VEA Options History — June 2018

In June 2018, VEA traded between $42.52 and $45.17. ATM implied volatility averaged 10.9%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 0.7% (HV 20d: 11.6%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2018-06-29: Highest Volume — 1,808 contracts
  • 2018-06-13: Largest IV spike — 108.3% change
  • 2018-06-29: Highest IV Rank — 23.2%
  • 2018-06-29: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.04$42.52$45.17$44.52$42.86
Max Pain$44.29$44.00$45.00$45.00$44.00
ATM IV10.9%7.7%20.6%8.4%20.6%
Expected Move3.1%2.4%5.9%2.4%5.9%
HV 20d11.6%10.0%12.9%11.3%10.1%
HV 60d10.9%9.9%11.5%11.3%9.9%
IV Rank9.7%5.4%23.2%6.4%23.2%
IV Percentile66.4%25.4%98.0%44.0%98.0%
Term Structure1.0%-11.0%8.9%-0.4%-11.0%
VWIV10.7%9.5%14.9%9.7%14.9%
Skew 25d5.2%2.0%17.3%3.8%17.3%
Skew 10d11.1%5.1%38.2%8.8%19.8%
Call IV 25d8.2%6.1%11.3%8.9%6.2%
Put IV 25d13.4%10.7%23.5%12.7%23.5%
Bid-Ask Spread %40.7311.98133.5922.8550.28
Gamma HHI0.220.130.420.330.13
Net GEX127.3K-402.5K530.6K-402.5K74.1K
Net DEX-119.0K-1.0M1.2M578.4K-689.8K
Net VEX-18.8K-23.4K-16.7K-22.2K-17.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.310.740.440.31
Total Volume1,3871,2261,8081,2731,808
Total OI7,147.2862,90610,98610,6672,906

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$44.52$45.008.4%2.4%11.3%6.4%9.7%3.8%-0.4%-402.5K578.4K-22.2K0.4422.85N/AN/A8813922,9437,724
2018-06-04$44.70$44.008.7%2.7%11.4%6.8%10.6%4.3%1.1%45.1K-182.5K-19.7K0.4468.34N/AN/A8743882,9447,722
2018-06-05$44.62$44.009.7%2.7%11.4%8.1%10.1%5.1%1.8%-157.1K317.3K-21.6K0.4933.48N/AN/A8744322,9477,725
2018-06-06$45.03$44.007.7%2.8%11.9%5.4%10.2%5.9%1.1%419.1K-1.0M-18.4K0.5124.35N/AN/A8694472,9477,755
2018-06-07$44.85$44.0010.1%2.7%11.9%8.7%10.5%5.6%1.3%169.9K-539.0K-19.3K0.6631.51N/AN/A8805842,9527,759
2018-06-08$44.88$44.009.9%2.6%11.6%8.4%10.5%5.3%1.5%231.8K-201.5K-19.4K0.6561.43N/AN/A8825762,9647,881
2018-06-11$45.17$44.0012.0%2.7%11.8%11.3%10.5%3.2%1.5%375.9K-1.0M-18.5K0.6938.92N/AN/A8866102,9737,883
2018-06-12$44.85$45.009.2%2.6%12.0%7.4%10.8%3.3%1.6%434.1K-360.4K-17.6K0.5892.64N/AN/A9225372,9737,922
2018-06-13$44.92$45.0019.1%5.5%11.6%21.1%14.2%8.8%8.9%259.2K-765.3K-23.4K0.52133.59N/AN/A1,0425372,9967,922
2018-06-14$44.82$45.008.3%2.4%11.6%6.3%10.6%4.8%1.9%530.6K-181.3K-17.7K0.7472.08N/AN/A8966673,0087,923
2018-06-15$44.44$45.009.6%2.8%11.9%8.0%9.5%2.7%1.9%142.3K1.2M-17.2K0.7427.33N/AN/A9116752,9997,987
2018-06-18$44.10$45.008.8%2.5%12.1%6.9%9.7%2.0%1.3%112.2K-327.7K-16.7K0.6033.96N/AN/A8004821,8001,182
2018-06-19$43.67$44.009.7%2.8%12.2%8.2%10.1%3.8%1.3%81.6K467.8K-18.0K0.7327.32N/AN/A7935781,8911,311
2018-06-20$43.73$44.009.4%2.7%12.2%7.8%10.6%4.5%1.2%56.9K653.2K-18.5K0.7043.02N/AN/A7805451,9071,466
2018-06-21$43.41$44.009.8%2.8%12.1%8.3%9.5%2.8%1.7%22.5K843.0K-18.5K0.6718.73N/AN/A7745181,9511,482
2018-06-22$43.44$44.0011.1%3.2%12.1%10.1%9.8%4.6%0.5%67.9K448.9K-19.1K0.6815.37N/AN/A7655171,9411,491
2018-06-25$42.80$44.0012.2%3.5%12.9%11.5%11.4%5.6%0.3%70.6K-454.0K-19.0K0.5418.26N/AN/A7964301,9511,123
2018-06-26$42.85$44.0011.0%3.1%11.1%9.9%10.0%4.9%1.3%59.6K-727.1K-18.1K0.5011.98N/AN/A8684301,9321,063
2018-06-27$42.52$44.0011.5%3.3%10.0%10.6%10.9%4.6%0.6%45.1K-285.3K-17.4K0.5216.36N/AN/A8164241,8691,068
2018-06-28$42.56$44.0011.3%3.2%10.1%10.3%10.6%6.2%0.6%35.0K-283.6K-16.9K0.5213.52N/AN/A8154261,8391,071
2018-06-29$42.86$44.0020.6%5.9%10.1%23.2%14.9%17.3%-11.0%74.1K-689.8K-17.8K0.3150.28N/AN/A1,3804281,8401,066