VEA Options History — September 2020

In September 2020, VEA traded between $40.30 and $42.41. ATM implied volatility averaged 18.7%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.5% (HV 20d: 16.2%). Max pain ranged from $37.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2020-09-16: Highest Volume — 3,869 contracts
  • 2020-09-03: Largest IV spike — 33.1% change
  • 2020-09-03: Highest IV Rank — 27.2%
  • 2020-09-08: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.41$40.30$42.41$41.88$40.91
Max Pain$41.24$37.00$42.00$37.00$41.00
ATM IV18.7%14.9%24.2%17.9%19.7%
Expected Move5.3%4.3%6.7%5.1%5.6%
HV 20d16.2%11.7%18.8%11.7%18.8%
HV 60d16.0%14.7%18.8%18.1%15.8%
IV Rank18.5%12.4%27.2%17.1%20.0%
IV Percentile56.7%41.7%76.2%56.3%59.5%
Term Structure2.7%1.2%6.4%1.7%2.0%
VWIV18.0%11.8%25.2%18.1%19.9%
Skew 25d6.5%3.5%16.2%4.9%5.8%
Skew 10d12.4%2.0%20.1%13.0%7.4%
Call IV 25d16.3%13.4%18.3%17.8%17.3%
Put IV 25d22.8%17.9%34.3%22.6%23.1%
Bid-Ask Spread %67.4115.6191.8377.8418.51
Gamma HHI0.400.290.800.400.36
Net GEX856.1K331.8K2.3M934.9K469.5K
Net DEX-8.7M-16.7M-3.4M-10.0M-4.7M
Net VEX-27.3K-34.5K-17.6K-23.9K-34.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.005.262.200.85
Total Volume340.667293,8694837
Total OI6,101.0954,7298,3155,9135,809

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$41.88$37.0017.9%5.1%11.7%17.1%18.1%4.9%1.7%934.9K-10.0M-23.9K2.2077.84N/AN/A15334,3901,523
2020-09-02$42.41$37.0018.2%5.2%12.2%17.6%19.4%7.0%1.3%847.6K-11.6M-22.6K0.1466.51N/AN/A86124,3971,539
2020-09-03$41.42$42.0024.2%6.2%15.2%27.2%18.7%7.6%2.0%889.4K-8.4M-24.8K0.0264.05N/AN/A38784,4341,566
2020-09-04$41.61$42.0018.8%5.5%15.1%18.5%0.0%7.8%2.5%970.1K-9.5M-25.2K0.7179.74N/AN/A17124,6261,575
2020-09-08$41.16$42.0022.8%6.7%15.6%25.0%18.8%16.2%1.2%1.1M-8.2M-23.4K1.7473.12N/AN/A23404,6421,586
2020-09-09$41.83$42.0017.1%4.9%16.5%15.8%16.8%7.1%2.6%1.1M-10.7M-22.4K0.1179.00N/AN/A138154,6591,602
2020-09-10$41.40$42.0018.9%5.4%15.4%18.7%18.7%5.8%2.5%1.2M-9.1M-22.3K0.0486.04N/AN/A20094,6841,601
2020-09-11$41.69$42.0016.2%4.6%15.6%14.5%16.0%7.0%3.6%1.3M-10.4M-21.3K0.4188.59N/AN/A3531464,6901,610
2020-09-14$42.01$42.0016.6%4.8%15.5%15.0%11.8%6.3%3.0%1.2M-11.9M-20.0K0.0476.25N/AN/A4524,7781,680
2020-09-15$42.18$42.0016.2%4.6%15.3%14.4%14.7%4.7%3.8%1.1M-13.0M-19.1K0.3488.90N/AN/A58204,8091,680
2020-09-16$42.28$42.0016.3%4.7%15.3%14.6%14.8%3.5%3.6%755.8K-13.7M-17.6K0.0386.10N/AN/A3,7471224,8321,681
2020-09-17$42.25$42.0014.9%4.3%15.1%12.4%0.0%4.7%6.4%1.1M-16.7M-33.7K0.3591.83N/AN/A86306,4851,803
2020-09-18$42.00$42.0016.2%4.6%15.3%14.4%17.1%5.0%3.3%2.3M-16.0M-32.8K0.6155.68N/AN/A66406,5021,813
2020-09-21$40.74$42.0019.4%5.6%18.6%19.6%25.2%6.4%2.0%417.6K-4.3M-31.2K3.1260.72N/AN/A652033,6891,040
2020-09-22$40.73$42.0018.5%5.3%18.0%18.2%17.9%6.7%2.5%391.5K-4.2M-31.9K0.2547.30N/AN/A83213,7251,236
2020-09-23$40.34$41.0020.8%6.0%18.1%21.8%19.9%6.5%2.0%365.9K-3.9M-32.2K5.2615.61N/AN/A663473,7901,253
2020-09-24$40.30$41.0021.4%6.1%17.8%22.7%17.8%6.7%2.2%331.8K-3.4M-32.9K0.2068.89N/AN/A239483,8481,597
2020-09-25$40.34$41.0020.7%5.9%17.8%21.6%18.5%5.9%2.4%367.7K-3.4M-33.0K1.1263.82N/AN/A41463,9431,640
2020-09-28$41.01$41.0018.9%5.4%18.8%18.8%16.8%5.2%2.9%433.1K-4.8M-33.9K0.0068.56N/AN/A19503,9471,656
2020-09-29$41.03$41.0019.8%5.7%18.8%20.2%20.1%5.4%2.4%479.4K-5.0M-34.5K0.5158.46N/AN/A35184,1071,656
2020-09-30$40.91$41.0019.7%5.6%18.8%20.0%19.9%5.8%2.0%469.5K-4.7M-34.3K0.8518.51N/AN/A20174,1381,671