VEA Options History — April 2019

In April 2019, VEA traded between $41.38 and $42.11. ATM implied volatility averaged 9.2%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 0.1% (HV 20d: 9.3%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.68.

Notable Days

  • 2019-04-05: Highest Volume — 207 contracts
  • 2019-04-10: Largest IV spike — 48.8% change
  • 2019-04-02: Highest IV Rank — 21.4%
  • 2019-04-02: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.80$41.38$42.11$41.38$42.03
Max Pain$41.00$41.00$41.00$41.00$41.00
ATM IV9.2%6.3%12.2%11.3%8.9%
Expected Move2.7%2.4%3.5%3.4%2.6%
HV 20d9.3%5.7%11.7%11.6%5.7%
HV 60d10.1%9.2%12.0%12.0%9.2%
IV Rank13.1%5.2%21.4%19.1%12.5%
IV Percentile19.7%0.8%57.9%48.8%16.7%
Term Structure1.6%-0.3%2.2%0.6%1.8%
VWIV10.6%8.6%13.3%11.4%9.1%
Skew 25d4.0%-1.5%7.1%7.1%4.2%
Skew 10d3.5%-1.7%8.8%8.1%5.1%
Call IV 25d7.2%5.3%10.0%6.1%7.0%
Put IV 25d11.2%6.6%13.5%13.2%11.2%
Bid-Ask Spread %89.6878.51121.7082.1790.52
Gamma HHI0.640.580.710.710.61
Net GEX943.0K858.6K996.0K922.6K974.2K
Net DEX-9.1M-10.7M-7.8M-7.8M-9.1M
Net VEX-25.9K-29.4K-23.0K-29.2K-23.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.008.171.901.88
Total Volume89.23832076123
Total OI4,123.5243,8104,3334,1473,939

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-04-01$41.38$41.0011.3%3.4%11.6%19.1%0.0%7.1%0.6%922.6K-7.8M-29.2K1.9082.17N/AN/A21403,688459
2019-04-02$41.42$41.0012.2%3.5%11.6%21.4%0.0%3.5%-0.3%891.7K-7.8M-29.4K4.3979.08N/AN/A281233,698490
2019-04-03$41.72$41.0010.3%3.1%11.7%16.1%11.4%3.8%1.0%858.6K-9.0M-28.5K3.3483.16N/AN/A411373,706491
2019-04-04$41.66$41.0010.2%2.9%10.5%16.1%12.5%4.0%1.3%938.9K-8.8M-28.3K1.8582.99N/AN/A721333,711486
2019-04-05$41.73$41.009.1%2.9%10.4%12.8%13.3%3.9%1.5%942.6K-9.0M-28.3K1.5990.19N/AN/A801273,738495
2019-04-08$41.75$41.008.5%2.8%10.0%11.1%0.0%3.6%1.7%914.5K-9.0M-27.9K6.0091.57N/AN/A3183,742493
2019-04-09$41.53$41.006.3%2.8%10.2%5.2%11.6%2.8%1.8%939.3K-8.7M-27.9K3.0089.13N/AN/A8243,745509
2019-04-10$41.70$41.009.4%2.7%10.1%13.8%11.5%5.6%2.0%957.4K-9.1M-27.2K2.4092.22N/AN/A10243,745514
2019-04-11$41.61$41.009.2%2.6%10.1%13.0%11.2%5.4%2.1%996.0K-9.0M-26.8K2.4590.29N/AN/A11273,747514
2019-04-12$41.90$41.008.8%2.5%9.9%12.1%10.1%5.2%2.0%948.6K-10.0M-25.8K2.9294.02N/AN/A13383,748517
2019-04-15$41.92$41.009.0%2.6%9.8%12.6%0.0%4.7%2.0%949.8K-10.1M-25.2K0.0092.53N/AN/A303,750517
2019-04-16$42.03$41.009.0%2.6%9.8%12.7%9.4%5.1%1.8%919.1K-10.6M-24.0K0.4378.51N/AN/A23103,750517
2019-04-17$42.11$41.008.6%2.5%9.8%11.6%11.2%5.3%1.7%922.2K-10.7M-24.1K3.7292.57N/AN/A321193,758507
2019-04-18$42.06$41.008.7%2.5%9.9%11.8%10.7%4.6%1.9%931.5K-10.5M-24.1K3.9799.45N/AN/A341353,768565
2019-04-22$41.99$41.009.1%2.6%7.1%12.8%9.5%3.6%1.4%944.5K-9.1M-23.4K8.1785.85N/AN/A6493,450360
2019-04-23$42.03$41.008.4%2.4%7.0%10.9%8.6%-1.5%2.2%935.7K-9.3M-23.4K2.04121.70N/AN/A26533,452409
2019-04-24$41.73$41.008.9%2.6%7.6%12.4%9.8%4.2%1.8%975.4K-8.4M-24.3K1.9388.40N/AN/A27523,472413
2019-04-25$41.67$41.009.0%2.6%7.6%12.5%9.6%4.2%1.6%964.8K-8.2M-24.5K1.9284.92N/AN/A48923,472414
2019-04-26$41.83$41.008.8%2.5%7.2%12.2%10.6%-0.3%1.7%985.9K-8.7M-24.3K1.9689.68N/AN/A521023,493424
2019-04-29$42.00$41.009.0%2.6%7.3%12.8%10.0%4.0%1.5%988.9K-9.2M-23.0K0.4384.39N/AN/A733,494434
2019-04-30$42.03$41.008.9%2.6%5.7%12.5%9.1%4.2%1.8%974.2K-9.1M-23.3K1.8890.52N/AN/A8153,502437