VEA Options History — July 2018

In July 2018, VEA traded between $42.39 and $43.93. ATM implied volatility averaged 9.8%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 1.5% (HV 20d: 11.3%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2018-07-02: Highest Volume — 2,339 contracts
  • 2018-07-11: Largest IV spike — 104.3% change
  • 2018-07-02: Highest IV Rank — 14.6%
  • 2018-07-02: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.31$42.39$43.93$42.39$43.88
Max Pain$43.38$43.00$44.00$44.00$43.00
ATM IV9.8%5.1%14.4%14.4%7.8%
Expected Move2.9%2.1%4.1%4.1%2.2%
HV 20d11.3%9.5%12.7%10.3%9.5%
HV 60d10.4%9.7%10.7%10.0%10.6%
IV Rank8.2%1.8%14.6%14.6%5.6%
IV Percentile55.9%2.4%89.3%89.3%26.6%
Term Structure1.1%-0.5%1.9%-0.5%1.8%
VWIV12.7%7.6%15.9%12.0%8.8%
Skew 25d3.9%-0.4%6.4%6.4%0.3%
Skew 10d8.7%1.8%13.3%12.3%2.8%
Call IV 25d7.9%5.7%10.8%10.8%6.3%
Put IV 25d11.8%5.9%17.2%17.2%6.6%
Bid-Ask Spread %19.107.9369.6614.1264.08
Gamma HHI0.210.150.290.160.28
Net GEX202.3K28.9K418.4K118.8K401.5K
Net DEX-1.6M-2.9M-111.4K-330.1K-2.7M
Net VEX-17.7K-20.4K-15.8K-18.3K-15.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.691.900.691.25
Total Volume1,690.1431,1362,3392,3391,235
Total OI3,9223,4104,0433,4104,043

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$42.39$44.0014.4%4.1%10.3%14.6%12.0%6.4%-0.5%118.8K-330.1K-18.3K0.6914.12N/AN/A1,3889512,3441,066
2018-07-03$42.53$44.0011.5%3.3%10.5%10.7%11.8%5.4%0.6%28.9K-111.4K-20.4K0.8216.44N/AN/A1,1659512,3441,481
2018-07-05$42.81$44.0012.1%3.4%10.2%11.4%15.9%5.5%0.8%49.8K-418.0K-20.1K0.8216.43N/AN/A1,1589512,3591,481
2018-07-06$43.12$44.0011.0%3.3%10.7%9.9%14.1%4.7%1.0%74.2K-918.6K-19.4K0.9417.95N/AN/A1,0129512,3691,482
2018-07-09$43.49$44.0011.4%3.3%11.3%10.5%13.7%5.6%0.3%182.1K-1.6M-19.8K0.9313.19N/AN/A1,0129432,4861,482
2018-07-10$43.52$44.005.1%2.7%11.0%1.8%14.4%5.0%0.8%176.8K-1.7M-19.1K1.0012.68N/AN/A9509492,4861,482
2018-07-11$42.77$44.0010.4%3.0%12.2%9.1%14.7%4.4%1.0%75.1K-555.1K-18.2K0.9913.49N/AN/A9659592,5181,404
2018-07-12$43.10$44.0010.5%3.0%12.6%9.3%14.8%3.6%1.8%113.4K-1.1M-18.0K0.9915.07N/AN/A9789682,5191,399
2018-07-13$43.21$43.0010.3%2.9%12.7%8.9%14.6%3.6%1.8%144.7K-1.3M-18.1K1.019.86N/AN/A9789872,5371,399
2018-07-16$43.28$43.0010.6%3.1%12.5%9.4%14.7%4.5%1.3%149.9K-1.6M-18.2K1.0414.50N/AN/A9499872,5371,392
2018-07-17$43.33$43.0010.4%3.0%12.3%9.1%14.6%3.5%1.5%176.1K-1.7M-17.4K1.0215.12N/AN/A9639872,5391,393
2018-07-18$43.31$43.0010.6%3.0%11.8%9.3%14.9%3.9%0.8%171.9K-1.6M-17.5K1.0114.34N/AN/A9769872,5361,393
2018-07-19$43.14$43.0010.1%2.9%11.9%8.7%14.5%4.8%1.0%67.5K-1.1M-15.9K1.9015.79N/AN/A5189832,5211,393
2018-07-20$43.43$43.009.9%2.8%11.9%8.4%13.7%4.4%1.2%263.0K-1.9M-17.0K1.6810.65N/AN/A5118612,5451,393
2018-07-23$43.33$43.0010.5%3.0%11.9%9.3%14.0%4.6%0.1%193.8K-1.6M-16.0K1.8510.65N/AN/A4428172,4421,529
2018-07-24$43.58$43.007.6%2.2%10.7%5.3%10.7%4.3%1.6%303.7K-2.3M-17.3K1.7811.66N/AN/A4578132,4421,533
2018-07-25$43.93$43.007.9%2.3%11.0%5.6%10.7%4.6%1.5%375.2K-2.8M-16.1K1.6623.21N/AN/A4958242,4591,539
2018-07-26$43.74$43.007.2%2.1%10.7%4.7%7.6%3.3%1.9%378.1K-2.7M-16.6K1.5914.33N/AN/A4527182,4861,542
2018-07-27$43.87$43.007.6%2.2%10.7%5.3%8.3%0.1%1.7%418.4K-2.7M-16.0K1.5869.66N/AN/A4527142,4851,550
2018-07-30$43.82$43.008.2%2.3%10.6%6.0%9.0%-0.4%1.6%384.5K-2.9M-16.9K1.547.93N/AN/A4476892,4811,551
2018-07-31$43.88$43.007.8%2.2%9.5%5.6%8.8%0.3%1.8%401.5K-2.7M-15.8K1.2564.08N/AN/A5486872,4811,562