VEA Options History — September 2007

In September 2007, VEA traded between $46.69 and $50.14. ATM implied volatility averaged 54.4%. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 30.7% (HV 20d: 23.7%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days.

Notable Days

  • 2007-09-13: Largest IV drop — 48.6% change
  • 2007-09-06: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.25$46.69$50.14$48.09$50.14
ATM IV54.4%41.2%80.2%58.9%51.1%
Expected Move13.5%11.2%18.0%16.9%14.6%
HV 20d23.7%19.0%26.9%26.1%19.0%
Term Structure-18.3%-26.4%-14.8%-22.2%-17.3%
Skew 25d13.8%1.3%21.6%1.3%21.6%
Skew 10d17.3%-4.5%34.5%3.6%34.5%
Call IV 25d51.7%41.3%86.6%80.8%49.9%
Put IV 25d65.6%51.9%88.0%82.1%71.4%
Bid-Ask Spread %184.80173.77197.24174.53175.15
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$48.09$0.0058.9%16.9%26.1%0.0%0.0%1.3%-22.2%0000.00174.53N/AN/A0000
2007-09-05$47.26$0.0061.7%17.7%26.9%0.0%0.0%1.4%-23.5%0000.00173.77N/AN/A0000
2007-09-06$47.54$0.0062.7%18.0%26.4%0.0%0.0%1.4%-26.4%0000.00174.25N/AN/A0000
2007-09-07$46.88$0.0066.0%11.2%24.5%0.0%0.0%9.9%-14.8%0000.00196.13N/AN/A0000
2007-09-10$46.69$0.0073.9%11.6%24.1%0.0%0.0%8.7%-16.3%0000.00197.24N/AN/A0000
2007-09-11$47.53$0.0075.7%11.5%24.9%0.0%0.0%15.1%-16.6%0000.00192.41N/AN/A0000
2007-09-12$47.49$0.0080.2%11.8%24.4%0.0%0.0%15.0%-15.7%0000.00192.17N/AN/A0000
2007-09-13$47.75$0.0041.2%11.8%22.4%0.0%0.0%16.3%-17.1%0000.00190.18N/AN/A0000
2007-09-14$47.53$0.0041.9%12.0%22.4%0.0%0.0%15.6%-17.9%0000.00192.03N/AN/A0000
2007-09-17$46.86$0.0044.5%12.8%22.8%0.0%0.0%10.8%-19.2%0000.00196.67N/AN/A0000
2007-09-18$48.35$0.0044.0%12.6%25.2%0.0%0.0%19.7%-18.4%0000.00185.47N/AN/A0000
2007-09-19$48.86$0.0044.1%12.6%25.3%0.0%0.0%17.8%-19.6%0000.00183.56N/AN/A0000
2007-09-20$48.76$0.0044.8%12.9%24.0%0.0%0.0%17.6%-20.4%0000.00183.56N/AN/A0000
2007-09-21$49.11$0.0045.4%13.0%24.1%0.0%0.0%19.3%-20.3%0000.00180.80N/AN/A0000
2007-09-24$49.06$0.0048.0%13.8%23.6%0.0%0.0%15.7%-14.9%0000.00183.77N/AN/A0000
2007-09-25$49.30$0.0048.8%14.0%23.2%0.0%0.0%16.9%-15.2%0000.00183.01N/AN/A0000
2007-09-26$49.48$0.0049.7%14.2%20.9%0.0%0.0%18.0%-15.5%0000.00180.81N/AN/A0000
2007-09-27$50.07$0.0050.0%14.3%19.4%0.0%0.0%20.8%-16.6%0000.00175.70N/AN/A0000
2007-09-28$50.14$0.0051.1%14.6%19.0%0.0%0.0%21.6%-17.3%0000.00175.15N/AN/A0000