VEA Options History — August 2007

In August 2007, VEA traded between $44.77 and $48.68. ATM implied volatility averaged 68.5%. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 44.3% (HV 20d: 24.2%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.

Notable Days

  • 2007-08-16: Largest IV drop — 71.4% change
  • 2007-08-03: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.73$44.77$48.68$47.96$47.86
ATM IV68.5%44.0%154.0%62.6%53.4%
Expected Move13.3%10.5%18.9%17.9%15.3%
HV 20d24.2%22.3%26.6%23.7%26.6%
Term Structure-18.1%-29.7%-11.8%-28.1%-18.5%
Skew 25d-1.7%-24.3%14.4%-19.5%1.2%
Skew 10d-6.5%-30.0%16.1%-14.2%1.4%
Call IV 25d58.8%31.3%92.0%83.0%73.5%
Put IV 25d57.1%27.7%74.7%63.5%74.7%
Bid-Ask Spread %171.29158.30178.94177.62173.87
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-02$47.96$0.0062.6%17.9%0.0%0.0%0.0%-19.5%-28.1%0000.00177.62N/AN/A0000
2007-08-03$47.17$0.0065.8%18.9%0.0%0.0%0.0%-24.3%-29.7%0000.00174.46N/AN/A0000
2007-08-06$47.89$0.0072.3%10.5%0.0%0.0%0.0%2.3%-16.1%0000.00176.89N/AN/A0000
2007-08-07$47.96$0.0075.4%10.6%0.0%0.0%0.0%2.4%-16.4%0000.00177.47N/AN/A0000
2007-08-08$48.68$0.0077.6%10.5%0.0%0.0%0.0%1.2%-16.8%0000.00178.94N/AN/A0000
2007-08-09$47.22$0.0084.9%11.0%0.0%0.0%0.0%0.9%-16.9%0000.00174.46N/AN/A0000
2007-08-10$46.59$0.0087.2%11.0%0.0%0.0%0.0%-3.6%-14.8%0000.00165.89N/AN/A0000
2007-08-13$46.67$0.00114.5%11.6%0.0%0.0%0.0%-0.9%-19.5%0000.00171.04N/AN/A0000
2007-08-14$46.07$0.00130.3%12.0%0.0%0.0%0.0%-3.4%-19.6%0000.00167.24N/AN/A0000
2007-08-15$44.98$0.00154.0%12.4%0.0%0.0%0.0%-8.5%-20.6%0000.00159.75N/AN/A0000
2007-08-16$44.77$0.0044.0%12.6%0.0%0.0%0.0%-9.7%-21.5%0000.00158.30N/AN/A0000
2007-08-17$45.40$0.0044.2%12.7%23.7%0.0%0.0%2.5%-20.6%0000.00168.05N/AN/A0000
2007-08-20$45.46$0.0046.2%13.2%23.0%0.0%0.0%2.6%-11.8%0000.00168.93N/AN/A0000
2007-08-21$45.45$0.0046.9%13.4%22.3%0.0%0.0%2.6%-12.3%0000.00168.93N/AN/A0000
2007-08-22$46.59$0.0046.1%13.2%24.0%0.0%0.0%14.4%-16.5%0000.00171.92N/AN/A0000
2007-08-23$46.79$0.0046.7%13.4%23.4%0.0%0.0%1.0%-13.6%0000.00172.30N/AN/A0000
2007-08-24$47.54$0.0046.6%13.4%23.6%0.0%0.0%1.0%-17.3%0000.00174.01N/AN/A0000
2007-08-27$47.07$0.0050.1%14.4%23.2%0.0%0.0%1.1%-15.5%0000.00173.05N/AN/A0000
2007-08-28$45.92$0.0052.3%15.0%23.9%0.0%0.0%-2.3%-16.8%0000.00169.88N/AN/A0000
2007-08-29$47.14$0.0052.1%14.9%25.9%0.0%0.0%1.2%-16.7%0000.00172.88N/AN/A0000
2007-08-30$46.80$0.0053.4%15.3%26.0%0.0%0.0%1.2%-18.2%0000.00172.47N/AN/A0000
2007-08-31$47.86$0.0053.4%15.3%26.6%0.0%0.0%1.2%-18.5%0000.00173.87N/AN/A0000