VEA Options History — May 2020

In May 2020, VEA traded between $34.78 and $37.83. ATM implied volatility averaged 23.4%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 3.2% (HV 20d: 26.7%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 4.24.

Notable Days

  • 2020-05-28: Highest Volume — 614 contracts
  • 2020-05-13: Largest IV spike — 46.7% change
  • 2020-05-01: Highest IV Rank — 34.3%
  • 2020-05-04: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.90$34.78$37.83$34.91$37.66
Max Pain$34.95$34.00$35.00$34.00$35.00
ATM IV23.4%18.5%28.7%28.7%21.2%
Expected Move6.8%5.9%8.2%8.2%6.1%
HV 20d26.7%22.1%34.0%34.0%24.6%
HV 60d52.9%52.5%53.6%52.5%52.8%
IV Rank25.9%18.1%34.3%34.3%22.4%
IV Percentile79.8%75.0%84.9%84.9%75.4%
Term Structure-0.8%-2.9%2.9%0.2%-0.6%
VWIV24.5%17.6%42.8%31.0%21.2%
Skew 25d8.8%6.6%12.0%6.6%7.6%
Skew 10d19.8%7.7%33.3%33.3%19.4%
Call IV 25d20.2%17.6%24.3%23.5%19.4%
Put IV 25d29.0%24.6%36.3%30.1%27.0%
Bid-Ask Spread %73.1757.2090.5790.5774.37
Gamma HHI0.300.210.560.220.21
Net GEX272.3K125.1K440.8K125.1K335.7K
Net DEX-982.0K-3.1M624.5K624.5K-3.1M
Net VEX-9.1K-9.9K-6.8K-6.8K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.240.0070.000.020.45
Total Volume159.424614520204
Total OI4,291.63,7364,8073,7364,509

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$34.91$34.0028.7%8.2%34.0%34.3%31.0%6.6%0.2%125.1K624.5K-6.8K0.0290.57N/AN/A508122,0701,666
2020-05-04$34.85$35.0028.7%8.2%32.7%34.3%42.8%12.0%-2.4%181.6K819-9.1K0.6679.59N/AN/A73482,5581,676
2020-05-05$35.00$35.0027.0%7.6%27.5%31.6%27.6%11.3%-1.9%244.8K-240.6K-9.0K4.8370.70N/AN/A231112,6801,707
2020-05-06$34.85$35.0025.6%7.5%27.1%29.3%35.2%10.8%-1.5%237.2K-63.3K-8.7K1.8360.08N/AN/A12222,7011,757
2020-05-07$35.33$35.0026.3%7.4%27.5%30.5%23.2%9.0%-2.5%296.7K-508.9K-8.8K1.3766.91N/AN/A781072,7071,777
2020-05-08$35.88$35.0019.2%6.6%26.6%19.2%22.9%8.6%-0.4%392.5K-1.0M-9.7K0.1076.74N/AN/A5862,7741,880
2020-05-11$35.92$35.0021.4%6.4%26.3%22.7%19.7%8.9%0.6%440.8K-1.2M-9.5K0.0175.64N/AN/A39352,8111,885
2020-05-12$35.52$35.0018.5%6.0%26.0%18.1%24.9%9.1%0.4%360.4K-623.2K-9.6K0.6778.86N/AN/A55372,8341,885
2020-05-13$35.02$35.0027.2%7.8%24.0%31.8%25.2%10.9%-2.9%260.4K29.0K-9.0K0.1775.54N/AN/A4782,7901,889
2020-05-14$34.83$35.0025.5%7.3%24.1%29.2%25.6%10.9%-0.7%251.4K379.0K-8.5K0.0178.49N/AN/A13112,8121,886
2020-05-15$34.78$35.0024.4%7.0%22.1%27.5%24.5%11.6%2.9%314.7K231.4K-9.1K0.1474.72N/AN/A104152,9211,886
2020-05-18$36.34$35.0023.3%6.7%26.6%25.7%22.2%8.3%-1.3%206.1K-960.2K-9.2K0.4171.44N/AN/A154632,5221,300
2020-05-19$36.00$35.0021.9%6.3%25.7%23.5%17.6%8.3%-0.9%226.4K-926.9K-9.7K0.0072.61N/AN/A4102,6561,296
2020-05-20$36.50$35.0022.3%6.4%25.5%24.1%20.7%7.1%-0.6%256.0K-1.7M-9.4K0.9673.56N/AN/A28272,6971,212
2020-05-21$36.14$35.0022.3%6.4%25.9%24.1%27.0%8.0%-0.5%239.5K-1.3M-9.4K70.0066.70N/AN/A1702,7071,223
2020-05-22$35.99$35.0021.5%6.2%25.8%22.8%20.8%7.0%-0.2%245.8K-1.2M-9.0K2.0074.49N/AN/A8162,7081,281
2020-05-26$37.09$35.0020.5%5.9%27.4%21.3%21.5%6.7%-0.9%274.4K-2.3M-8.9K0.4685.77N/AN/A24112,7061,292
2020-05-27$37.49$35.0022.4%6.4%27.5%24.2%19.4%7.0%-2.0%285.8K-2.7M-8.9K0.5959.52N/AN/A46272,7591,297
2020-05-28$37.83$35.0020.6%5.9%26.2%21.4%17.6%7.3%-0.2%270.3K-3.1M-9.4K0.0657.20N/AN/A580342,7911,324
2020-05-29$37.66$35.0021.2%6.1%24.6%22.4%21.2%7.6%-0.6%335.7K-3.1M-9.9K0.4574.37N/AN/A141633,1641,345