6.2%3.8%
Skew 10d8.8%3.1%12.9%12.9%3.1%
Call IV 25d9.2%5.3%14.2%14.2%6.2%
Put IV 25d13.5%9.7%20.5%20.5%10.0%
Bid-Ask Spread %35.788.8185.0923.7077.35
Gamma HHI0.500.140.690.140.51
Net GEX-827.9K-1.2M-132.7K-132.7K-656.7K
Net DEX3.9M850.7K9.0M3.9M1.2M
Net VEX-44.2K-62.0K-24.9K-24.9K-38.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.530.2815.250.850.29
Total Volume2,782.9057117,0381,0101,521
Total OI10,346.9055,23811,1765,23810,638

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$43.55$45.0015.9%4.5%13.8%16.7%11.9%6.2%-0.9%-132.7K3.9M-24.9K0.8523.70N/AN/A5464642,4412,797
2018-04-03$43.95$45.0014.8%4.2%14.1%15.2%13.4%4.0%-0.3%-137.3K3.0M-25.6K11.1914.11N/AN/A5576,2322,4952,793
2018-04-04$44.04$45.0013.9%4.0%13.8%13.9%9.3%4.0%0.2%-1.1M9.0M-62.0K13.9326.48N/AN/A4666,4932,5568,509
2018-04-05$44.38$45.0013.2%3.9%14.1%13.0%12.2%5.1%0.7%-1.1M7.0M-57.5K13.5919.16N/AN/A4766,4712,5658,462
2018-04-06$44.01$45.0014.2%4.0%14.4%14.3%12.5%5.8%0.0%-1.1M8.6M-58.4K14.1737.53N/AN/A4606,5182,5858,464
2018-04-09$44.48$45.0014.9%4.1%14.6%15.3%12.7%5.8%0.2%-1.0M6.7M-55.7K12.8519.81N/AN/A5086,5302,5868,512
2018-04-10$44.88$45.0012.5%3.5%15.0%12.1%12.7%4.7%1.1%-935.3K4.7M-53.3K15.2521.74N/AN/A4286,5262,6208,502
2018-04-11$44.72$45.0011.5%3.3%14.8%10.6%12.0%4.6%1.0%-978.4K5.1M-51.8K1.8781.32N/AN/A4227902,6248,496
2018-04-12$44.87$45.0011.3%3.2%14.8%10.3%11.5%4.3%0.9%-958.1K4.4M-49.6K1.9615.97N/AN/A4047902,6248,515
2018-04-13$44.81$45.0010.7%3.1%14.8%9.6%11.2%3.5%1.2%-982.9K4.7M-47.2K2.0519.00N/AN/A3847872,6258,515
2018-04-16$44.97$45.0010.1%2.9%14.9%8.7%12.1%3.8%1.1%-982.9K4.4M-45.1K1.0471.74N/AN/A4004182,6298,516
2018-04-17$45.23$45.009.2%2.6%14.6%7.5%11.6%3.5%0.6%-844.0K2.5M-41.1K0.9314.53N/AN/A3953662,6338,513
2018-04-18$45.44$45.008.9%2.6%14.6%7.0%8.9%2.8%1.9%-710.9K850.7K-36.8K0.9512.57N/AN/A3883682,6368,513
2018-04-19$45.25$45.009.7%2.8%14.7%8.1%9.3%3.0%0.7%-832.0K1.5M-39.2K0.9584.18N/AN/A3973792,6578,513
2018-04-20$45.00$45.009.7%2.8%13.3%8.2%12.0%3.2%0.8%-1.2M2.4M-38.7K1.0219.04N/AN/A4204282,6548,522
2018-04-23$44.93$45.009.3%2.7%12.4%7.5%11.1%4.3%1.1%-748.6K3.4M-39.0K1.0112.38N/AN/A3543572,2977,665
2018-04-24$44.67$45.009.7%2.8%11.8%8.2%12.2%2.9%0.6%-840.4K3.8M-38.8K0.3275.03N/AN/A1,1343672,3267,676
2018-04-25$44.67$45.0010.2%2.9%11.4%8.8%12.7%5.0%-0.2%-801.3K2.5M-44.7K0.3385.09N/AN/A1,1353772,8077,700
2018-04-26$45.00$45.008.5%2.4%11.5%6.4%11.8%5.0%1.3%-657.3K1.2M-40.4K0.298.81N/AN/A1,1413302,8137,728
2018-04-27$45.05$45.008.9%2.6%11.0%7.1%8.3%4.1%0.9%-606.5K902.4K-39.4K0.2811.87N/AN/A1,1843302,8357,728
2018-04-30$44.88$45.008.7%2.5%9.0%6.7%9.1%3.8%0.5%-656.7K1.2M-38.5K0.2977.35N/AN/A1,1833382,9107,728