VEA Options History — August 2019

In August 2019, VEA traded between $38.94 and $40.72. ATM implied volatility averaged 15.5%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.4% (HV 20d: 14.1%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 5.89.

Notable Days

  • 2019-08-29: Highest Volume — 133 contracts
  • 2019-08-13: Largest IV spike — 203.3% change
  • 2019-08-13: Highest IV Rank — 100.0%
  • 2019-08-05: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.72$38.94$40.72$40.72$40.02
Max Pain$40.09$40.00$41.00$41.00$40.00
ATM IV15.5%11.2%40.7%11.2%12.4%
Expected Move4.0%3.2%5.1%3.2%3.5%
HV 20d14.1%7.2%16.8%7.2%16.6%
HV 60d11.8%10.7%12.5%10.7%12.1%
IV Rank36.0%16.0%100.0%33.6%17.6%
IV Percentile65.4%41.7%100.0%41.7%48.0%
Term Structure-0.0%-2.3%3.1%0.7%0.3%
VWIV13.6%8.1%21.8%11.5%12.2%
Skew 25d5.4%3.6%7.9%3.6%4.4%
Skew 10d9.3%3.0%15.7%3.0%4.2%
Call IV 25d12.0%9.7%14.6%9.7%10.9%
Put IV 25d17.4%13.3%21.1%13.3%15.3%
Bid-Ask Spread %78.9958.71112.2558.7173.09
Gamma HHI0.210.140.380.380.23
Net GEX135.1K52.8K309.3K309.3K200.5K
Net DEX-131.7K-1.1M411.0K-1.1M-657.6K
Net VEX-7.7K-10.5K-6.7K-10.5K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.890.00110.005.000.00
Total Volume45.13601336617
Total OI2,589.8182,5132,8512,5132,851

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$40.72$41.0011.2%3.2%7.2%33.6%11.5%3.6%0.7%309.3K-1.1M-10.5K5.0058.71N/AN/A11552,032481
2019-08-02$40.39$41.0014.5%4.2%7.3%50.0%12.5%5.2%-1.0%238.1K-695.7K-10.0K0.5370.31N/AN/A47252,030498
2019-08-05$39.39$40.0020.9%5.1%11.0%81.7%14.7%6.1%-2.3%91.8K223.6K-7.4K1.4665.61N/AN/A26382,050505
2019-08-06$39.57$40.0015.9%4.2%11.2%57.0%14.8%6.5%-0.9%128.9K-4.5K-8.9K1.5067.95N/AN/A462,036551
2019-08-07$39.81$40.0015.6%4.1%11.4%55.4%8.1%6.1%-0.1%110.4K70.3K-8.1K0.0365.51N/AN/A3012,035551
2019-08-08$40.20$40.0014.8%3.9%12.2%51.3%0.0%6.0%0.5%160.7K-289.2K-8.8K0.0092.91N/AN/A002,020552
2019-08-09$40.01$40.0012.9%3.8%12.2%36.2%15.0%4.1%0.4%132.3K-136.6K-8.3K1.0091.41N/AN/A332,020552
2019-08-12$39.57$40.0013.4%4.1%12.5%38.9%14.5%5.8%-0.4%54.6K327.8K-6.9K0.2273.71N/AN/A922,019549
2019-08-13$39.92$40.0040.7%4.0%13.1%100.0%12.6%7.9%0.1%195.6K-355.5K-8.7K0.14107.97N/AN/A2232,028518
2019-08-14$38.94$40.0017.1%4.9%15.4%31.3%15.3%6.5%-2.0%71.0K306.1K-7.3K0.2080.74N/AN/A107212,050517
2019-08-15$38.97$40.0017.1%4.9%15.4%31.4%16.0%6.0%-1.3%52.8K411.0K-7.0K0.7175.76N/AN/A14102,061548
2019-08-16$39.41$40.0016.0%4.6%16.2%28.0%21.8%5.1%0.1%121.5K118.7K-7.6K110.0073.08N/AN/A11102,065558
2019-08-19$39.67$40.0013.3%3.8%16.5%20.3%13.4%5.8%0.8%103.0K-60.0K-7.1K0.4074.64N/AN/A2081,944600
2019-08-20$39.59$40.0012.6%3.6%16.2%18.1%11.1%5.5%0.4%101.4K11.9K-6.8K0.1384.01N/AN/A811,932605
2019-08-21$39.90$40.0012.5%3.6%16.6%18.0%11.7%4.2%0.4%133.6K-200.5K-7.0K0.4085.67N/AN/A48191,932605
2019-08-22$39.77$40.0011.8%3.4%16.4%16.0%11.7%4.4%0.8%117.2K-132.0K-6.7K0.1376.43N/AN/A811,967586
2019-08-23$39.33$40.0015.7%4.5%16.6%27.3%13.3%7.0%3.1%104.3K-35.4K-7.4K0.09112.25N/AN/A4341,971587
2019-08-26$39.52$40.0013.8%4.0%16.8%21.8%15.7%4.7%-0.1%119.2K-89.7K-7.0K1.7170.26N/AN/A7122,005591
2019-08-27$39.62$40.0013.7%3.9%16.5%21.4%0.0%4.8%0.0%120.7K-101.9K-6.8K0.0879.96N/AN/A3732,009600
2019-08-28$39.59$40.0013.2%3.8%16.5%20.1%13.1%5.0%-0.5%148.2K-181.9K-7.2K0.0080.88N/AN/A7602,043602
2019-08-29$39.91$40.0012.1%3.5%16.8%16.7%12.2%5.2%0.5%157.6K-366.2K-6.9K0.0076.88N/AN/A13302,118602
2019-08-30$40.02$40.0012.4%3.5%16.6%17.6%0.0%4.4%0.3%200.5K-657.6K-7.8K0.0073.09N/AN/A1702,249602