VEA Options History — June 2019

In June 2019, VEA traded between $39.99 and $41.67. ATM implied volatility averaged 12.3%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 0.0% (HV 20d: 12.3%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2019-06-20: Highest Volume — 341 contracts
  • 2019-06-25: Largest IV spike — 26.7% change
  • 2019-06-04: Highest IV Rank — 55.5%
  • 2019-06-04: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.10$39.99$41.67$39.99$41.65
Max Pain$40.40$39.00$42.00$39.00$42.00
ATM IV12.3%9.6%15.6%15.2%10.4%
Expected Move3.4%2.7%4.5%4.3%3.0%
HV 20d12.3%10.5%14.8%14.2%10.5%
HV 60d11.3%11.1%11.6%11.1%11.1%
IV Rank38.8%25.4%55.5%53.2%29.9%
IV Percentile48.5%17.9%75.0%73.4%31.0%
Term Structure0.0%-2.4%1.3%-1.0%0.1%
VWIV13.2%7.8%38.8%38.8%11.4%
Skew 25d4.3%-0.4%6.4%4.3%3.1%
Skew 10d3.6%-42.0%10.8%4.1%2.8%
Call IV 25d9.5%6.3%13.1%13.1%8.4%
Put IV 25d13.8%11.6%17.4%17.4%11.6%
Bid-Ask Spread %88.5467.16115.9582.6667.16
Gamma HHI0.630.300.840.680.35
Net GEX1.3M228.4K3.2M860.4K294.9K
Net DEX-4.9M-12.0M-1.6M-1.9M-2.2M
Net VEX-14.0K-17.7K-10.6K-13.7K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.063.151.503.15
Total Volume107.853415112
Total OI3,771.051,7544,6814,3231,922

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$39.99$39.0015.2%4.3%14.2%53.2%38.8%4.3%-1.0%860.4K-1.9M-13.7K1.5082.66N/AN/A233,690633
2019-06-04$40.47$39.0015.6%4.5%14.8%55.5%16.1%3.6%-1.9%1.2M-3.3M-16.1K0.0982.03N/AN/A3333,690636
2019-06-05$40.48$39.0015.6%4.5%13.4%55.2%18.2%4.3%-2.4%1.3M-3.3M-16.0K0.1176.37N/AN/A3743,712636
2019-06-06$40.68$40.0012.8%3.4%13.4%41.3%13.2%6.4%0.5%1.5M-4.1M-16.8K0.1593.19N/AN/A5993,709637
2019-06-07$41.15$40.0012.3%3.3%13.8%38.8%12.5%3.3%0.4%1.8M-6.3M-17.7K0.17100.36N/AN/A4683,729635
2019-06-10$41.24$40.0014.6%3.3%13.7%50.6%9.4%4.0%0.2%1.8M-7.0M-16.7K1.2388.88N/AN/A13163,739635
2019-06-11$41.43$40.0015.5%3.4%11.2%54.9%10.4%5.6%-0.1%1.7M-8.3M-16.1K0.41106.00N/AN/A46193,743647
2019-06-12$41.12$40.0011.5%3.3%11.2%34.9%10.1%4.3%0.6%2.1M-6.2M-16.0K0.39106.91N/AN/A49193,770644
2019-06-13$41.10$40.0011.3%3.2%11.1%34.1%10.1%4.1%0.4%2.1M-5.6M-15.5K0.32115.95N/AN/A60193,775644
2019-06-14$40.91$40.0011.4%3.3%11.1%34.4%7.8%5.8%0.7%2.1M-3.8M-13.8K0.3389.63N/AN/A61203,776644
2019-06-17$40.44$40.0011.8%3.4%11.7%36.3%0.0%5.4%0.2%1.3M-1.9M-10.6K0.0683.81N/AN/A204123,724664
2019-06-18$40.98$40.0010.1%2.9%12.6%28.2%10.1%6.1%1.0%1.4M-5.5M-13.8K0.3992.77N/AN/A109423,732676
2019-06-19$41.28$41.0011.4%3.3%12.7%34.5%11.1%-0.4%-1.0%3.2M-7.4M-13.2K0.35106.84N/AN/A100353,786686
2019-06-20$41.67$41.009.7%2.8%13.0%26.2%12.9%5.2%0.3%1.6M-11.6M-11.7K0.4590.61N/AN/A2351063,806712
2019-06-21$41.58$41.009.6%2.7%12.1%25.4%13.5%4.7%1.3%1.2M-12.0M-11.8K0.7286.98N/AN/A137983,916765
2019-06-24$41.56$41.009.9%2.8%11.6%27.3%11.7%4.5%0.5%246.7K-2.0M-12.0K1.2380.88N/AN/A13161,228526
2019-06-25$41.35$41.0012.6%3.6%11.4%40.4%11.6%4.6%-0.1%228.4K-1.8M-12.2K2.3177.16N/AN/A29671,241542
2019-06-26$41.39$42.0012.1%3.5%11.0%37.9%10.6%3.7%0.3%257.2K-1.6M-11.8K1.2069.84N/AN/A71851,266589
2019-06-27$41.50$42.0011.9%3.4%11.0%36.9%11.0%3.7%0.3%302.8K-1.9M-12.2K1.1572.78N/AN/A74851,332584
2019-06-28$41.65$42.0010.4%3.0%10.5%29.9%11.4%3.1%0.1%294.9K-2.2M-12.3K3.1567.16N/AN/A27851,338584