VEA Options History — September 2019

In September 2019, VEA traded between $39.95 and $41.77. ATM implied volatility averaged 10.5%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.1% (HV 20d: 10.4%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.54.

Notable Days

  • 2019-09-16: Highest Volume — 1,224 contracts
  • 2019-09-24: Largest IV spike — 34.3% change
  • 2019-09-03: Highest IV Rank — 21.7%
  • 2019-09-03: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.18$39.95$41.77$39.95$41.06
Max Pain$40.25$40.00$41.00$40.00$41.00
ATM IV10.5%8.6%13.8%13.8%11.2%
Expected Move3.1%2.5%4.0%4.0%3.2%
HV 20d10.4%7.0%14.6%13.9%8.4%
HV 60d11.8%11.5%12.2%11.9%11.5%
IV Rank12.2%6.6%21.7%21.7%14.2%
IV Percentile28.8%5.6%60.3%60.3%35.3%
Term Structure1.1%-0.4%2.8%-0.4%1.3%
VWIV11.1%8.6%13.7%13.7%11.3%
Skew 25d4.8%2.4%8.3%4.7%6.9%
Skew 10d6.9%0.2%16.4%11.3%2.9%
Call IV 25d8.5%6.0%12.1%12.1%6.9%
Put IV 25d13.3%11.4%16.8%16.8%13.8%
Bid-Ask Spread %101.8267.67129.1967.6778.77
Gamma HHI0.410.230.670.230.43
Net GEX531.9K210.9K1.0M210.9K409.3K
Net DEX-2.3M-3.8M-621.9K-621.9K-1.5M
Net VEX-10.4K-13.3K-7.6K-7.6K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.0019.420.040.11
Total Volume120.0591,22496135
Total OI2,916.152,2133,6612,8802,292

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$39.95$40.0013.8%4.0%13.9%21.7%13.7%4.7%-0.4%210.9K-621.9K-7.6K0.0467.67N/AN/A9242,278602
2019-09-04$40.47$40.0013.5%3.9%14.5%21.0%13.5%4.9%-0.1%272.3K-1.2M-7.8K0.7469.47N/AN/A43322,286598
2019-09-05$40.81$40.009.6%3.2%14.6%9.5%11.1%4.7%0.7%357.2K-1.7M-8.4K0.55104.93N/AN/A40222,329625
2019-09-06$40.92$40.009.3%3.0%14.3%8.7%0.0%4.6%0.8%398.0K-2.0M-8.7K0.1499.47N/AN/A2132,380620
2019-09-09$40.98$40.009.7%3.0%14.2%9.7%0.0%4.5%0.9%404.1K-2.1M-8.5K0.70107.35N/AN/A1072,399618
2019-09-10$41.06$40.0010.9%3.2%13.4%13.3%0.0%4.2%0.9%438.0K-2.2M-8.5K3.3394.32N/AN/A9302,389617
2019-09-11$41.32$40.0010.9%3.1%13.2%13.3%9.8%3.8%0.7%514.4K-2.6M-8.3K1.40108.20N/AN/A572,395587
2019-09-12$41.59$40.008.6%2.5%8.9%6.6%0.0%4.2%1.7%682.0K-3.2M-8.3K19.42128.00N/AN/A122332,400593
2019-09-13$41.77$40.008.8%2.5%8.8%7.2%8.8%4.9%1.8%824.3K-3.4M-10.2K0.00111.95N/AN/A9602,392796
2019-09-16$41.50$40.0011.6%3.3%9.0%15.3%9.0%4.2%0.8%616.7K-2.9M-9.9K0.00104.08N/AN/A1,22222,484796
2019-09-17$41.61$40.008.7%2.5%8.9%6.9%10.6%4.2%2.2%963.4K-3.7M-13.3K0.55105.33N/AN/A22122,800819
2019-09-18$41.59$40.009.4%2.7%8.8%8.9%0.0%2.4%1.8%888.0K-3.5M-12.2K0.50121.77N/AN/A1262,817831
2019-09-19$41.69$40.008.6%2.5%8.5%6.6%8.6%3.8%2.8%1.0M-3.8M-12.5K0.00120.81N/AN/A1602,817837
2019-09-20$41.61$40.009.2%2.6%8.4%8.4%13.7%3.7%1.8%539.6K-3.4M-11.8K1.10129.19N/AN/A67742,824837
2019-09-23$41.52$40.008.9%2.6%7.0%7.6%9.5%3.1%1.3%521.9K-2.1M-11.3K1.71111.53N/AN/A28481,677577
2019-09-24$41.11$41.0012.0%3.4%8.3%16.5%12.0%7.2%0.3%402.6K-1.7M-12.0K0.1793.82N/AN/A1221,617596
2019-09-25$41.03$41.0012.1%3.5%8.4%16.7%11.8%8.3%0.6%385.6K-1.5M-11.9K0.2080.25N/AN/A49101,626598
2019-09-26$41.12$41.0011.7%3.3%8.3%15.6%0.0%4.3%0.9%423.4K-1.6M-12.1K0.0094.66N/AN/A901,675608
2019-09-27$40.92$41.0012.1%3.5%8.3%16.7%12.1%6.8%0.7%350.8K-1.3M-12.1K0.13104.77N/AN/A811,683608
2019-09-30$41.06$41.0011.2%3.2%8.4%14.2%11.3%6.9%1.3%409.3K-1.5M-11.7K0.1178.77N/AN/A122131,687605