VEA Options History — October 2019

In October 2019, VEA traded between $39.94 and $42.45. ATM implied volatility averaged 11.9%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 0.2% (HV 20d: 12.1%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.89.

Notable Days

  • 2019-10-14: Highest Volume — 975 contracts
  • 2019-10-02: Largest IV spike — 31.3% change
  • 2019-10-02: Highest IV Rank — 26.0%
  • 2019-10-02: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.39$39.94$42.45$40.69$42.32
Max Pain$40.43$40.00$41.00$41.00$41.00
ATM IV11.9%9.1%15.3%11.6%10.3%
Expected Move3.4%2.6%4.4%3.3%3.0%
HV 20d12.1%9.1%13.9%9.1%10.2%
HV 60d12.8%11.6%13.6%11.6%11.8%
IV Rank16.1%8.0%26.0%15.4%11.7%
IV Percentile41.3%15.9%70.2%40.9%28.6%
Term Structure0.8%-0.5%2.8%1.2%1.0%
VWIV11.2%5.5%17.7%11.7%10.3%
Skew 25d3.9%-1.7%6.5%6.5%2.4%
Skew 10d4.8%-2.1%10.1%10.1%1.4%
Call IV 25d10.1%5.4%13.9%9.5%8.1%
Put IV 25d14.0%8.9%18.9%16.0%10.5%
Bid-Ask Spread %86.7376.35104.0181.9398.15
Gamma HHI0.470.220.780.370.54
Net GEX632.0K134.8K1.5M316.6K841.6K
Net DEX-2.6M-4.7M-349.6K-1.1M-4.5M
Net VEX-11.7K-13.6K-10.2K-11.4K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.006.500.950.14
Total Volume79.65239754357
Total OI2,648.5222,4363,1642,4362,685

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$40.69$41.0011.6%3.3%9.1%15.4%11.7%6.5%1.2%316.6K-1.1M-11.4K0.9581.93N/AN/A22211,819617
2019-10-02$39.94$41.0015.3%4.4%10.4%26.0%15.5%5.1%0.4%162.0K-399.8K-10.9K1.3281.38N/AN/A25331,815631
2019-10-03$40.09$40.0014.6%4.3%9.9%24.0%0.0%5.8%0.4%158.4K-349.6K-10.8K0.1581.98N/AN/A1321,823645
2019-10-04$40.48$40.0014.2%4.2%10.6%22.9%0.0%5.1%-0.1%225.7K-767.4K-10.9K0.0076.35N/AN/A501,827647
2019-10-07$40.48$40.0014.3%4.1%10.5%23.3%17.7%3.9%0.2%194.2K-717.3K-10.2K0.1483.24N/AN/A2231,832649
2019-10-08$40.09$40.0014.9%4.3%11.0%24.8%0.0%4.9%0.9%134.8K-387.0K-10.3K1.2583.85N/AN/A451,842648
2019-10-09$40.36$40.0014.9%4.3%11.0%24.9%0.0%4.4%-0.1%164.8K-636.4K-10.3K0.0091.72N/AN/A031,838656
2019-10-10$40.59$40.0012.8%3.7%10.9%19.0%14.0%4.5%0.4%233.7K-865.7K-10.4K0.3381.89N/AN/A1241,838659
2019-10-11$41.41$40.0013.6%3.9%13.2%21.2%11.0%4.3%-0.5%554.2K-2.3M-11.7K0.3193.73N/AN/A32101,850660
2019-10-14$41.17$40.0012.6%3.6%13.1%18.3%11.0%4.3%0.5%464.9K-1.7M-10.5K0.0184.74N/AN/A97051,879660
2019-10-15$41.66$40.0010.5%3.0%13.8%12.1%10.1%4.3%1.7%1.2M-3.6M-13.6K0.0084.86N/AN/A6202,337665
2019-10-16$41.67$40.0010.7%3.1%13.8%12.6%11.0%3.3%0.8%1.2M-3.5M-12.9K0.0187.32N/AN/A15122,354665
2019-10-17$41.76$40.0011.0%3.1%13.8%13.5%10.7%4.4%0.2%1.5M-3.8M-13.0K0.0283.99N/AN/A5312,463667
2019-10-18$41.75$40.0011.2%3.2%13.8%14.0%13.0%4.4%0.4%1.5M-3.7M-13.1K0.6784.68N/AN/A642,496668
2019-10-21$41.98$40.0010.2%2.9%13.9%11.4%10.2%3.3%1.3%655.7K-3.5M-12.3K0.6484.73N/AN/A58371,891672
2019-10-22$41.91$41.0010.0%2.9%13.4%10.8%11.2%2.3%1.6%692.5K-3.5M-12.8K6.5091.20N/AN/A2131,916695
2019-10-23$42.07$41.0010.6%3.0%13.3%12.4%11.1%5.9%0.4%664.3K-3.6M-12.6K4.0082.74N/AN/A141,915688
2019-10-24$42.15$41.0010.5%3.0%13.3%12.0%5.5%6.5%0.7%680.8K-3.9M-12.2K0.0681.81N/AN/A7141,915690
2019-10-25$42.18$41.0010.6%3.0%13.1%12.3%9.1%1.5%0.5%737.7K-4.2M-12.2K0.0091.47N/AN/A1301,986692
2019-10-28$42.35$41.009.7%2.8%13.2%9.7%0.0%1.5%1.7%787.9K-4.5M-11.5K0.0088.11N/AN/A5101,980692
2019-10-29$42.33$41.0010.0%2.9%12.6%10.6%7.4%3.7%1.5%774.8K-4.3M-12.3K2.4090.84N/AN/A5121,980694
2019-10-30$42.45$41.009.1%2.6%10.0%8.0%0.0%-1.7%2.8%740.0K-4.7M-11.3K0.70104.01N/AN/A20141,980695
2019-10-31$42.32$41.0010.3%3.0%10.2%11.7%10.3%2.4%1.0%841.6K-4.5M-11.2K0.1498.15N/AN/A5072,000685