VEA Options History — November 2019

In November 2019, VEA traded between $42.75 and $43.28. ATM implied volatility averaged 9.9%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 3.0% (HV 20d: 6.8%). 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 14 of 20 days. Put/call ratio averaged 1.57.

Notable Days

  • 2019-11-13: Highest Volume — 772 contracts
  • 2019-11-04: Largest IV drop — 62.6% change
  • 2019-11-01: Highest IV Rank — 36.6%
  • 2019-11-01: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.99$42.75$43.28$42.75$42.97
Max Pain$40.05$40.00$41.00$41.00$40.00
ATM IV9.9%7.1%18.9%18.9%9.9%
Expected Move3.0%2.7%5.4%5.4%2.8%
HV 20d6.8%5.0%10.2%10.2%6.9%
HV 60d10.1%9.3%11.8%11.8%9.3%
IV Rank10.2%2.2%36.6%36.6%10.5%
IV Percentile23.8%0.4%92.1%92.1%28.2%
Term Structure-0.1%-18.3%3.6%-18.3%0.0%
VWIV10.8%5.4%14.2%5.4%12.4%
Skew 25d3.2%-13.9%6.7%-13.9%5.3%
Skew 10d5.4%-3.5%8.8%-3.5%6.7%
Call IV 25d8.4%5.0%21.7%21.7%6.5%
Put IV 25d11.6%7.9%13.1%7.9%11.9%
Bid-Ask Spread %89.6572.25108.69108.6974.60
Gamma HHI0.310.270.440.440.30
Net GEX563.2K410.5K766.6K692.8K547.4K
Net DEX-5.4M-6.8M-4.2M-5.4M-4.7M
Net VEX-10.2K-11.5K-9.6K-10.6K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.0020.000.110.50
Total Volume79.85772319
Total OI2,635.952,3483,0372,6662,502

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$42.75$41.0018.9%5.4%10.2%36.6%0.0%-13.9%-18.3%692.8K-5.4M-10.6K0.11108.69N/AN/A2831,975691
2019-11-04$42.99$40.007.1%2.8%10.2%2.2%5.4%6.7%3.6%618.6K-6.0M-10.0K0.0894.29N/AN/A5242,003691
2019-11-05$43.00$40.009.2%2.8%9.1%8.4%8.8%1.9%1.8%656.7K-5.8M-10.0K0.0091.32N/AN/A21002,008695
2019-11-06$42.95$40.008.3%2.8%9.2%5.8%0.0%2.6%2.0%630.2K-5.9M-9.9K0.5094.96N/AN/A632,041695
2019-11-07$43.11$40.008.8%2.9%9.2%7.1%14.2%3.1%1.1%478.4K-6.0M-10.0K1.5094.84N/AN/A10152,042698
2019-11-08$43.05$40.008.3%3.0%6.7%5.7%11.5%4.1%1.3%410.5K-6.1M-9.7K1.6794.96N/AN/A15252,049694
2019-11-11$43.00$40.007.7%3.0%6.2%4.0%12.5%3.2%1.2%545.5K-5.9M-9.6K0.0288.95N/AN/A10122,062719
2019-11-12$43.00$40.008.8%3.0%5.0%7.1%10.1%3.3%1.0%574.4K-6.1M-9.9K0.1685.23N/AN/A3862,080720
2019-11-13$42.90$40.0010.5%3.0%5.2%12.2%12.6%3.3%1.2%537.8K-5.7M-9.9K0.0186.14N/AN/A76572,069726
2019-11-14$42.83$40.0010.4%3.0%5.3%11.8%11.9%3.3%1.4%663.1K-6.3M-11.5K0.7594.89N/AN/A432,304730
2019-11-15$43.09$40.009.8%2.8%5.6%10.2%11.3%5.7%1.5%766.6K-6.8M-10.9K1.18100.15N/AN/A34402,304733
2019-11-18$43.16$40.009.9%2.8%5.4%10.3%10.7%3.6%0.2%477.2K-4.7M-10.2K0.0194.49N/AN/A6911,766582
2019-11-19$43.10$40.0010.4%3.0%5.3%11.8%10.6%3.5%-0.2%498.0K-4.8M-10.4K1.4377.77N/AN/A7101,816581
2019-11-20$42.82$40.0010.1%2.9%5.9%10.9%10.9%5.7%-0.6%510.2K-4.2M-10.8K2.6086.91N/AN/A10261,822591
2019-11-21$42.75$40.0010.2%2.9%6.0%11.2%0.0%5.1%-0.2%518.8K-4.2M-10.9K0.0090.61N/AN/A2601,824617
2019-11-22$42.81$40.009.6%2.8%6.0%9.6%10.2%4.4%-0.3%539.3K-4.3M-10.7K0.1384.61N/AN/A811,850617
2019-11-25$43.15$40.009.6%2.8%6.4%9.6%9.6%5.5%0.4%538.0K-4.9M-9.7K0.6897.02N/AN/A19131,852618
2019-11-26$43.16$40.009.5%2.7%6.4%9.3%9.4%5.0%0.2%528.4K-4.9M-9.7K0.0080.27N/AN/A501,853615
2019-11-27$43.28$40.0010.0%2.9%6.4%10.7%0.0%3.1%-0.2%531.4K-5.2M-9.6K20.0072.25N/AN/A1201,869615
2019-11-29$42.97$40.009.9%2.8%6.9%10.5%12.4%5.3%0.0%547.4K-4.7M-9.9K0.5074.60N/AN/A631,870632