VEA Options History — July 2019

In July 2019, VEA traded between $40.88 and $42.25. ATM implied volatility averaged 8.9%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 0.6% (HV 20d: 8.3%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.05.

Notable Days

  • 2019-07-18: Highest Volume — 540 contracts
  • 2019-07-25: Largest IV spike — 38.4% change
  • 2019-07-31: Highest IV Rank — 37.4%
  • 2019-07-31: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.66$40.88$42.25$41.90$40.88
Max Pain$41.14$41.00$42.00$42.00$41.00
ATM IV8.9%7.2%12.0%9.0%12.0%
Expected Move2.7%2.4%3.4%2.6%3.4%
HV 20d8.3%6.0%10.5%10.5%7.6%
HV 60d11.3%11.2%11.4%11.2%11.3%
IV Rank22.4%14.0%37.4%22.8%37.4%
IV Percentile13.6%2.0%51.2%12.3%51.2%
Term Structure0.8%-0.9%1.5%1.0%-0.5%
VWIV9.1%5.5%12.9%9.0%12.1%
Skew 25d3.6%-2.8%5.4%1.0%5.3%
Skew 10d5.0%-1.8%10.5%3.4%4.1%
Call IV 25d7.3%6.1%10.2%6.7%8.5%
Put IV 25d10.9%7.4%13.9%7.7%13.9%
Bid-Ask Spread %83.0470.3598.1079.8572.63
Gamma HHI0.400.360.430.380.38
Net GEX489.1K344.2K670.0K344.2K394.4K
Net DEX-2.3M-3.0M-1.5M-2.4M-1.5M
Net VEX-12.3K-13.9K-10.8K-12.1K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.008.000.033.80
Total Volume106.18215403348
Total OI2,260.1361,9292,6421,9292,486

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$41.90$42.009.0%2.6%10.5%22.8%9.0%1.0%1.0%344.2K-2.4M-12.1K0.0379.85N/AN/A3211,343586
2019-07-02$42.02$42.008.6%2.5%9.9%20.8%9.8%1.3%0.8%369.4K-2.7M-12.2K0.2970.35N/AN/A48141,378585
2019-07-03$42.25$42.009.5%2.7%9.9%25.0%8.9%2.1%-0.0%376.9K-2.9M-12.1K0.1179.72N/AN/A131141,381592
2019-07-05$41.95$41.008.0%2.7%10.4%17.5%8.3%3.1%1.2%391.5K-2.6M-12.7K0.1783.20N/AN/A153261,465592
2019-07-08$41.72$41.008.7%2.8%10.0%21.2%8.7%3.9%0.8%396.2K-2.2M-12.4K0.0290.77N/AN/A4211,492604
2019-07-09$41.50$41.007.2%3.3%10.2%14.0%5.6%5.4%0.5%344.5K-1.9M-12.3K0.0381.32N/AN/A3111,523605
2019-07-10$41.69$41.009.2%2.6%10.2%23.5%5.5%5.0%1.0%448.3K-2.1M-12.1K0.1898.10N/AN/A3871,524605
2019-07-11$41.67$41.008.8%2.5%9.8%21.5%6.2%4.2%1.4%409.7K-2.2M-12.4K0.1087.74N/AN/A6971,549611
2019-07-12$41.70$41.008.4%2.4%9.8%19.9%6.6%4.3%1.5%506.2K-2.2M-11.7K0.1090.96N/AN/A7371,553611
2019-07-15$41.75$41.008.4%2.4%9.6%19.6%0.0%4.3%1.2%540.3K-2.2M-11.4K0.0087.71N/AN/A101,561606
2019-07-16$41.62$41.008.8%2.5%8.5%21.7%0.0%4.3%0.9%453.6K-2.1M-11.2K8.0082.66N/AN/A181,561606
2019-07-17$41.57$41.008.5%2.4%7.3%20.2%9.4%4.4%1.3%418.0K-1.9M-10.8K0.0779.00N/AN/A468311,566614
2019-07-18$41.65$41.009.2%2.6%6.9%23.4%10.2%5.2%0.8%600.6K-2.4M-13.2K0.0691.34N/AN/A509312,006636
2019-07-19$41.58$41.008.6%2.5%6.0%20.5%12.7%4.7%1.3%591.4K-2.5M-13.5K0.2484.18N/AN/A129312,005636
2019-07-22$41.60$41.008.5%2.4%6.0%20.4%8.6%4.2%1.3%605.8K-2.7M-13.4K0.0084.28N/AN/A3201,961378
2019-07-23$41.85$41.009.2%2.6%6.3%23.8%9.2%4.5%0.8%659.5K-3.0M-13.9K0.4976.91N/AN/A37181,993378
2019-07-24$41.85$41.008.5%2.4%6.0%20.3%8.4%4.6%1.4%670.0K-3.0M-13.7K0.4976.62N/AN/A43212,007376
2019-07-25$41.45$41.0011.8%3.4%7.0%36.5%11.2%3.9%-0.9%589.6K-2.4M-12.9K1.6976.63N/AN/A26442,013377
2019-07-26$41.59$41.008.4%2.4%7.1%19.6%9.6%2.8%1.3%613.6K-2.5M-12.9K1.5785.95N/AN/A47742,016405
2019-07-29$41.56$41.008.5%2.4%6.9%20.2%0.0%3.0%1.2%589.9K-2.2M-12.0K3.3384.22N/AN/A3102,028435
2019-07-30$41.09$41.009.0%2.6%7.6%22.7%12.9%-2.8%-0.2%447.9K-1.6M-11.2K2.2282.67N/AN/A9202,029445
2019-07-31$40.88$41.0012.0%3.4%7.6%37.4%12.1%5.3%-0.5%394.4K-1.5M-11.0K3.8072.63N/AN/A10382,031455