VEA Options History — January 2020

In January 2020, VEA traded between $42.67 and $44.62. ATM implied volatility averaged 10.3%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.6% (HV 20d: 8.6%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2020-01-15: Highest Volume — 344 contracts
  • 2020-01-15: Largest IV spike — 32.0% change
  • 2020-01-31: Highest IV Rank — 23.2%
  • 2020-01-31: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.02$42.67$44.62$44.34$42.67
Max Pain$44.00$44.00$44.00$44.00$44.00
ATM IV10.3%7.3%14.3%9.9%14.3%
Expected Move3.0%2.2%4.1%2.8%4.1%
HV 20d8.6%7.0%11.1%8.5%11.1%
HV 60d7.9%7.2%9.0%8.6%9.0%
IV Rank11.4%2.8%23.2%10.5%23.2%
IV Percentile40.2%1.2%86.5%32.9%86.5%
Term Structure0.7%-0.7%1.5%0.5%-0.7%
VWIV10.1%7.8%13.7%9.9%13.7%
Skew 25d4.2%2.6%6.7%3.9%4.6%
Skew 10d5.2%-9.5%12.3%-1.2%-9.5%
Call IV 25d8.2%5.2%12.7%5.2%12.7%
Put IV 25d12.4%9.0%17.3%9.0%17.3%
Bid-Ask Spread %62.3412.6890.7964.9787.93
Gamma HHI0.350.230.400.400.23
Net GEX504.0K233.3K715.0K534.9K233.3K
Net DEX-2.7M-4.3M-794.9K-2.9M-794.9K
Net VEX-15.8K-17.2K-14.6K-16.1K-14.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.007.000.671.67
Total Volume61.52443444032
Total OI2,701.2862,3612,9722,3612,969

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$44.34$44.009.9%2.8%8.5%10.5%9.9%3.9%0.5%534.9K-2.9M-16.1K0.6764.97N/AN/A24161,626735
2020-01-03$43.91$44.009.4%2.7%9.1%8.9%9.3%3.8%1.2%476.4K-2.2M-15.9K0.8552.24N/AN/A13111,643751
2020-01-06$44.03$44.0010.2%2.9%9.1%11.2%8.3%3.8%1.2%488.2K-2.2M-15.7K0.3673.56N/AN/A1141,642762
2020-01-07$44.00$44.009.5%2.9%8.7%9.1%0.0%3.5%0.8%481.0K-2.3M-15.3K0.0178.07N/AN/A13911,643762
2020-01-08$44.16$44.009.7%2.9%8.6%9.8%12.1%4.3%1.0%537.4K-3.0M-15.7K0.1576.73N/AN/A2641,781762
2020-01-09$44.15$44.009.8%2.8%8.6%10.2%8.7%3.7%0.9%544.9K-3.0M-15.8K7.0079.63N/AN/A2141,806766
2020-01-10$44.01$44.009.7%2.9%8.6%9.9%0.0%2.6%0.9%519.6K-2.8M-15.5K0.0071.77N/AN/A401,806780
2020-01-13$44.25$44.009.5%3.0%8.4%9.3%8.7%3.8%0.7%573.8K-3.2M-15.2K0.0073.79N/AN/A2301,806780
2020-01-14$44.35$44.007.3%2.9%8.2%2.8%9.3%3.8%0.9%585.0K-3.4M-14.9K1.0670.29N/AN/A17181,809780
2020-01-15$44.28$44.009.6%2.8%7.3%9.5%8.7%3.2%1.2%586.2K-3.3M-14.6K0.0145.30N/AN/A34131,824789
2020-01-16$44.51$44.007.8%2.2%7.5%4.2%8.2%3.9%1.4%715.0K-3.8M-17.2K0.0073.76N/AN/A2502,162788
2020-01-17$44.62$44.007.7%2.2%7.4%4.1%7.8%3.7%1.5%711.9K-4.3M-16.6K0.5332.73N/AN/A1582,184788
2020-01-21$44.34$44.0010.2%2.9%7.8%11.2%10.4%3.0%0.9%545.5K-3.4M-16.3K0.2412.68N/AN/A168401,950744
2020-01-22$44.39$44.009.9%2.8%7.8%10.4%9.4%3.2%0.8%595.5K-3.6M-17.1K0.3939.80N/AN/A2392,030784
2020-01-23$44.33$44.0010.6%3.0%7.0%12.4%10.1%4.8%0.5%564.3K-3.4M-16.7K0.6020.71N/AN/A1062,041779
2020-01-24$44.09$44.0011.7%3.4%7.3%15.6%9.6%4.5%0.1%505.2K-3.0M-16.8K0.1428.17N/AN/A2232,049785
2020-01-27$43.27$44.0013.5%3.9%9.8%20.8%12.0%6.0%0.0%318.1K-1.6M-14.8K1.3473.07N/AN/A44592,052785
2020-01-28$43.59$44.0010.9%3.1%10.2%13.2%12.6%6.7%0.3%360.2K-1.9M-15.2K3.8976.93N/AN/A9352,079839
2020-01-29$43.59$44.0011.2%3.2%10.0%14.1%11.5%5.9%0.3%389.0K-2.0M-15.4K0.4286.27N/AN/A55232,074848
2020-01-30$43.44$44.0013.1%3.8%9.9%19.7%11.1%6.3%0.0%318.0K-1.6M-15.3K0.8490.79N/AN/A19162,074870
2020-01-31$42.67$44.0014.3%4.1%11.1%23.2%13.7%4.6%-0.7%233.3K-794.9K-14.6K1.6787.93N/AN/A12202,088881