VEA Options History — October 2018

In October 2018, VEA traded between $38.52 and $43.35. ATM implied volatility averaged 16.1%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.4% (HV 20d: 12.7%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.45.

Notable Days

  • 2018-10-05: Highest Volume — 1,102 contracts
  • 2018-10-11: Largest IV spike — 42.5% change
  • 2018-10-26: Highest IV Rank — 23.2%
  • 2018-10-26: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.80$38.52$43.35$43.35$39.60
Max Pain$41.65$40.00$43.00$43.00$40.00
ATM IV16.1%10.3%21.1%10.9%16.7%
Expected Move4.6%3.0%6.0%3.1%4.8%
HV 20d12.7%8.9%17.9%9.7%17.9%
HV 60d12.0%10.4%14.1%10.8%14.1%
IV Rank16.2%8.2%23.2%9.0%17.1%
IV Percentile88.8%60.7%98.0%67.9%91.7%
Term Structure-0.3%-2.5%4.8%0.7%-0.7%
VWIV17.4%11.0%27.1%11.7%20.4%
Skew 25d5.2%1.5%8.2%2.8%7.7%
Skew 10d11.1%1.2%19.4%4.7%19.4%
Call IV 25d13.7%9.5%19.2%9.5%12.8%
Put IV 25d18.9%11.7%27.4%12.3%20.5%
Bid-Ask Spread %25.3011.9472.2913.5716.35
Gamma HHI0.180.150.250.210.16
Net GEX123.6K-10.7K388.6K388.6K24.1K
Net DEX102.6K-2.5M1.4M-2.5M826.6K
Net VEX-11.8K-16.9K-7.4K-16.7K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.170.660.660.45
Total Volume914.0436861,1021,053925
Total OI3,568.7833,1223,9973,2423,467

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$43.35$43.0010.9%3.1%9.7%9.0%11.7%2.8%0.7%388.6K-2.5M-16.7K0.6613.57N/AN/A6334202,386856
2018-10-02$43.07$43.0010.7%3.1%9.2%8.7%11.4%2.3%1.2%285.5K-2.0M-16.9K0.5914.10N/AN/A6343722,586908
2018-10-03$42.98$43.0010.3%3.0%8.9%8.2%11.0%1.5%1.2%258.1K-1.9M-16.8K0.5611.94N/AN/A6373572,587921
2018-10-04$42.44$43.0014.3%3.9%10.0%13.8%15.8%4.3%0.0%164.1K-1.0M-16.4K0.6516.92N/AN/A5733722,592925
2018-10-05$42.19$43.0013.6%3.9%9.8%12.8%15.3%5.4%-0.5%150.5K-755.3K-15.2K0.4324.00N/AN/A7703322,627877
2018-10-08$42.04$43.0014.1%3.8%9.7%13.4%17.2%5.0%-0.5%161.6K-524.7K-14.8K0.4650.55N/AN/A7303362,830887
2018-10-09$41.92$43.0017.9%4.0%9.8%18.7%17.0%3.9%0.2%173.5K-395.8K-15.0K0.6523.57N/AN/A5423532,833892
2018-10-10$40.94$42.0013.3%3.8%12.6%12.3%18.2%4.5%4.8%136.2K356.2K-14.0K0.6054.47N/AN/A5633362,872920
2018-10-11$40.48$42.0018.9%5.4%12.7%20.2%20.2%6.6%-1.4%97.7K920.6K-12.7K0.5872.29N/AN/A6213582,881928
2018-10-12$40.55$42.0016.8%4.8%12.6%17.2%21.1%6.3%-1.0%102.6K972.5K-11.9K0.3460.23N/AN/A7482542,897942
2018-10-15$40.59$42.0015.0%4.3%12.6%14.7%16.1%5.0%-0.3%123.1K391.4K-11.6K0.3216.33N/AN/A7772473,129822
2018-10-16$41.22$41.0015.0%4.3%13.4%14.7%16.3%3.8%-0.2%261.2K-246.5K-12.4K0.6317.28N/AN/A6123873,167830
2018-10-17$40.92$41.0014.6%4.2%13.3%14.1%15.9%4.5%-0.2%147.6K47.7K-11.4K0.4116.64N/AN/A6122543,159826
2018-10-18$40.29$41.0017.1%4.9%12.9%17.6%17.2%4.8%-0.6%69.6K642.0K-10.5K0.4216.32N/AN/A6072533,159826
2018-10-19$40.52$41.0015.0%4.3%13.3%14.8%17.2%5.3%0.2%100.5K442.5K-10.7K0.3916.29N/AN/A6462533,168827
2018-10-22$40.37$41.0016.6%4.8%13.3%17.0%16.5%4.5%-0.0%93.2K303.6K-9.8K0.2716.71N/AN/A5681552,417705
2018-10-23$39.97$41.0016.7%4.8%13.1%17.1%15.5%5.5%-0.5%69.7K583.8K-9.0K0.1817.94N/AN/A5841042,420705
2018-10-24$39.06$40.0020.0%5.7%14.6%21.7%15.3%6.7%-1.7%29.2K1.1M-7.8K0.1723.91N/AN/A587992,417708
2018-10-25$39.29$40.0020.0%5.7%15.1%21.7%17.4%6.2%-1.9%26.0K1.1M-7.6K0.4121.70N/AN/A5692332,410725
2018-10-26$38.91$41.0021.1%6.0%15.2%23.2%20.0%7.6%-2.5%-1.4K1.4M-7.4K0.2617.96N/AN/A6131572,409822
2018-10-29$38.52$41.0020.9%6.0%15.0%22.9%27.1%8.2%-2.0%-10.7K1.4M-7.6K0.4828.55N/AN/A6263032,475883
2018-10-30$39.18$41.0020.6%5.9%17.0%22.6%25.4%7.5%-2.3%-7.3K1.2M-7.9K0.4614.35N/AN/A6242872,472987
2018-10-31$39.60$40.0016.7%4.8%17.9%17.1%20.4%7.7%-0.7%24.1K826.6K-8.3K0.4516.35N/AN/A6382872,487980