VEA Options History — January 2019

In January 2019, VEA traded between $36.81 and $39.91. ATM implied volatility averaged 14.7%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 3.1% (HV 20d: 17.8%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2019-01-04: Highest Volume — 6,541 contracts
  • 2019-01-30: Largest IV drop — 16.4% change
  • 2019-01-03: Highest IV Rank — 19.8%
  • 2019-01-03: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.72$36.81$39.91$36.97$39.83
Max Pain$37.62$37.00$40.00$37.00$40.00
ATM IV14.7%11.0%18.7%18.6%11.0%
Expected Move4.2%3.5%5.4%5.3%3.5%
HV 20d17.8%14.2%20.4%18.5%14.6%
HV 60d17.5%16.8%18.5%17.4%16.8%
IV Rank14.3%9.2%19.8%19.7%9.2%
IV Percentile65.3%38.5%88.5%88.1%38.5%
Term Structure0.5%-0.6%1.9%-0.0%1.9%
VWIV14.5%11.3%19.5%19.5%11.3%
Skew 25d4.6%3.4%5.8%4.5%4.2%
Skew 10d9.0%-1.6%13.9%8.9%10.4%
Call IV 25d12.5%8.8%16.3%16.1%10.8%
Put IV 25d17.1%14.0%22.1%20.6%15.0%
Bid-Ask Spread %81.9766.95107.3684.11107.36
Gamma HHI0.720.190.920.200.61
Net GEX2.4M54.4K3.7M59.9K3.4M
Net DEX-13.3M-24.9M158.5K36.7K-24.9M
Net VEX-30.3K-38.8K-5.9K-6.1K-29.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.000.940.460.25
Total Volume516.762126,541105192
Total OI7,918.192,0849,7952,0849,795

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$36.97$37.0018.6%5.3%18.5%19.7%19.5%4.5%-0.0%59.9K36.7K-6.1K0.4684.11N/AN/A72331,571513
2019-01-03$36.81$38.0018.7%5.4%17.0%19.8%17.4%5.8%-0.1%54.4K158.5K-5.9K0.2877.91N/AN/A116331,601534
2019-01-04$37.86$38.0016.8%4.8%20.4%17.2%15.0%5.1%0.3%124.0K-695.7K-6.7K0.0074.94N/AN/A6,510311,640535
2019-01-07$38.09$38.0016.5%4.7%20.3%16.9%17.7%4.5%0.6%2.0M-9.3M-36.3K0.9378.80N/AN/A46438,050536
2019-01-08$38.30$37.0016.1%4.7%20.4%16.3%16.6%4.7%0.5%2.1M-10.2M-36.8K0.3680.21N/AN/A129468,053537
2019-01-09$38.74$37.0015.0%4.3%20.3%14.8%16.9%5.4%0.3%2.3M-13.4M-38.8K0.2284.79N/AN/A200448,118540
2019-01-10$38.91$37.0015.1%4.3%20.4%14.9%14.3%4.7%0.7%2.4M-14.0M-38.7K0.1677.98N/AN/A272448,184540
2019-01-11$38.64$37.0014.1%4.0%19.7%13.4%13.4%5.3%0.5%2.5M-12.7M-37.4K0.1678.71N/AN/A273448,246540
2019-01-14$38.47$37.0015.8%4.5%19.7%15.8%14.0%3.4%0.9%2.5M-11.5M-34.3K0.2077.97N/AN/A1028,244522
2019-01-15$38.66$37.0014.4%4.1%19.0%13.9%14.7%4.4%0.4%2.6M-12.4M-34.6K0.0882.02N/AN/A3738,254529
2019-01-16$38.82$37.0013.4%3.8%18.3%12.5%13.5%4.0%1.2%2.8M-13.8M-34.6K0.0775.75N/AN/A4438,287530
2019-01-17$38.91$37.0012.7%3.6%18.3%11.6%12.9%4.4%1.1%3.0M-14.7M-34.2K0.1489.29N/AN/A3758,275530
2019-01-18$39.36$37.0012.9%3.7%18.0%11.8%13.2%4.4%0.9%2.7M-18.0M-33.1K0.2987.59N/AN/A170508,291529
2019-01-22$38.76$38.0014.0%4.0%19.0%13.3%14.1%4.5%0.2%2.9M-12.0M-31.4K0.5783.96N/AN/A77447,770305
2019-01-23$38.92$38.0014.3%4.1%17.5%13.8%14.5%3.4%0.3%2.9M-13.1M-30.8K0.9480.83N/AN/A54517,746308
2019-01-24$39.00$38.0013.4%3.8%15.1%12.5%13.3%3.7%0.5%3.2M-13.5M-30.4K0.0386.25N/AN/A1,617517,767315
2019-01-25$39.50$38.0013.3%3.8%14.2%12.4%12.9%4.1%0.7%3.6M-20.8M-37.2K0.8666.95N/AN/A76659,303315
2019-01-28$39.28$38.0014.7%4.2%14.5%14.4%14.9%4.2%-0.6%3.7M-18.1M-35.4K0.4379.53N/AN/A23109,317307
2019-01-29$39.47$38.0015.1%4.3%14.4%14.8%12.8%5.3%-0.6%3.6M-20.7M-33.9K0.4683.48N/AN/A67319,318302
2019-01-30$39.91$38.0012.6%3.6%14.6%11.4%12.2%5.8%0.4%3.1M-24.8M-30.4K0.1982.95N/AN/A165329,362323
2019-01-31$39.83$40.0011.0%3.5%14.6%9.2%11.3%4.2%1.9%3.4M-24.9M-29.6K0.25107.36N/AN/A153399,469326