VEA Options History — December 2018

In December 2018, VEA traded between $35.93 and $40.25. ATM implied volatility averaged 19.4%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.8% (HV 20d: 17.6%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2018-12-12: Highest Volume — 633 contracts
  • 2018-12-04: Largest IV spike — 33.6% change
  • 2018-12-24: Highest IV Rank — 26.0%
  • 2018-12-24: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.95$35.93$40.25$40.25$37.10
Max Pain$37.55$37.00$40.00$40.00$37.00
ATM IV19.4%14.5%23.1%14.5%18.9%
Expected Move5.3%4.2%6.6%4.2%5.4%
HV 20d17.6%15.4%19.7%15.4%19.4%
HV 60d16.1%14.9%17.5%14.9%17.4%
IV Rank20.9%14.0%26.0%14.0%20.2%
IV Percentile92.0%75.4%98.8%75.4%88.9%
Term Structure-0.6%-4.5%1.2%-0.7%-0.6%
VWIV18.9%14.4%23.1%14.5%20.7%
Skew 25d5.5%3.9%6.6%4.8%5.3%
Skew 10d10.7%1.5%17.4%11.5%11.0%
Call IV 25d16.5%12.4%20.7%12.4%15.4%
Put IV 25d22.0%17.2%26.8%17.2%20.7%
Bid-Ask Spread %97.2976.68115.82110.4087.81
Gamma HHI0.220.150.410.410.20
Net GEX31.5K-51.1K290.8K290.8K69.2K
Net DEX1.1M-624.2K3.3M-624.2K-132.0K
Net VEX-6.5K-8.2K-5.4K-8.2K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.069.229.220.20
Total Volume300.9596339259
Total OI3,587.61,9084,9443,5092,093

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$40.25$40.0014.5%4.2%15.4%14.0%14.5%4.8%-0.7%290.8K-624.2K-8.2K9.22110.40N/AN/A9832,614895
2018-12-04$39.32$40.0019.4%5.6%17.5%20.8%16.4%5.6%-3.2%95.6K546.3K-7.7K1.3896.49N/AN/A65902,612978
2018-12-05$39.24$40.0020.9%6.0%17.5%23.0%17.7%6.0%-4.5%89.8K577.6K-7.4K1.3899.36N/AN/A65902,612978
2018-12-06$38.86$39.0020.6%5.0%16.8%22.5%23.1%5.8%-0.7%25.5K1.2M-6.5K0.3994.64N/AN/A71282,665985
2018-12-07$38.69$37.0021.2%4.7%16.6%23.4%20.9%5.4%1.2%30.8K1.0M-7.0K0.74113.24N/AN/A1361002,706996
2018-12-10$38.22$37.0023.0%5.4%16.9%25.9%21.1%6.6%-0.1%-51.1K1.7M-5.8K0.1892.69N/AN/A119212,7311,050
2018-12-11$38.23$37.0021.2%5.1%16.2%23.3%17.9%6.2%0.1%-46.3K1.6M-5.4K0.3395.91N/AN/A215712,7501,063
2018-12-12$38.86$37.0016.5%4.7%17.3%16.8%14.7%5.6%0.4%2.0K992.8K-6.6K0.06101.61N/AN/A600332,8451,104
2018-12-13$38.77$37.0016.1%4.6%17.2%16.2%14.4%5.3%0.9%31.9K863.5K-7.5K0.1192.84N/AN/A503553,1371,103
2018-12-14$38.20$37.0017.1%4.9%17.9%17.7%14.5%5.2%0.6%3.1K1.4M-7.0K0.11101.75N/AN/A538583,3121,125
2018-12-17$37.69$37.0018.2%5.2%18.3%19.2%20.2%6.5%0.7%-46.4K1.9M-6.4K0.4397.13N/AN/A127553,3371,119
2018-12-18$37.91$37.0018.6%5.3%18.3%19.7%19.8%3.9%0.2%16.3K1.6M-6.8K0.7796.93N/AN/A1581213,4341,154
2018-12-19$37.50$37.0019.1%5.5%17.8%20.4%18.8%5.2%-1.0%-7.0K2.0M-6.1K0.66112.02N/AN/A1641093,4641,146
2018-12-20$37.34$37.0019.8%5.7%16.8%21.4%19.5%5.9%-0.3%-30.1K2.4M-5.7K0.56115.82N/AN/A3782123,5511,180
2018-12-21$36.69$37.0019.6%5.6%17.6%21.1%20.4%5.2%-0.4%22.1K3.3M-5.5K1.66104.26N/AN/A1913183,6301,314
2018-12-24$35.93$37.0023.1%6.6%17.6%26.0%21.5%6.1%-3.5%13.7K679.5K-5.5K0.6189.36N/AN/A2711651,380528
2018-12-26$36.67$37.0020.7%5.9%19.7%22.7%19.8%5.5%-1.2%21.5K494.6K-5.8K0.2976.68N/AN/A137401,389544
2018-12-27$36.62$37.0020.4%5.8%18.6%22.2%21.5%5.2%-0.8%36.2K318.0K-6.4K0.6478.91N/AN/A1771131,503527
2018-12-28$36.95$37.0019.3%5.5%19.2%20.8%20.2%4.5%0.2%61.4K2.4K-7.1K0.7487.97N/AN/A1571161,597601
2018-12-31$37.10$37.0018.9%5.4%19.4%20.2%20.7%5.3%-0.6%69.2K-132.0K-6.5K0.2087.81N/AN/A49101,586507