VEA Options History — April 2020

In April 2020, VEA traded between $31.70 and $36.50. ATM implied volatility averaged 31.8%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 23.6% (HV 20d: 55.3%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.08.

Notable Days

  • 2020-04-06: Highest Volume — 477 contracts
  • 2020-04-21: Largest IV spike — 81.8% change
  • 2020-04-01: Highest IV Rank — 63.4%
  • 2020-04-01: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.27$31.70$36.50$31.94$35.66
Max Pain$33.95$33.00$34.00$33.00$34.00
ATM IV31.8%18.6%46.8%46.8%25.0%
Expected Move8.9%5.3%13.4%13.4%7.2%
HV 20d55.3%32.9%81.1%80.6%32.9%
HV 60d51.2%48.8%52.5%48.8%52.5%
IV Rank39.3%18.2%63.4%63.4%28.4%
IV Percentile88.3%81.3%94.4%94.4%84.1%
Term Structure-0.5%-5.2%8.8%-4.5%0.3%
VWIV33.3%22.4%51.2%46.8%25.9%
Skew 25d11.4%6.8%15.7%13.4%9.3%
Skew 10d25.5%16.8%40.1%29.6%20.6%
Call IV 25d26.9%20.8%40.9%40.9%22.1%
Put IV 25d38.3%28.7%54.3%54.3%31.4%
Bid-Ask Spread %57.6121.1083.5863.6883.58
Gamma HHI0.180.120.460.130.25
Net GEX72.7K-98.2K277.2K-98.2K157.6K
Net DEX1.2M-388.5K2.9M2.9M155.4K
Net VEX-7.2K-8.9K-6.2K-8.9K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.0114.771.410.13
Total Volume145.0952047721960
Total OI4,937.4293,4556,5915,6103,691

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$31.94$33.0046.8%13.4%80.6%63.4%46.8%13.4%-4.5%-98.2K2.9M-8.9K1.4163.68N/AN/A911282,1073,503
2020-04-02$32.40$34.0044.2%11.7%81.0%59.4%42.8%14.9%-3.4%-74.0K2.6M-8.5K3.3338.58N/AN/A6202,1853,529
2020-04-03$31.70$34.0039.4%10.8%81.1%51.8%51.2%15.1%-3.5%-91.1K2.9M-8.2K10.2754.76N/AN/A111132,1913,510
2020-04-06$33.41$34.0034.6%9.6%80.5%44.3%43.0%13.8%-3.3%-1161.8M-6.2K0.5940.69N/AN/A3001772,1923,450
2020-04-07$33.91$34.0038.7%8.2%80.2%50.8%35.8%13.1%-5.2%56.4K1.2M-7.3K1.3155.55N/AN/A55722,3513,492
2020-04-08$34.01$34.0033.0%9.5%78.5%41.8%38.7%13.0%-0.7%67.3K1.1M-7.3K0.7821.10N/AN/A60472,4023,500
2020-04-09$34.86$34.0031.4%9.0%67.6%38.5%35.3%11.3%-0.5%72.3K566.1K-7.3K14.7751.24N/AN/A131922,3823,531
2020-04-13$34.50$34.0033.3%9.6%66.6%41.6%38.4%12.1%-0.9%93.8K743.9K-6.6K0.5058.10N/AN/A54272,3903,582
2020-04-14$35.11$34.0031.9%9.1%55.5%39.3%29.6%8.9%0.7%94.7K273.7K-6.4K0.7871.97N/AN/A63492,4253,588
2020-04-15$34.06$34.0033.4%9.6%56.1%41.7%31.4%11.8%-0.7%145.0K972.8K-6.9K1.0157.30N/AN/A2182212,4783,625
2020-04-16$33.98$34.0033.0%9.5%48.0%41.1%32.0%11.5%-1.8%166.7K1.7M-6.8K1.8945.88N/AN/A18342,5673,832
2020-04-17$34.92$34.0029.1%8.3%47.4%34.9%31.4%9.7%0.2%277.2K551.8K-7.5K0.2046.10N/AN/A245482,7573,834
2020-04-20$34.52$34.0018.6%5.3%47.4%18.2%23.7%6.8%8.8%42.2K1.4M-7.2K0.7264.85N/AN/A65471,7471,708
2020-04-21$33.85$34.0033.8%9.7%46.9%42.3%37.8%12.1%-1.4%26.6K1.7M-7.3K3.0049.99N/AN/A8241,7931,715
2020-04-22$34.41$34.0032.1%9.2%38.7%39.7%29.5%11.0%1.3%43.4K1.5M-7.2K1.0069.11N/AN/A13131,8001,744
2020-04-23$34.39$34.0031.0%8.9%35.5%37.9%29.7%9.9%0.2%46.8K1.4M-6.9K0.1166.87N/AN/A1821,8111,744
2020-04-24$34.74$34.0025.9%7.4%34.7%29.9%24.1%9.3%1.3%63.3K1.3M-6.7K0.0173.81N/AN/A14021,8241,746
2020-04-27$35.25$34.0025.5%7.3%34.2%29.2%24.0%9.5%-0.3%126.7K604.8K-6.7K1.2655.48N/AN/A31391,9641,643
2020-04-28$35.57$34.0023.3%6.7%34.1%25.7%22.4%7.6%2.1%143.9K370.4K-6.6K0.1359.74N/AN/A193261,9861,676
2020-04-29$36.50$34.0023.6%6.8%34.9%26.2%25.0%15.7%-0.1%165.9K-388.5K-8.0K0.3981.46N/AN/A75292,0131,678
2020-04-30$35.66$34.0025.0%7.2%32.9%28.4%25.9%9.3%0.3%157.6K155.4K-6.8K0.1383.58N/AN/A5372,0271,664