VEA Options History — December 2019

In December 2019, VEA traded between $42.59 and $44.40. ATM implied volatility averaged 9.7%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.7% (HV 20d: 8.0%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2019-12-23: Highest Volume — 539 contracts
  • 2019-12-09: Largest IV spike — 17.8% change
  • 2019-12-09: Highest IV Rank — 18.5%
  • 2019-12-04: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.65$42.59$44.40$42.76$43.98
Max Pain$41.90$40.00$44.00$40.00$44.00
ATM IV9.7%7.4%12.7%10.6%9.6%
Expected Move2.7%2.1%3.3%3.0%2.7%
HV 20d8.0%6.0%9.1%6.2%8.5%
HV 60d9.4%8.5%9.8%9.3%8.5%
IV Rank9.9%3.0%18.5%12.3%9.4%
IV Percentile27.2%1.2%66.7%40.9%27.8%
Term Structure1.1%-1.4%3.1%-1.0%0.8%
VWIV9.6%4.7%15.2%13.0%9.5%
Skew 25d3.7%0.9%5.5%4.9%5.2%
Skew 10d6.3%-6.6%16.4%9.9%5.3%
Call IV 25d7.4%5.0%9.8%8.4%6.5%
Put IV 25d11.1%7.0%14.8%13.4%11.7%
Bid-Ask Spread %91.0256.96119.0497.8676.41
Gamma HHI0.360.260.580.320.35
Net GEX516.4K284.2K637.6K568.1K445.5K
Net DEX-4.8M-7.3M-2.1M-4.2M-2.2M
Net VEX-12.4K-16.3K-9.7K-9.7K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.0011.370.240.16
Total Volume129.9521153910722
Total OI2,729.7621,8983,2232,5112,346

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$42.76$40.0010.6%3.0%6.2%12.3%13.0%4.9%-1.0%568.1K-4.2M-9.7K0.2497.86N/AN/A86211,876635
2019-12-03$42.59$40.0011.4%3.3%6.0%14.7%13.0%5.1%-1.4%571.3K-3.9M-10.4K3.0091.69N/AN/A391,935648
2019-12-04$42.98$40.0011.5%3.3%6.9%15.0%11.5%5.5%-1.4%572.6K-4.6M-9.8K0.0887.59N/AN/A2421,936653
2019-12-05$42.97$41.0011.5%3.0%6.9%15.0%0.0%3.2%1.6%586.2K-4.6M-9.7K10.00108.95N/AN/A202001,951653
2019-12-06$43.31$41.0010.8%2.9%7.3%12.9%9.9%2.7%1.7%561.9K-5.3M-9.7K0.0088.66N/AN/A5301,945753
2019-12-09$43.12$41.0012.7%3.2%7.5%18.5%10.2%3.5%1.1%560.5K-5.1M-10.0K0.0096.24N/AN/A02221,992752
2019-12-10$43.15$43.0012.6%3.1%7.5%18.1%0.0%3.7%1.1%555.9K-4.7M-12.2K0.0094.77N/AN/A2801,992966
2019-12-11$43.36$43.0010.9%3.1%7.7%13.3%8.3%3.5%1.2%538.7K-5.1M-12.2K0.0099.55N/AN/A26202,016966
2019-12-12$43.69$42.0010.0%2.9%8.0%10.6%0.0%4.5%1.1%542.2K-5.8M-12.7K0.00118.00N/AN/A10602,107976
2019-12-13$43.94$42.008.4%2.4%8.1%6.1%15.2%0.9%1.7%476.3K-6.5M-12.2K0.04119.04N/AN/A18272,133976
2019-12-16$44.40$42.009.1%2.6%8.6%8.2%9.5%5.0%1.3%404.7K-7.2M-11.7K0.06102.47N/AN/A4832,153969
2019-12-17$44.28$42.008.9%2.6%8.7%7.6%9.1%5.3%1.4%444.7K-7.0M-12.2K11.3799.96N/AN/A192162,174970
2019-12-18$44.15$42.008.4%2.4%8.8%6.0%7.2%4.4%1.9%570.7K-6.9M-11.6K0.1890.83N/AN/A55102,195944
2019-12-19$44.16$42.008.0%2.3%8.3%4.7%8.0%1.3%2.4%637.6K-7.0M-11.4K0.0194.56N/AN/A18022,190954
2019-12-20$44.24$42.007.4%2.1%8.2%3.0%4.7%4.3%3.1%497.8K-7.3M-12.2K0.0359.66N/AN/A23762,267956
2019-12-23$43.84$42.007.8%2.2%9.1%4.2%7.4%3.7%1.5%284.2K-2.1M-13.7K0.0578.46N/AN/A514251,241657
2019-12-24$43.78$43.007.8%2.2%8.8%4.4%0.0%3.4%1.5%496.3K-2.5M-16.1K5.0081.33N/AN/A3151,715682
2019-12-26$43.97$42.008.1%2.3%8.9%5.1%8.1%0.9%1.3%527.7K-2.9M-15.9K0.1488.45N/AN/A1421,718669
2019-12-27$44.09$42.009.0%2.6%8.9%7.6%9.2%2.0%1.1%539.0K-3.1M-16.1K0.2279.96N/AN/A921,715669
2019-12-30$43.83$44.009.8%2.8%8.7%10.1%9.4%4.3%0.5%463.4K-2.3M-15.3K1.3056.96N/AN/A53691,610670
2019-12-31$43.98$44.009.6%2.7%8.5%9.4%9.5%5.2%0.8%445.5K-2.2M-16.3K0.1676.41N/AN/A1931,614732