VEA Options History — March 2019

In March 2019, VEA traded between $40.18 and $41.53. ATM implied volatility averaged 10.8%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.2% (HV 20d: 9.7%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2019-03-15: Highest Volume — 2,498 contracts
  • 2019-03-21: Largest IV spike — 52.8% change
  • 2019-03-27: Highest IV Rank — 22.8%
  • 2019-03-26: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.92$40.18$41.53$41.01$40.82
Max Pain$39.63$37.00$41.00$40.00$41.00
ATM IV10.8%7.8%12.7%10.1%12.0%
Expected Move3.3%2.8%3.6%2.9%3.4%
HV 20d9.7%8.5%10.7%9.6%10.5%
HV 60d13.5%11.8%15.4%15.4%11.9%
IV Rank17.8%9.2%22.8%15.8%20.9%
IV Percentile39.6%4.0%59.5%28.2%55.6%
Term Structure1.0%-0.5%2.3%1.2%-0.0%
VWIV11.6%8.5%15.2%9.9%12.0%
Skew 25d4.3%0.4%7.0%0.4%6.6%
Skew 10d7.1%2.6%12.1%2.6%8.8%
Call IV 25d9.5%7.2%12.5%7.2%8.0%
Put IV 25d13.8%7.6%17.1%7.6%14.7%
Bid-Ask Spread %77.3462.7899.4568.7380.47
Gamma HHI0.660.460.790.550.69
Net GEX942.4K658.8K1.7M885.2K885.6K
Net DEX-7.2M-14.3M-4.7M-7.3M-6.4M
Net VEX-19.3K-30.8K-6.7K-9.6K-30.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.021.150.120.08
Total Volume447.524242,498227330
Total OI3,888.813,3686,0623,5094,228

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$41.01$40.0010.1%2.9%9.6%15.8%9.9%0.4%1.2%885.2K-7.3M-9.6K0.1268.73N/AN/A202252,951558
2019-03-04$40.91$40.0010.8%3.1%9.7%17.7%10.0%4.8%1.3%1.0M-7.2M-9.7K0.2064.64N/AN/A2043,027563
2019-03-05$40.98$40.0010.1%2.9%9.7%15.7%9.8%3.9%2.3%907.0K-7.6M-9.4K0.1164.16N/AN/A3543,024567
2019-03-06$40.83$40.009.9%2.8%9.5%15.2%9.0%3.7%1.3%1.0M-7.5M-9.0K0.3967.87N/AN/A127503,033567
2019-03-07$40.31$40.009.9%2.8%10.5%15.2%8.5%5.5%0.4%1.5M-5.7M-10.3K0.6471.67N/AN/A87563,061574
2019-03-08$40.18$40.0012.6%3.6%9.5%22.6%12.7%4.5%1.8%1.7M-4.7M-10.1K0.7574.71N/AN/A87653,058585
2019-03-11$40.58$37.009.0%3.6%9.6%12.5%15.2%5.4%1.9%1.2M-7.3M-7.7K0.0062.78N/AN/A0243,058597
2019-03-12$40.66$37.0010.6%3.5%9.6%17.0%12.3%5.7%1.7%1.1M-7.6M-7.3K0.9069.98N/AN/A20183,058606
2019-03-13$40.94$37.0010.3%3.6%9.0%16.2%13.4%3.6%2.3%699.2K-8.4M-6.9K0.5968.83N/AN/A34203,058622
2019-03-14$40.89$37.0010.3%3.5%9.0%16.4%12.1%3.3%1.8%658.8K-8.3M-6.7K0.0268.40N/AN/A2,389543,056621
2019-03-15$41.25$37.0010.3%3.5%9.4%16.3%12.0%2.6%1.7%916.0K-14.3M-26.6K0.0378.66N/AN/A2,434645,419643
2019-03-18$41.44$0.0010.9%3.2%8.8%17.9%0.0%3.0%0.3%750.4K-6.8M-26.5K1.1599.45N/AN/A27313,116252
2019-03-19$41.44$0.0011.1%3.4%8.7%18.4%11.7%3.7%0.8%746.2K-6.8M-27.0K0.1294.77N/AN/A413493,139282
2019-03-20$41.53$41.007.8%3.0%8.6%9.2%11.5%3.9%1.5%717.2K-7.5M-29.4K0.3097.19N/AN/A6141843,385391
2019-03-21$41.50$41.0011.9%3.5%8.5%20.6%11.8%3.2%-0.1%863.6K-7.8M-30.8K0.1481.89N/AN/A626893,668417
2019-03-22$40.76$41.0011.3%3.4%10.7%19.1%11.6%3.8%0.2%795.2K-6.1M-30.6K0.0988.30N/AN/A508483,669421
2019-03-25$40.74$41.0012.4%3.6%10.7%22.1%12.3%4.6%-0.2%836.5K-5.8M-29.6K0.0784.33N/AN/A160113,681434
2019-03-26$40.94$41.0011.3%3.6%10.6%18.9%12.4%6.4%1.3%885.0K-6.4M-29.8K0.0783.63N/AN/A161123,646445
2019-03-27$40.97$41.0012.7%3.6%10.5%22.8%10.8%4.8%-0.5%853.8K-6.3M-29.5K0.1580.47N/AN/A81123,647446
2019-03-28$40.73$41.0012.4%3.6%10.6%22.1%12.5%7.0%0.2%830.6K-5.9M-29.0K0.0873.14N/AN/A206173,645447
2019-03-29$40.82$41.0012.0%3.4%10.5%20.9%12.0%6.6%-0.0%885.6K-6.4M-30.5K0.0880.47N/AN/A306243,779449