VEA Options History — July 2020

In July 2020, VEA traded between $39.01 and $41.16. ATM implied volatility averaged 19.2%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.9% (HV 20d: 17.3%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2020-07-10: Highest Volume — 1,840 contracts
  • 2020-07-13: Largest IV spike — 21.8% change
  • 2020-07-14: Highest IV Rank — 25.3%
  • 2020-07-13: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.15$39.01$41.16$39.01$39.74
Max Pain$37.73$37.00$39.00$37.00$37.00
ATM IV19.2%15.7%23.0%21.5%20.0%
Expected Move5.5%4.5%6.8%6.2%5.7%
HV 20d17.3%13.0%24.8%24.6%16.5%
HV 60d23.7%21.8%25.7%25.7%22.5%
IV Rank19.2%13.6%25.3%22.8%20.5%
IV Percentile62.4%55.6%73.0%67.1%61.9%
Term Structure1.0%-0.9%2.6%0.6%1.1%
VWIV19.5%13.9%24.6%22.1%19.2%
Skew 25d7.0%4.8%8.7%6.8%6.6%
Skew 10d13.7%4.9%20.1%17.6%4.9%
Call IV 25d16.5%13.0%18.7%18.1%17.9%
Put IV 25d23.5%19.5%27.2%25.0%24.6%
Bid-Ask Spread %63.7231.3079.5735.4563.49
Gamma HHI0.360.160.500.160.43
Net GEX537.2K229.5K828.5K229.5K565.1K
Net DEX-5.6M-8.3M-2.2M-2.2M-5.1M
Net VEX-21.6K-29.0K-13.2K-14.7K-27.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.0013.431.350.10
Total Volume297.63631,8404787
Total OI4,486.3643,2735,5753,2735,262

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$39.01$37.0021.5%6.2%24.6%22.8%22.1%6.8%0.6%229.5K-2.2M-14.7K1.3535.45N/AN/A20272,0931,180
2020-07-02$39.38$37.0020.7%5.9%24.8%21.6%20.0%4.8%1.6%249.2K-2.7M-14.7K0.0539.65N/AN/A8242,1061,210
2020-07-06$39.93$39.0020.7%5.9%24.4%21.6%23.1%7.7%1.3%273.0K-3.4M-14.3K1.0174.33N/AN/A5305372,1461,215
2020-07-07$39.49$39.0022.8%6.4%24.3%24.9%22.2%8.3%-0.0%292.2K-3.2M-13.7K1.1971.58N/AN/A16192,1661,196
2020-07-08$39.68$39.0019.3%5.8%24.2%19.4%24.6%8.3%-0.2%308.5K-3.3M-13.2K0.0771.43N/AN/A6952,1791,200
2020-07-09$39.26$39.0022.9%6.5%24.5%25.0%22.7%8.5%1.1%295.5K-2.8M-13.3K0.5844.82N/AN/A65382,2061,205
2020-07-10$39.62$39.0018.6%5.8%15.0%18.3%18.5%8.6%-0.9%323.9K-3.2M-13.2K0.0077.93N/AN/A1,83912,2001,213
2020-07-13$39.50$39.0022.7%6.8%14.6%24.7%19.0%8.7%0.2%697.2K-5.8M-23.8K0.0579.31N/AN/A201104,0291,214
2020-07-14$39.98$39.0023.0%6.1%15.1%25.3%24.0%8.2%-0.3%718.5K-6.3M-23.8K0.6575.84N/AN/A2331524,0861,221
2020-07-15$40.52$39.0019.4%5.6%15.2%19.6%24.2%7.5%0.6%711.8K-8.3M-26.4K0.8377.58N/AN/A7626334,2071,231
2020-07-16$40.20$37.0020.3%5.8%15.5%21.0%17.0%6.9%1.2%828.5K-7.4M-26.1K0.0357.74N/AN/A9034,2621,230
2020-07-17$40.40$37.0019.6%5.6%15.4%19.9%18.9%7.3%1.2%642.0K-8.3M-25.9K0.4179.57N/AN/A56234,3421,233
2020-07-20$40.64$37.0016.8%4.8%15.3%15.4%16.8%6.1%1.4%624.4K-6.5M-25.1K0.7771.03N/AN/A52403,5831,016
2020-07-21$40.81$37.0016.7%4.8%15.3%15.3%13.9%6.0%0.8%633.9K-7.0M-25.0K0.0257.81N/AN/A6013,6161,017
2020-07-22$40.91$37.0015.7%4.5%15.2%13.6%15.3%6.0%2.6%639.2K-7.2M-24.9K0.3872.96N/AN/A37143,6501,018
2020-07-23$40.55$37.0016.1%4.6%13.1%14.2%18.3%5.6%1.5%610.5K-6.5M-24.4K2.0054.57N/AN/A20403,6331,008
2020-07-24$40.34$37.0018.0%5.2%13.2%17.4%16.3%6.5%1.3%614.2K-6.0M-24.1K0.1131.30N/AN/A1923,6511,033
2020-07-27$40.91$37.0016.9%4.8%13.0%15.6%18.8%5.7%1.1%641.8K-7.2M-23.9K13.4347.67N/AN/A141883,6531,035
2020-07-28$40.78$37.0016.0%4.6%13.2%14.1%16.7%6.3%2.2%632.1K-6.9M-24.8K0.5075.69N/AN/A213,6681,177
2020-07-29$41.16$37.0016.9%4.9%13.4%15.6%18.2%6.7%1.2%645.9K-7.6M-24.3K0.0377.45N/AN/A509133,6691,178
2020-07-30$40.59$37.0017.7%5.1%14.7%16.8%18.9%6.4%1.6%641.4K-6.9M-29.0K0.2164.62N/AN/A2864,0741,189
2020-07-31$39.74$37.0020.0%5.7%16.5%20.5%19.2%6.6%1.1%565.1K-5.1M-27.3K0.1063.49N/AN/A7984,0701,192