VEA Options History — August 2020

In August 2020, VEA traded between $40.44 and $42.28. ATM implied volatility averaged 17.2%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.3% (HV 20d: 15.8%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2020-08-12: Highest Volume — 539 contracts
  • 2020-08-21: Largest IV spike — 16.4% change
  • 2020-08-03: Highest IV Rank — 20.6%
  • 2020-08-03: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.59$40.44$42.28$40.44$42.00
Max Pain$37.00$37.00$37.00$37.00$37.00
ATM IV17.2%15.6%20.1%20.1%17.8%
Expected Move5.0%4.5%5.8%5.8%5.1%
HV 20d15.8%11.8%16.9%16.9%11.8%
HV 60d20.5%18.2%22.6%22.6%18.2%
IV Rank16.0%13.5%20.6%20.6%16.9%
IV Percentile55.0%49.6%61.9%61.9%56.0%
Term Structure1.7%-1.1%5.2%0.9%-0.1%
VWIV17.2%14.8%21.7%18.9%17.0%
Skew 25d6.0%4.1%7.0%5.0%6.4%
Skew 10d11.2%3.9%16.5%7.8%8.1%
Call IV 25d15.1%13.1%17.3%17.3%15.3%
Put IV 25d21.0%19.1%22.6%22.3%21.7%
Bid-Ask Spread %54.6314.3583.9283.9275.49
Gamma HHI0.410.360.460.450.40
Net GEX808.7K661.3K930.2K661.3K883.2K
Net DEX-9.5M-11.1M-6.6M-6.6M-10.4M
Net VEX-26.3K-28.2K-23.9K-27.7K-23.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.019.230.300.28
Total Volume124.0954653957137
Total OI5,682.9525,2766,0005,2835,829

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$40.44$37.0020.1%5.8%16.9%20.6%18.9%5.0%0.9%661.3K-6.6M-27.7K0.3083.92N/AN/A44134,0871,196
2020-08-04$40.76$37.0017.8%5.1%16.5%16.9%17.1%5.0%-1.1%699.2K-7.2M-27.0K0.3331.41N/AN/A85284,0801,196
2020-08-05$41.06$37.0017.1%4.9%16.6%15.9%17.5%5.4%1.4%734.7K-8.2M-28.1K0.8663.92N/AN/A35304,1541,214
2020-08-06$41.12$37.0016.8%5.3%16.0%15.5%15.9%6.4%2.7%714.5K-8.3M-27.9K0.0579.01N/AN/A4424,1511,249
2020-08-07$40.90$37.0017.1%5.2%16.0%15.8%21.7%7.0%2.3%756.6K-7.7M-27.4K9.2371.13N/AN/A131204,1791,248
2020-08-10$41.06$37.0017.1%5.2%15.9%15.9%17.3%6.8%2.3%788.1K-8.0M-27.0K0.7025.84N/AN/A118834,1701,362
2020-08-11$41.33$37.0019.5%5.3%15.5%19.8%20.6%5.7%2.4%774.2K-8.9M-28.2K0.2629.31N/AN/A99264,3071,417
2020-08-12$42.12$37.0017.0%4.9%16.2%15.8%18.6%6.0%2.5%789.0K-10.9M-27.0K0.2930.65N/AN/A4171224,3151,422
2020-08-13$41.93$37.0017.3%5.0%16.0%16.2%15.0%5.9%2.3%829.7K-10.7M-27.9K0.6377.01N/AN/A48304,3981,423
2020-08-14$41.60$37.0016.4%4.7%16.3%14.8%15.1%6.2%3.4%823.9K-9.7M-27.8K0.6377.84N/AN/A43274,4091,453
2020-08-17$41.98$37.0016.4%4.7%16.5%14.7%15.1%5.9%3.0%842.4K-10.8M-26.2K0.0176.37N/AN/A8114,4201,480
2020-08-18$42.01$37.0015.6%4.5%16.4%13.5%15.7%6.1%5.2%891.1K-11.1M-25.6K0.3114.35N/AN/A123384,4211,479
2020-08-19$41.78$37.0016.1%4.6%16.6%14.3%18.1%5.9%3.4%930.2K-10.4M-25.9K0.8117.17N/AN/A37304,4651,521
2020-08-20$41.66$37.0015.6%4.5%16.3%13.5%15.8%6.1%1.9%929.3K-9.8M-25.8K0.6119.43N/AN/A64394,4781,514
2020-08-21$41.34$37.0018.1%5.2%16.4%17.6%16.5%7.0%0.9%806.3K-9.0M-25.5K0.6061.48N/AN/A72434,4841,516
2020-08-24$41.84$37.0015.9%4.6%16.2%14.0%16.5%4.1%2.0%837.2K-9.7M-24.7K0.3370.85N/AN/A141474,0921,395
2020-08-25$42.00$37.0016.3%4.7%16.2%14.6%14.8%6.3%0.0%822.4K-10.1M-25.0K0.4725.86N/AN/A38184,2041,434
2020-08-26$42.28$37.0016.7%4.8%16.0%15.2%15.9%5.1%0.6%812.9K-11.0M-24.0K1.2077.06N/AN/A56674,2351,424
2020-08-27$41.94$37.0018.2%5.2%15.4%17.6%18.4%6.5%-0.8%811.1K-10.0M-25.0K0.1873.73N/AN/A82154,2501,475
2020-08-28$42.14$37.0017.9%5.1%12.9%17.2%19.8%6.4%0.1%845.3K-10.7M-24.4K0.2865.30N/AN/A39114,3111,485
2020-08-31$42.00$37.0017.8%5.1%11.8%16.9%17.0%6.4%-0.1%883.2K-10.4M-23.9K0.2875.49N/AN/A107304,3341,495