VEA Options History — August 2018

In August 2018, VEA traded between $41.86 and $43.78. ATM implied volatility averaged 9.9%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.8% (HV 20d: 10.7%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.15.

Notable Days

  • 2018-08-24: Highest Volume — 1,308 contracts
  • 2018-08-09: Largest IV spike — 58.3% change
  • 2018-08-14: Highest IV Rank — 15.4%
  • 2018-08-13: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.04$41.86$43.78$43.73$43.09
Max Pain$43.00$43.00$43.00$43.00$43.00
ATM IV9.9%4.4%15.5%7.4%11.4%
Expected Move2.9%2.1%3.6%2.1%3.3%
HV 20d10.7%6.6%13.2%9.7%13.2%
HV 60d11.1%10.6%11.7%10.7%11.2%
IV Rank7.5%0.0%15.4%3.6%9.7%
IV Percentile55.9%0.0%94.0%17.1%76.2%
Term Structure1.2%-0.4%9.7%3.7%-0.4%
VWIV12.9%9.4%16.0%9.5%12.5%
Skew 25d3.9%2.5%5.5%3.1%3.5%
Skew 10d7.7%1.9%11.4%3.5%1.9%
Call IV 25d8.2%5.6%10.8%6.5%9.4%
Put IV 25d12.1%9.7%15.1%9.7%12.8%
Bid-Ask Spread %28.1611.1283.7983.7917.88
Gamma HHI0.220.160.470.200.18
Net GEX161.6K-219.5K406.1K392.7K190.6K
Net DEX-1.4M-2.8M633.0K-2.5M-1.7M
Net VEX-13.6K-19.8K-10.7K-19.8K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.901.311.260.94
Total Volume1,220.7391,0221,3081,2371,142
Total OI3,982.7393,4454,3034,1513,805

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$43.73$43.007.4%2.1%9.7%3.6%9.5%3.1%3.7%392.7K-2.5M-19.8K1.2683.79N/AN/A5486892,5821,569
2018-08-02$43.38$43.0010.3%3.0%10.0%7.8%14.4%4.3%0.8%251.0K-1.8M-15.7K1.2315.32N/AN/A5506762,5821,573
2018-08-03$43.44$43.009.4%2.7%9.7%6.5%13.7%3.0%1.2%303.4K-2.1M-15.9K1.2312.94N/AN/A5606872,5791,572
2018-08-06$43.26$43.009.0%3.0%9.4%5.9%13.9%3.7%1.9%230.4K-1.6M-14.0K1.2115.81N/AN/A5786992,5791,581
2018-08-07$43.50$43.009.8%2.9%9.6%7.1%9.5%3.4%0.8%359.0K-2.4M-15.1K1.1811.66N/AN/A5816852,6091,583
2018-08-08$43.56$43.004.4%2.4%7.0%0.0%9.4%3.3%1.5%406.1K-2.4M-14.8K1.1611.77N/AN/A5826782,6151,583
2018-08-09$43.47$43.007.0%2.9%6.6%3.6%9.7%3.3%0.4%337.9K-2.1M-13.5K1.1972.93N/AN/A5826952,6151,583
2018-08-10$42.62$43.0010.8%3.0%9.7%8.8%14.9%4.1%0.6%16.7K-729.2K-14.4K1.0541.69N/AN/A6096412,6151,603
2018-08-13$42.39$43.0013.7%3.6%9.8%12.9%16.0%4.6%0.0%-37.0K-369.7K-13.0K1.0645.57N/AN/A6096452,6791,623
2018-08-14$42.46$43.0015.5%3.5%9.8%15.4%15.2%4.5%-0.1%14.7K-582.2K-13.6K1.1327.27N/AN/A6106902,6791,624
2018-08-15$41.86$43.0012.1%3.5%10.9%10.7%15.2%4.1%0.2%-219.5K633.0K-13.0K1.1955.23N/AN/A5866972,6351,634
2018-08-16$42.09$43.0011.2%3.2%11.1%9.4%14.9%3.3%0.7%-70.3K23.6K-11.6K1.1911.86N/AN/A5886972,6401,640
2018-08-17$42.42$43.0011.8%3.4%11.2%10.3%14.8%5.5%0.6%91.2K-432.6K-11.7K1.1916.92N/AN/A5786892,6451,640
2018-08-20$42.60$43.008.9%2.6%11.4%6.2%15.4%4.4%9.7%79.7K-581.6K-10.7K0.9054.87N/AN/A5384842,485960
2018-08-21$42.89$43.009.4%2.7%11.5%7.0%11.5%4.7%1.0%98.1K-1.2M-11.4K1.2015.59N/AN/A4975972,486960
2018-08-22$43.07$43.0010.4%3.0%11.2%8.3%12.6%2.5%0.5%134.6K-1.4M-12.0K1.2032.31N/AN/A5016022,5121,074
2018-08-23$42.72$43.009.3%2.7%11.4%6.8%11.3%5.2%0.6%94.7K-969.6K-11.5K1.3116.90N/AN/A5066652,5391,083
2018-08-24$43.02$43.009.4%2.7%11.7%6.9%9.7%5.2%1.1%135.9K-1.4M-12.6K1.3111.12N/AN/A5657432,5431,144
2018-08-27$43.63$43.008.5%2.4%12.8%5.6%14.9%3.7%1.1%187.2K-2.3M-13.7K1.2119.17N/AN/A5726922,6281,142
2018-08-28$43.57$43.008.1%2.3%12.8%5.2%14.8%4.0%1.3%169.9K-2.2M-13.1K1.1920.66N/AN/A5806922,6501,132
2018-08-29$43.78$43.008.9%2.6%12.9%6.2%11.6%3.9%0.8%327.9K-2.8M-13.5K0.9615.52N/AN/A5785572,6561,132
2018-08-30$43.35$43.0011.2%3.2%13.1%9.4%11.6%3.1%-0.2%222.0K-2.2M-13.4K0.9720.85N/AN/A5785592,6791,131
2018-08-31$43.09$43.0011.4%3.3%13.2%9.7%12.5%3.5%-0.4%190.6K-1.7M-13.8K0.9417.88N/AN/A5885542,6791,126