VEA Options History — September 2018

In September 2018, VEA traded between $41.88 and $43.85. ATM implied volatility averaged 11.0%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 0.7% (HV 20d: 11.7%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.93.

Notable Days

  • 2018-09-25: Highest Volume — 1,369 contracts
  • 2018-09-28: Largest IV spike — 27.3% change
  • 2018-09-06: Highest IV Rank — 12.8%
  • 2018-09-05: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.95$41.88$43.85$42.64$43.23
Max Pain$43.11$43.00$44.00$43.00$43.00
ATM IV11.0%8.6%13.6%11.6%11.7%
Expected Move3.1%2.5%3.8%3.3%3.3%
HV 20d11.7%9.9%13.8%13.7%9.9%
HV 60d11.2%10.8%11.5%11.4%10.9%
IV Rank9.1%5.8%12.8%10.0%10.1%
IV Percentile66.2%37.7%84.1%77.8%75.8%
Term Structure0.3%-0.8%1.2%-0.5%0.4%
VWIV11.5%8.2%14.1%12.2%11.1%
Skew 25d3.4%2.0%5.3%5.3%3.8%
Skew 10d7.0%1.1%12.0%8.1%8.6%
Call IV 25d9.8%7.0%11.2%9.6%9.7%
Put IV 25d13.2%11.1%15.7%14.8%13.5%
Bid-Ask Spread %28.5512.2870.5725.1617.42
Gamma HHI0.210.160.280.190.20
Net GEX209.9K107.4K452.8K131.4K356.7K
Net DEX-1.8M-3.3M-41.4K-1.2M-2.3M
Net VEX-12.9K-18.1K-11.0K-12.9K-16.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.451.280.940.75
Total Volume1,114.5269351,3691,143935
Total OI3,685.5262,3824,3063,8063,233

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$42.64$43.0011.6%3.3%13.7%10.0%12.2%5.3%-0.5%131.4K-1.2M-12.9K0.9425.16N/AN/A5885552,6811,125
2018-09-05$42.36$43.0013.4%3.8%13.6%12.5%11.6%3.1%-0.3%122.7K-806.4K-12.0K1.0715.63N/AN/A5235612,6881,126
2018-09-06$42.20$44.0013.6%3.7%13.6%12.8%14.1%4.5%0.2%107.4K-464.8K-12.2K1.1027.23N/AN/A5245752,6931,132
2018-09-07$41.88$44.0012.1%3.5%13.8%10.7%13.0%4.2%0.2%111.4K-41.4K-12.1K1.1324.34N/AN/A5466172,7001,147
2018-09-10$42.11$43.0012.7%3.5%12.2%11.5%12.0%4.0%0.1%120.8K-470.4K-11.7K1.1670.57N/AN/A5316172,7261,175
2018-09-11$42.14$43.0012.2%3.5%12.1%10.8%12.6%3.9%-0.0%135.9K-560.8K-11.3K1.2818.63N/AN/A4415642,7221,176
2018-09-12$42.36$43.0012.5%3.6%12.2%11.3%12.9%4.9%-0.4%120.6K-740.0K-11.4K1.1826.63N/AN/A4885762,7321,192
2018-09-13$42.62$43.0010.4%3.0%11.2%8.3%12.1%3.1%0.7%136.0K-1.3M-11.7K1.0844.23N/AN/A5135532,7921,225
2018-09-14$42.74$43.009.8%2.8%11.1%7.5%10.7%3.0%1.0%124.0K-1.5M-11.0K0.9521.43N/AN/A5765492,8101,225
2018-09-17$42.74$43.0010.3%2.9%10.8%8.1%11.2%2.9%1.1%145.9K-1.5M-11.6K0.8922.61N/AN/A5795132,8481,243
2018-09-18$43.21$43.0010.8%3.1%11.4%8.9%12.3%2.8%-0.8%151.7K-2.6M-11.5K1.1149.91N/AN/A4815362,8481,241
2018-09-19$43.36$43.0010.9%3.1%11.2%9.1%10.7%3.4%-0.2%127.4K-2.6M-11.4K1.1017.27N/AN/A4845332,8571,251
2018-09-20$43.84$43.008.6%2.5%11.7%5.8%8.2%4.2%0.8%207.4K-3.3M-11.7K0.8453.36N/AN/A6265272,8791,254
2018-09-21$43.83$43.009.8%2.8%11.3%7.5%10.0%2.8%0.1%228.0K-3.3M-13.1K0.6530.20N/AN/A8005213,0471,259
2018-09-24$43.65$43.009.8%2.8%11.2%7.5%10.3%2.4%0.8%373.8K-2.8M-13.7K0.4517.88N/AN/A6683011,914468
2018-09-25$43.85$43.009.5%2.7%10.2%7.0%11.0%2.5%0.7%452.8K-3.1M-14.2K0.5327.93N/AN/A8934761,983614
2018-09-26$43.78$43.009.5%2.7%10.2%7.0%11.5%2.2%1.0%438.5K-2.9M-18.1K0.6619.74N/AN/A7584992,176820
2018-09-27$43.57$43.009.2%2.6%10.2%6.6%11.1%2.0%1.2%396.3K-2.7M-16.2K0.7712.28N/AN/A6504992,179844
2018-09-28$43.23$43.0011.7%3.3%9.9%10.1%11.1%3.8%0.4%356.7K-2.3M-16.9K0.7517.42N/AN/A5354002,389844