VEA Options History — November 2018

In November 2018, VEA traded between $38.81 and $40.81. ATM implied volatility averaged 16.3%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.6% (HV 20d: 16.9%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2018-11-12: Highest Volume — 1,324 contracts
  • 2018-11-07: Largest IV drop — 30.6% change
  • 2018-11-27: Highest IV Rank — 19.5%
  • 2018-11-27: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.82$38.81$40.81$40.03$39.75
Max Pain$40.62$40.00$41.00$40.00$40.00
ATM IV16.3%11.7%18.4%16.2%16.7%
Expected Move4.7%3.9%5.3%4.6%4.8%
HV 20d16.9%14.8%18.5%18.3%14.8%
HV 60d14.2%13.8%14.7%14.3%14.7%
IV Rank16.5%10.2%19.5%16.4%17.1%
IV Percentile87.7%66.3%94.0%89.7%88.1%
Term Structure-1.0%-2.1%0.8%0.4%-1.6%
VWIV18.8%15.8%21.5%15.8%18.7%
Skew 25d5.0%2.3%6.3%5.2%4.5%
Skew 10d11.5%4.9%16.8%8.4%4.9%
Call IV 25d14.3%10.7%17.1%14.3%15.3%
Put IV 25d19.3%15.4%22.0%19.5%19.9%
Bid-Ask Spread %59.8321.18109.5867.58101.89
Gamma HHI0.250.170.360.170.29
Net GEX106.7K19.4K205.2K63.6K167.1K
Net DEX239.6K-655.8K829.8K371.5K-95.7K
Net VEX-8.4K-10.7K-7.2K-9.2K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.390.830.460.44
Total Volume969.3817711,324910850
Total OI3,495.3813,0433,7783,4863,487

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$40.03$40.0016.2%4.6%18.3%16.4%15.8%5.2%0.4%63.6K371.5K-9.2K0.4667.58N/AN/A6242862,511975
2018-11-02$40.17$40.0016.6%4.8%18.4%17.0%18.2%5.4%0.2%85.0K271.1K-9.5K0.4446.76N/AN/A6722952,554974
2018-11-05$40.19$41.0017.2%4.7%18.5%17.8%19.6%6.1%-0.7%84.5K222.8K-9.0K0.5821.18N/AN/A6683892,578980
2018-11-06$40.25$41.0016.9%4.7%18.5%17.4%19.2%5.3%-0.7%91.8K126.2K-9.1K0.5848.60N/AN/A6593852,594970
2018-11-07$40.81$41.0011.7%3.9%17.4%10.2%17.4%5.8%0.6%176.5K-655.8K-10.7K0.5873.69N/AN/A6493752,601977
2018-11-08$40.42$41.0013.2%4.1%17.3%12.2%18.3%2.3%0.8%156.1K-213.5K-9.4K0.5897.49N/AN/A6653842,613968
2018-11-09$40.17$41.0014.9%4.3%17.4%14.6%17.2%5.0%-0.4%93.1K262.6K-8.4K0.5747.96N/AN/A6753872,630969
2018-11-12$39.53$41.0015.3%4.6%18.3%15.1%15.8%5.2%-1.5%19.4K809.0K-7.2K0.4138.86N/AN/A9423822,630973
2018-11-13$39.63$41.0015.8%4.5%17.2%15.8%16.2%6.0%-1.0%60.4K591.2K-7.9K0.3993.06N/AN/A9473732,801977
2018-11-14$39.78$41.0016.7%4.8%17.2%17.1%20.1%5.9%-1.1%77.0K408.4K-8.3K0.6049.57N/AN/A6513912,795979
2018-11-15$39.79$41.0016.9%4.9%16.4%17.4%21.2%6.3%-1.4%88.8K125.9K-8.2K0.6258.42N/AN/A6534052,800927
2018-11-16$39.87$41.0015.7%4.5%16.3%15.7%19.7%5.1%-0.9%142.6K76.7K-8.0K0.6837.85N/AN/A6584502,814941
2018-11-19$39.46$41.0017.9%5.1%16.6%18.8%20.3%5.1%-2.0%119.8K324.3K-7.4K0.8349.19N/AN/A4824002,338705
2018-11-20$38.81$41.0018.2%5.2%17.2%19.2%21.5%4.9%-1.1%41.6K829.8K-7.3K0.6133.14N/AN/A4782932,335823
2018-11-21$39.34$41.0017.1%4.9%16.0%17.7%18.3%4.8%-1.1%66.0K643.8K-7.6K0.4935.65N/AN/A5642752,352875
2018-11-23$39.09$40.0017.8%5.1%16.0%18.6%20.4%6.2%-2.1%75.9K683.1K-7.5K0.5173.61N/AN/A5282692,447873
2018-11-26$39.61$40.0016.2%4.7%16.3%16.5%20.4%4.3%-1.4%125.9K351.3K-8.0K0.4846.22N/AN/A5402612,474888
2018-11-27$39.49$40.0018.4%5.3%15.9%19.5%19.7%4.2%-2.0%113.4K402.9K-8.1K0.4657.17N/AN/A5462522,500900
2018-11-28$40.05$40.0016.5%4.7%15.5%16.8%19.2%4.6%-2.0%186.9K-254.4K-8.8K0.4669.07N/AN/A5572542,511902
2018-11-29$39.99$40.0016.3%4.7%15.1%16.5%18.7%3.7%-1.3%205.2K-249.0K-8.9K0.44109.58N/AN/A5842592,560902
2018-11-30$39.75$40.0016.7%4.8%14.8%17.1%18.7%4.5%-1.6%167.1K-95.7K-8.6K0.44101.89N/AN/A5912592,591896