VEA Options History — February 2019 In February 2019, VEA traded between $39.33 and $41.16. ATM implied volatility averaged 11.2%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 0.3% (HV 20d: 11.5%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.72.
Notable Days 2019-02-26 : Highest Volume — 554 contracts2019-02-08 : Largest IV spike — 16.8% change2019-02-08 : Highest IV Rank — 25.2%2019-02-08 : Largest Expected Move — 3.9%Monthly Statistics Metric Avg Min Max Open Close Price $40.27 $39.33 $41.16 $39.82 $40.84 Max Pain $39.84 $39.00 $40.00 $40.00 $40.00 ATM IV 11.2% 10.2% 13.5% 11.0% 10.8% Expected Move 3.3% 2.9% 3.9% 3.4% 3.1% HV 20d 11.5% 9.7% 14.3% 14.3% 9.7% HV 60d 16.3% 15.6% 16.8% 16.8% 15.6% IV Rank 17.4% 8.3% 25.2% 9.1% 17.6% IV Percentile 40.1% 28.2% 56.3% 38.5% 38.5% Term Structure 1.1% -0.0% 2.0% 1.5% 0.3% VWIV 12.0% 10.9% 14.9% 12.0% 12.7% Skew 25d 4.2% 2.4% 6.7% 3.9% 4.9% Skew 10d 4.8% -0.1% 9.5% 4.7% 4.8% Call IV 25d 9.2% 7.3% 11.5% 10.5% 8.0% Put IV 25d 13.4% 12.2% 15.2% 14.4% 12.8% Bid-Ask Spread % 83.80 64.07 113.97 105.63 74.88 Gamma HHI 0.54 0.40 0.75 0.61 0.57 Net GEX 2.4M 840.2K 6.1M 3.6M 907.5K Net DEX -18.3M -31.6M -6.4M -24.7M -6.8M Net VEX -17.2K -29.8K -10.3K -29.8K -10.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.00 3.20 0.44 0.22 Total Volume 213.526 13 554 135 141 Total OI 7,418.579 3,503 10,359 9,861 3,507
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-02-01 $39.82 $40.00 11.0% 3.4% 14.3% 9.1% 12.0% 3.9% 1.5% 3.6M -24.7M -29.8K 0.44 105.63 N/A N/A 94 41 9,539 322 2019-02-04 $39.97 $40.00 10.4% 3.4% 11.1% 8.3% 12.0% 2.7% 1.1% 3.4M -26.4M -26.0K 0.00 104.15 N/A N/A 309 1 9,540 324 2019-02-05 $40.28 $40.00 10.6% 3.2% 11.2% 8.5% 12.0% 4.3% 1.2% 2.6M -30.1M -20.9K 0.01 102.60 N/A N/A 297 3 9,831 325 2019-02-06 $40.07 $40.00 11.7% 3.3% 11.5% 20.0% 11.6% 3.8% 1.1% 3.2M -28.1M -23.0K 0.02 113.97 N/A N/A 65 1 9,831 327 2019-02-07 $39.58 $40.00 11.6% 3.3% 12.1% 19.8% 11.7% 3.4% 1.5% 4.4M -22.5M -26.5K 0.89 78.98 N/A N/A 231 205 9,835 524 2019-02-08 $39.34 $40.00 13.5% 3.9% 12.2% 25.2% 13.2% 5.8% 1.1% 5.0M -19.8M -25.6K 3.20 83.06 N/A N/A 64 205 9,747 529 2019-02-11 $39.33 $40.00 13.0% 3.7% 11.9% 23.7% 14.9% 3.1% 0.7% 6.1M -20.5M -21.6K 0.18 78.55 N/A N/A 11 2 9,737 529 2019-02-12 $39.82 $40.00 11.2% 3.2% 12.4% 18.7% 12.2% 3.7% 1.6% 3.4M -27.6M -16.8K 0.42 87.19 N/A N/A 24 10 9,738 531 2019-02-13 $39.90 $40.00 11.4% 3.3% 12.4% 19.3% 11.4% 3.1% 1.9% 2.6M -29.0M -15.1K 0.11 84.06 N/A N/A 102 11 9,738 531 2019-02-14 $39.94 $40.00 11.6% 3.3% 12.3% 19.9% 11.4% 2.4% 2.0% 1.6M -29.7M -13.7K 0.12 82.56 N/A N/A 98 12 9,746 532 2019-02-15 $40.39 $40.00 11.9% 3.4% 12.8% 20.6% 10.9% 4.0% 1.6% 1.1M -31.6M -13.5K 1.27 83.08 N/A N/A 132 167 9,760 532 2019-02-19 $40.61 $39.00 10.5% 3.0% 12.4% 16.8% 12.1% 4.5% 0.4% 1.1M -6.5M -12.6K 1.03 74.09 N/A N/A 33 34 3,106 397 2019-02-20 $40.77 $39.00 10.2% 2.9% 10.7% 15.9% 11.7% 5.1% 0.6% 1.0M -7.1M -12.2K 1.15 77.98 N/A N/A 39 45 3,139 429 2019-02-21 $40.62 $39.00 10.3% 2.9% 10.9% 16.1% 12.0% 4.4% 1.2% 1.1M -6.4M -12.9K 1.42 71.03 N/A N/A 83 118 3,146 445 2019-02-22 $40.82 $40.00 10.4% 3.0% 10.9% 16.5% 11.7% 4.6% 1.1% 1.1M -7.1M -12.5K 2.69 80.59 N/A N/A 45 121 3,191 504 2019-02-25 $40.92 $40.00 10.5% 3.0% 10.2% 16.9% 12.3% 6.7% 0.2% 1.0M -7.8M -11.1K 0.35 77.62 N/A N/A 156 55 3,194 507 2019-02-26 $41.16 $40.00 11.5% 3.3% 9.9% 19.5% 11.4% 5.5% -0.0% 972.6K -8.1M -11.6K 0.05 68.11 N/A N/A 527 27 3,283 551 2019-02-27 $40.98 $40.00 10.9% 3.1% 10.1% 18.0% 10.9% 4.4% 0.8% 840.2K -7.1M -10.3K 0.05 64.07 N/A N/A 521 27 2,950 556 2019-02-28 $40.84 $40.00 10.8% 3.1% 9.7% 17.6% 12.7% 4.9% 0.3% 907.5K -6.8M -10.3K 0.22 74.88 N/A N/A 116 25 2,951 556
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