VEA Options History — June 2020

In June 2020, VEA traded between $38.16 and $40.75. ATM implied volatility averaged 24.4%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.6% (HV 20d: 27.1%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.43.

Notable Days

  • 2020-06-23: Highest Volume — 1,165 contracts
  • 2020-06-11: Largest IV spike — 33.8% change
  • 2020-06-11: Highest IV Rank — 35.2%
  • 2020-06-11: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.24$38.16$40.75$38.43$38.84
Max Pain$36.82$35.00$38.00$35.00$37.00
ATM IV24.4%21.7%29.3%23.6%21.9%
Expected Move6.8%5.6%8.4%6.8%6.3%
HV 20d27.1%23.6%32.1%23.6%26.4%
HV 60d37.4%27.6%52.8%52.8%27.6%
IV Rank27.5%23.1%35.2%26.2%23.5%
IV Percentile78.5%68.7%85.7%80.6%68.7%
Term Structure-1.1%-3.5%0.9%-1.9%0.9%
VWIV24.2%20.3%31.9%22.1%24.3%
Skew 25d7.9%5.8%10.2%7.4%7.3%
Skew 10d17.9%10.4%29.8%16.8%19.6%
Call IV 25d20.9%17.5%25.7%19.8%19.4%
Put IV 25d28.8%24.0%35.4%27.2%26.7%
Bid-Ask Spread %42.1816.9878.5565.4130.23
Gamma HHI0.230.130.490.210.15
Net GEX356.5K166.5K663.7K386.0K210.6K
Net DEX-5.2M-9.0M-1.8M-4.2M-2.0M
Net VEX-12.1K-15.2K-9.9K-10.2K-14.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.011.480.271.15
Total Volume336.864281,16514428
Total OI4,640.3642,6625,9894,6853,256

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$38.43$35.0023.6%6.8%23.6%26.2%22.1%7.4%-1.9%386.0K-4.2M-10.2K0.2765.41N/AN/A113313,2821,403
2020-06-02$38.83$35.0022.7%6.5%23.6%24.8%23.7%7.0%-2.7%373.1K-5.0M-10.7K0.0655.30N/AN/A360233,3351,433
2020-06-03$39.86$35.0022.9%6.6%24.7%25.1%23.6%6.6%-2.9%359.1K-7.1M-10.6K0.2335.94N/AN/A266603,4861,450
2020-06-04$39.57$37.0021.9%5.6%24.9%23.6%21.6%7.1%-0.1%398.6K-6.8M-11.0K1.1727.42N/AN/A4835643,6011,485
2020-06-05$40.30$37.0024.9%6.0%25.1%28.3%20.7%7.6%-2.0%353.3K-8.2M-10.6K0.0570.61N/AN/A990453,6811,496
2020-06-08$40.75$37.0022.8%5.8%25.0%24.9%22.7%5.8%-0.9%317.4K-9.0M-9.9K0.0641.72N/AN/A16293,7491,526
2020-06-09$40.40$37.0025.8%6.2%25.5%29.6%20.3%6.3%-1.6%352.4K-8.4M-10.2K0.1446.79N/AN/A242353,7741,532
2020-06-10$40.26$37.0021.9%6.3%24.9%23.5%21.8%6.2%-0.8%377.2K-8.2M-10.4K0.9374.22N/AN/A57533,8071,527
2020-06-11$38.16$38.0029.3%8.4%32.1%35.2%28.0%9.8%-3.5%400.9K-4.3M-12.0K0.3137.86N/AN/A249783,8701,550
2020-06-12$38.61$38.0027.3%7.8%32.0%32.0%31.9%10.2%-1.7%414.9K-5.0M-12.4K0.0664.86N/AN/A391243,9151,616
2020-06-15$38.69$37.0025.3%7.3%31.9%29.0%29.0%9.8%-1.2%447.9K-5.5M-11.5K0.5755.56N/AN/A2691524,0361,630
2020-06-16$39.17$37.0026.1%7.5%28.7%30.1%25.6%7.4%-2.0%529.3K-6.7M-12.0K0.0178.55N/AN/A33144,2111,649
2020-06-17$39.41$37.0025.6%7.3%28.3%29.3%23.4%7.6%-1.9%663.7K-7.3M-12.2K0.0940.68N/AN/A7064,3371,652
2020-06-18$39.22$37.0024.9%7.1%28.2%28.3%23.2%7.0%-0.5%567.2K-6.5M-11.6K0.0437.74N/AN/A10944,3091,658
2020-06-19$39.09$37.0023.6%6.8%27.9%26.2%21.2%8.5%0.9%590.4K-6.2M-11.5K0.0643.42N/AN/A319184,3211,657
2020-06-22$39.31$37.0024.7%7.1%27.7%27.9%24.8%8.0%-0.8%166.5K-2.3M-11.7K0.2721.62N/AN/A203541,750912
2020-06-23$39.55$37.0021.7%6.2%26.0%23.1%26.9%7.6%0.5%210.4K-2.9M-13.2K0.6916.98N/AN/A6884771,901905
2020-06-24$38.69$37.0026.1%7.5%27.3%30.2%26.0%9.9%-1.1%171.6K-2.0M-15.1K0.5319.73N/AN/A128681,9761,027
2020-06-25$38.94$37.0025.2%7.2%27.3%28.7%22.7%9.2%-0.5%182.8K-2.2M-15.2K0.3921.39N/AN/A54211,9891,073
2020-06-26$38.52$37.0025.3%7.3%27.5%28.9%26.2%9.4%-0.5%175.9K-1.8M-15.0K1.4819.48N/AN/A23342,0481,091
2020-06-29$38.74$37.0024.1%6.9%26.7%27.0%22.4%8.7%0.1%194.1K-2.0M-14.7K0.9022.44N/AN/A61552,0601,122
2020-06-30$38.84$37.0021.9%6.3%26.4%23.5%24.3%7.3%0.9%210.6K-2.0M-14.8K1.1530.23N/AN/A13152,0851,171