VEA Options History — October 2020

In October 2020, VEA traded between $39.34 and $42.43. ATM implied volatility averaged 20.1%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.2% (HV 20d: 15.0%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.13.

Notable Days

  • 2020-10-28: Highest Volume — 1,917 contracts
  • 2020-10-14: Largest IV spike — 22.2% change
  • 2020-10-30: Highest IV Rank — 37.6%
  • 2020-10-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.29$39.34$42.43$41.02$39.34
Max Pain$41.41$41.00$42.00$41.00$42.00
ATM IV20.1%14.1%30.8%19.6%30.8%
Expected Move6.1%5.0%8.8%5.6%8.8%
HV 20d15.0%11.8%18.1%18.1%16.0%
HV 60d15.6%14.7%15.9%15.8%15.6%
IV Rank20.7%11.1%37.6%19.8%37.6%
IV Percentile57.9%35.3%86.1%58.7%86.1%
Term Structure-0.0%-4.4%2.9%2.3%-3.6%
VWIV20.6%13.2%29.6%19.2%27.7%
Skew 25d5.8%-0.0%9.2%4.7%9.2%
Skew 10d12.6%-4.1%22.9%7.6%13.4%
Call IV 25d18.5%14.4%25.6%17.3%24.2%
Put IV 25d24.4%14.3%33.5%21.9%33.4%
Bid-Ask Spread %69.6349.0894.7249.0875.70
Gamma HHI0.350.300.430.370.30
Net GEX600.5K294.7K823.4K497.4K294.7K
Net DEX-5.6M-8.3M-954.8K-5.0M-954.8K
Net VEX-33.3K-39.1K-29.0K-33.9K-29.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.0012.000.000.49
Total Volume211.682151,9171561
Total OI6,344.2735,8096,9715,8096,872

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$41.02$41.0019.6%5.6%18.1%19.8%0.0%4.7%2.3%497.4K-5.0M-33.9K0.0049.08N/AN/A1504,1281,681
2020-10-02$41.07$41.0019.1%5.5%16.2%19.0%19.2%5.8%2.3%478.4K-5.0M-30.3K6.4483.15N/AN/A181164,1401,681
2020-10-05$41.66$42.0016.9%6.0%16.9%15.6%22.7%7.9%0.7%552.1K-6.2M-34.4K0.7264.74N/AN/A53384,1451,796
2020-10-06$41.28$41.0018.7%6.4%16.8%18.5%21.5%7.2%0.4%543.2K-5.5M-34.0K0.6263.43N/AN/A21134,2071,810
2020-10-07$41.66$41.0017.6%6.0%16.1%16.7%19.0%5.0%0.2%597.2K-6.3M-33.8K0.5072.58N/AN/A1894,2101,817
2020-10-08$41.93$41.0015.6%5.7%15.8%13.4%22.8%6.4%0.6%657.6K-6.9M-34.0K4.6263.66N/AN/A261204,2211,817
2020-10-09$42.23$41.0015.0%5.3%15.8%12.6%17.1%5.7%1.3%741.4K-7.7M-32.4K0.8264.61N/AN/A34284,2251,876
2020-10-12$42.43$41.0014.1%5.2%15.7%11.1%16.8%5.4%2.3%800.1K-8.3M-31.9K0.1267.54N/AN/A2534,2521,848
2020-10-13$42.06$41.0014.2%5.2%15.9%11.3%16.5%5.8%1.2%792.5K-7.4M-31.5K0.0653.50N/AN/A160104,2631,847
2020-10-14$41.94$41.0017.4%5.0%15.9%16.3%13.2%-0.0%2.9%823.4K-7.4M-32.7K12.0089.99N/AN/A8964,4101,854
2020-10-15$41.44$41.0020.8%6.0%16.5%21.7%19.9%1.4%-1.5%592.0K-5.6M-30.9K0.0291.35N/AN/A11424,4131,909
2020-10-16$41.59$41.0017.4%5.0%16.4%16.3%16.9%0.7%1.4%709.4K-6.2M-30.7K0.1193.17N/AN/A248284,3881,911
2020-10-19$41.41$41.0021.2%6.1%12.2%22.4%20.5%2.3%-4.4%700.0K-6.8M-30.3K1.7294.72N/AN/A32554,2291,660
2020-10-20$41.68$41.0020.1%5.8%12.3%20.6%18.8%6.9%-0.3%619.1K-6.4M-31.2K0.0260.64N/AN/A552124,2491,713
2020-10-21$41.51$42.0020.5%5.9%11.8%21.3%20.5%7.2%-0.1%675.1K-6.9M-37.5K11.6949.31N/AN/A263044,8011,725
2020-10-22$41.53$42.0020.3%5.8%11.8%21.0%18.9%8.1%-0.3%637.2K-6.3M-39.1K0.1766.94N/AN/A4884,8342,016
2020-10-23$41.70$42.0020.1%5.8%11.8%20.6%19.4%7.3%0.3%674.1K-6.8M-39.0K3.3854.73N/AN/A13444,8792,023
2020-10-26$40.92$42.0023.9%6.9%12.6%26.7%21.3%7.6%-1.8%571.3K-4.8M-36.2K0.1974.21N/AN/A99194,9022,057
2020-10-27$40.67$42.0024.3%7.0%12.8%27.3%24.7%7.2%-1.4%539.0K-4.0M-35.5K3.1361.44N/AN/A30944,9082,059
2020-10-28$39.60$42.0028.2%8.1%15.8%33.5%29.6%7.9%-2.1%373.4K-1.8M-32.0K0.0171.60N/AN/A1,896214,9102,061
2020-10-29$39.72$42.0027.3%7.8%15.8%32.1%24.9%8.8%-1.6%342.2K-1.8M-31.6K0.1365.70N/AN/A124164,7412,086
2020-10-30$39.34$42.0030.8%8.8%16.0%37.6%27.7%9.2%-3.6%294.7K-954.8K-29.0K0.4975.70N/AN/A41204,7752,097