VEA Options History — May 2018

In May 2018, VEA traded between $43.77 and $45.62. ATM implied volatility averaged 10.8%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.4% (HV 20d: 7.5%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.38.

Notable Days

  • 2018-05-08: Highest Volume — 1,772 contracts
  • 2018-05-02: Largest IV spike — 393.5% change
  • 2018-05-02: Highest IV Rank — 50.8%
  • 2018-05-02: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.99$43.77$45.62$44.70$44.21
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV10.8%6.9%40.5%8.2%13.0%
Expected Move3.1%2.0%11.6%2.4%3.7%
HV 20d7.5%6.0%11.0%8.7%11.0%
HV 60d11.8%10.3%16.2%16.2%11.2%
IV Rank9.7%4.3%50.8%6.1%12.7%
IV Percentile55.6%11.9%99.6%38.5%84.5%
Term Structure-0.2%-31.7%3.2%1.3%-1.3%
VWIV11.1%8.5%16.6%8.9%13.3%
Skew 25d2.9%-11.5%6.2%3.8%4.9%
Skew 10d6.2%-2.0%12.4%2.8%10.5%
Call IV 25d8.7%5.9%25.6%7.0%10.2%
Put IV 25d11.6%9.1%19.5%10.8%15.1%
Bid-Ask Spread %51.0512.36109.0712.3622.49
Gamma HHI0.350.190.650.530.48
Net GEX-304.5K-1.3M320.1K-705.6K-834.5K
Net DEX-105.2K-2.4M5.8M1.3M2.5M
Net VEX-27.0K-38.4K-20.8K-36.4K-28.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.270.510.270.45
Total Volume1,543.4551,2481,7721,4981,286
Total OI10,650.36410,40510,86910,64810,648

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$44.70$45.008.2%2.4%8.7%6.1%8.9%3.8%1.3%-705.6K1.3M-36.4K0.2712.36N/AN/A1,1783202,9107,738
2018-05-02$44.71$45.0040.5%11.6%8.7%50.8%16.1%-11.5%-31.7%-939.2K330.4K-38.4K0.27106.37N/AN/A1,1773232,9067,738
2018-05-03$44.82$45.008.4%2.5%8.4%6.3%11.6%2.6%2.5%-634.2K728.1K-36.2K0.3273.04N/AN/A1,2363932,9177,740
2018-05-04$44.96$45.008.5%2.5%7.7%6.5%10.1%2.9%2.2%-484.6K477.4K-31.4K0.3221.33N/AN/A1,2364012,9037,815
2018-05-07$44.92$45.008.4%2.5%6.9%6.3%10.9%2.6%2.1%-553.1K665.3K-30.9K0.3433.35N/AN/A1,2014082,9037,825
2018-05-08$44.95$45.007.9%2.3%6.1%5.7%9.7%2.5%2.7%-444.2K261.6K-28.8K0.3029.64N/AN/A1,3624102,9247,817
2018-05-09$45.08$45.008.6%2.5%6.0%6.6%8.9%2.7%2.5%-283.1K-622.3K-27.5K0.3523.59N/AN/A1,2424302,9447,816
2018-05-10$45.40$45.008.7%2.5%6.4%6.8%9.2%3.7%2.2%-52.3K-2.0M-24.2K0.3586.49N/AN/A1,2434302,9437,821
2018-05-11$45.56$45.007.1%2.1%6.4%4.6%9.4%3.5%2.9%320.1K-2.4M-22.3K0.3893.68N/AN/A1,2204632,9467,821
2018-05-14$45.62$45.006.9%2.0%6.4%4.3%8.7%3.1%3.2%297.2K-2.4M-21.5K0.3894.48N/AN/A1,2244632,9517,859
2018-05-15$45.21$45.008.8%2.5%6.9%6.9%9.0%3.0%1.9%-116.4K-1.3M-22.6K0.3573.80N/AN/A1,2234272,9607,859
2018-05-16$45.32$45.009.2%2.6%6.8%7.5%13.3%4.6%2.0%35.7K-1.6M-24.9K0.35109.07N/AN/A1,2204332,9607,867
2018-05-17$45.37$45.008.7%2.5%6.6%6.7%8.5%3.0%2.1%23.0K-1.7M-22.5K0.3539.44N/AN/A1,2204242,9607,867
2018-05-18$45.24$45.008.8%2.5%6.4%6.9%10.0%1.8%2.0%-171.0K-1.4M-22.3K0.4130.68N/AN/A1,2294982,9607,909
2018-05-21$45.49$45.009.0%2.6%6.6%7.1%10.6%2.9%0.2%250.4K-1.7M-20.9K0.3737.73N/AN/A1,1494212,7937,612
2018-05-22$45.50$45.009.5%2.7%6.2%7.8%10.6%3.4%0.2%241.8K-1.7M-20.8K0.3725.11N/AN/A1,1504202,7987,611
2018-05-23$45.07$45.009.9%2.8%7.2%8.4%12.4%3.9%0.3%-37.9K-572.6K-23.7K0.5168.30N/AN/A8274252,7997,617
2018-05-24$44.89$45.0010.2%2.9%6.9%8.8%12.1%2.9%0.0%-166.5K-112.0K-23.6K0.5024.06N/AN/A8314172,8117,624
2018-05-25$44.65$45.0010.0%2.9%7.1%8.6%12.2%5.7%0.6%-366.9K701.8K-25.4K0.5066.80N/AN/A8404182,8127,624
2018-05-29$43.77$45.0015.0%4.3%9.9%15.5%16.6%6.2%-2.2%-1.3M5.8M-33.4K0.4125.29N/AN/A1,0134112,8227,623
2018-05-30$44.34$45.0013.3%3.8%11.0%13.1%12.7%5.0%-1.1%-759.7K2.3M-28.0K0.4926.02N/AN/A8834312,8777,658
2018-05-31$44.21$45.0013.0%3.7%11.0%12.7%13.3%4.9%-1.3%-834.5K2.5M-28.5K0.4522.49N/AN/A8873992,9487,700