VEA Options History — May 2019

In May 2019, VEA traded between $39.80 and $42.08. ATM implied volatility averaged 14.9%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.2% (HV 20d: 11.7%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2019-05-24: Highest Volume — 220 contracts
  • 2019-05-13: Largest IV spike — 137.6% change
  • 2019-05-13: Highest IV Rank — 100.0%
  • 2019-05-21: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.75$39.80$42.08$41.83$39.80
Max Pain$39.27$39.00$41.00$41.00$39.00
ATM IV14.9%8.7%24.6%8.7%14.6%
Expected Move4.1%2.5%6.1%2.5%4.2%
HV 20d11.7%5.7%14.6%6.0%14.6%
HV 60d10.4%9.2%11.3%9.2%11.3%
IV Rank52.1%11.7%100.0%11.7%50.4%
IV Percentile65.2%11.5%100.0%11.5%69.4%
Term Structure-0.7%-2.8%2.1%1.5%-0.1%
VWIV13.6%7.9%19.0%8.9%16.2%
Skew 25d4.7%-2.5%6.9%3.7%4.1%
Skew 10d5.8%-1.0%11.3%4.8%1.4%
Call IV 25d11.3%7.1%13.9%7.3%13.0%
Put IV 25d16.0%8.1%20.4%11.0%17.1%
Bid-Ask Spread %90.7778.45113.2784.3682.32
Gamma HHI0.690.620.750.630.65
Net GEX991.4K739.1K1.2M1.0M739.1K
Net DEX-5.1M-9.5M-1.6M-9.1M-1.6M
Net VEX-20.2K-23.8K-13.6K-22.9K-13.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.054.860.291.08
Total Volume94.364622084200
Total OI4,111.4553,9524,2953,9524,295

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$41.83$41.008.7%2.5%6.0%11.7%8.9%3.7%1.5%1.0M-9.1M-22.9K0.2984.36N/AN/A65193,502450
2019-05-02$41.66$41.0010.0%2.9%5.7%15.4%10.4%-2.5%1.0%1.0M-8.2M-23.8K0.3191.64N/AN/A85263,545459
2019-05-03$42.08$41.008.7%2.5%6.7%22.8%8.7%1.2%2.1%1.0M-9.5M-21.9K0.2279.86N/AN/A118263,542461
2019-05-06$41.67$39.009.4%3.5%7.6%26.4%13.3%4.3%-0.4%1.0M-7.9M-23.5K1.0084.37N/AN/A663,585461
2019-05-07$40.92$39.0019.3%4.3%9.9%79.8%13.8%6.1%-1.4%908.8K-5.9M-23.6K0.8797.32N/AN/A15133,591467
2019-05-08$41.09$39.0017.8%4.2%10.0%71.8%14.8%4.7%-1.6%946.9K-6.3M-23.2K0.6085.50N/AN/A75453,585473
2019-05-09$40.77$39.0019.4%4.7%10.1%80.3%16.9%6.6%-2.7%837.0K-5.1M-22.7K1.86105.01N/AN/A28523,607468
2019-05-10$40.95$39.0010.3%4.2%10.3%31.6%12.2%6.6%-0.9%912.8K-5.5M-22.9K0.20113.27N/AN/A513,609473
2019-05-13$40.09$39.0024.6%4.8%12.2%100.0%19.0%6.9%-2.8%801.1K-3.9M-20.1K4.8698.51N/AN/A7343,609473
2019-05-14$40.46$39.0018.8%4.5%12.8%71.5%16.2%5.1%-1.9%960.1K-4.2M-20.1K0.7894.99N/AN/A109853,600497
2019-05-15$40.66$39.0019.8%5.7%12.9%76.1%14.7%5.2%-0.8%905.4K-4.6M-20.6K0.8094.43N/AN/A543,600538
2019-05-16$40.88$39.0013.3%3.8%13.1%43.9%13.4%4.5%-1.4%1.1M-5.5M-21.0K0.5090.19N/AN/A843,604536
2019-05-17$40.66$39.0012.0%3.4%13.2%37.7%14.8%5.5%0.7%1.1M-4.5M-19.5K0.0589.29N/AN/A15473,604536
2019-05-20$40.50$39.0015.4%4.4%13.2%54.3%13.8%3.7%-1.5%1.1M-4.3M-19.7K1.0485.56N/AN/A23243,570476
2019-05-21$40.74$39.0021.3%6.1%13.5%83.9%14.0%4.6%-0.6%965.1K-5.1M-20.8K2.6794.89N/AN/A9243,581500
2019-05-22$40.65$39.0012.6%3.6%13.3%40.7%13.2%6.2%0.2%1.2M-4.6M-19.5K0.7781.99N/AN/A47363,584500
2019-05-23$40.16$39.0014.9%4.3%13.9%51.8%9.2%3.4%-1.8%947.8K-3.1M-17.7K0.8898.81N/AN/A96843,619512
2019-05-24$40.59$39.0012.4%3.6%14.4%39.7%7.9%6.3%0.3%1.2M-4.3M-19.3K0.6296.41N/AN/A136843,604561
2019-05-28$40.30$39.0015.4%4.4%14.4%54.6%0.0%6.4%-1.7%1.1M-3.8M-17.9K0.8085.45N/AN/A15123,674561
2019-05-29$40.00$39.0015.0%4.3%14.5%52.4%16.6%5.0%-1.4%878.7K-2.2M-15.2K2.1884.28N/AN/A45983,689563
2019-05-30$40.09$39.0014.4%4.1%14.5%49.7%16.5%5.8%-1.1%959.4K-2.4M-15.8K2.5278.45N/AN/A401013,662626
2019-05-31$39.80$39.0014.6%4.2%14.6%50.4%16.2%4.1%-0.1%739.1K-1.6M-13.6K1.0882.32N/AN/A961043,665630