VEA Options History — March 2020

In March 2020, VEA traded between $28.79 and $40.73. ATM implied volatility averaged 47.5%, placing in the 75.0% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 7.9% (HV 20d: 55.4%). Max pain ranged from $33.00 to $41.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 14.06.

Notable Days

  • 2020-03-24: Highest Volume — 2,227 contracts
  • 2020-03-09: Largest IV spike — 62.7% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.98$28.79$40.73$39.84$33.16
Max Pain$36.82$33.00$41.00$41.00$33.00
ATM IV47.5%22.5%70.2%23.2%42.5%
Expected Move13.1%6.5%20.1%6.6%12.2%
HV 20d55.4%22.6%81.6%22.8%81.0%
HV 60d34.5%15.5%48.4%15.6%48.4%
IV Rank75.0%42.4%100.0%47.3%56.6%
IV Percentile98.0%94.0%100.0%98.4%94.0%
Term Structure-7.2%-20.7%7.1%5.8%-4.7%
VWIV48.1%21.2%68.3%28.6%57.1%
Skew 25d16.4%-2.6%33.6%9.6%14.2%
Skew 10d28.2%4.4%62.0%4.4%31.8%
Call IV 25d40.0%19.8%65.2%25.8%36.2%
Put IV 25d56.4%30.3%94.2%35.4%50.4%
Bid-Ask Spread %84.3661.54111.0175.4261.54
Gamma HHI0.150.120.260.170.12
Net GEX-1.3K-74.9K83.5K57.5K-68.3K
Net DEX2.2M793.0K2.9M1.3M2.4M
Net VEX-8.1K-13.1K-2.9K-13.1K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.060.07201.451.3315.50
Total Volume273.818482,227168330
Total OI4,025.3182,9765,6653,3475,665

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$39.84$41.0023.2%6.6%22.8%47.3%28.6%9.6%5.8%57.5K1.3M-13.1K1.3375.42N/AN/A72962,1881,159
2020-03-03$39.82$41.0032.2%9.2%22.6%72.7%29.4%12.3%-7.1%60.3K1.2M-11.8K0.6972.08N/AN/A55382,1441,156
2020-03-04$40.73$41.0022.5%6.5%23.5%45.4%33.9%10.5%-3.2%83.5K793.0K-12.1K7.1164.46N/AN/A9642,1581,188
2020-03-05$39.66$41.0030.8%6.9%24.3%68.7%21.2%10.6%-2.8%34.4K1.6M-11.6K0.0767.85N/AN/A220162,1591,240
2020-03-06$39.06$41.0036.1%8.5%24.4%83.6%32.0%10.7%-4.0%37.4K1.7M-12.6K6.4569.15N/AN/A11712,3621,244
2020-03-09$36.32$41.0058.7%12.8%34.0%100.0%22.5%14.8%-1.1%-1.8K2.7M-9.6K4.1581.93N/AN/A13542,3611,240
2020-03-10$37.17$41.0054.0%11.3%35.7%91.0%39.3%22.6%-13.2%9852.4M-10.1K11.0084.01N/AN/A4442,3591,203
2020-03-11$35.42$41.0043.6%12.5%38.0%71.2%35.0%10.8%-7.2%3572.5M-9.5K0.2794.98N/AN/A203542,3611,202
2020-03-12$31.70$41.0060.6%17.4%51.4%100.0%55.6%14.6%-17.6%1.8K2.9M-4.8K5.69104.28N/AN/A261482,5611,132
2020-03-13$32.94$41.0047.8%13.7%54.9%76.5%50.9%-2.6%7.1%-3.1K2.5M-7.8K0.76111.01N/AN/A50382,5741,136
2020-03-16$29.91$37.0064.9%18.6%61.9%100.0%68.3%33.6%-20.3%2.3K2.5M-6.3K0.4796.58N/AN/A2331102,6501,144
2020-03-17$30.99$33.0064.5%18.5%64.7%99.3%64.4%29.2%-20.7%9.1K2.6M-5.1K0.9787.67N/AN/A37362,8571,100
2020-03-18$28.79$33.0070.2%20.1%67.2%100.0%62.4%28.7%-15.7%8.3K2.5M-4.6K1.27103.59N/AN/A1461852,8891,111
2020-03-19$29.87$33.0064.8%18.6%70.2%91.6%68.3%30.0%-17.4%12.1K2.3M-4.7K25.6094.09N/AN/A51282,9751,034
2020-03-20$29.56$33.0050.2%14.4%70.0%68.8%57.7%18.5%-7.5%7.6K2.5M-3.7K4.2096.53N/AN/A301262,9921,114
2020-03-23$28.81$33.0050.4%14.5%69.8%69.1%50.4%13.7%0.9%-3.7K2.1M-3.1K3.4685.30N/AN/A13451,980996
2020-03-24$31.20$33.0047.4%13.6%78.1%64.4%58.2%16.4%-5.2%9.2K2.0M-2.9K201.4578.56N/AN/A112,2161,9871,000
2020-03-25$32.69$33.0033.4%9.6%80.9%42.4%52.1%17.0%-0.9%-69.7K2.5M-8.2K8.90102.11N/AN/A494361,9933,174
2020-03-26$33.50$33.0047.4%13.6%81.6%64.4%49.5%12.2%-6.0%-62.9K2.3M-9.0K0.9781.21N/AN/A100972,0353,472
2020-03-27$32.95$33.0052.3%15.0%81.4%72.0%60.0%16.0%-10.2%-74.9K2.6M-10.3K6.8777.85N/AN/A302062,0773,530
2020-03-30$33.36$33.0047.8%13.7%81.0%65.0%61.5%16.9%-6.8%-70.0K2.3M-9.1K2.1965.79N/AN/A531162,0813,574
2020-03-31$33.16$33.0042.5%12.2%81.0%56.6%57.1%14.2%-4.7%-68.3K2.4M-8.3K15.5061.54N/AN/A203102,1033,562