VEA Options History — October 2007

In October 2007, VEA traded between $49.78 and $52.36. ATM implied volatility averaged 51.2%. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 35.6% (HV 20d: 15.7%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 1 of 23 days.

Notable Days

  • 2007-10-24: Largest IV spike — 61.5% change
  • 2007-10-04: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.96$49.78$52.36$50.86$52.36
ATM IV51.2%30.2%74.3%54.0%55.7%
Expected Move13.1%8.6%16.9%15.5%16.0%
HV 20d15.7%12.3%18.3%18.2%16.7%
HV 60d21.1%20.4%22.4%22.4%20.6%
Term Structure-15.1%-24.6%16.4%-20.3%-23.4%
Skew 25d8.7%-2.1%19.3%12.1%19.3%
Skew 10d12.0%-2.1%30.5%30.1%23.2%
Call IV 25d53.9%40.7%70.3%63.3%58.2%
Put IV 25d62.5%48.4%82.4%75.4%77.5%
Bid-Ask Spread %192.45177.99199.36177.99188.04
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$50.86$0.0054.0%15.5%18.2%0.0%0.0%12.1%-20.3%0000.00177.99N/AN/A0000
2007-10-02$50.70$0.0055.6%15.9%18.3%0.0%0.0%11.7%-21.8%0000.00179.45N/AN/A0000
2007-10-03$50.42$0.0057.9%16.6%17.0%0.0%0.0%10.9%-21.7%0000.00180.82N/AN/A0000
2007-10-04$50.64$0.0059.0%16.9%17.0%0.0%0.0%12.1%-24.6%0000.00179.45N/AN/A0000
2007-10-05$51.13$0.0060.7%10.3%15.8%0.0%0.0%7.7%-9.4%0000.00186.44N/AN/A0000
2007-10-08$50.64$0.0068.1%10.7%16.4%0.0%0.0%4.7%-10.7%0000.00197.70N/AN/A0000
2007-10-09$51.27$0.0070.7%10.8%15.8%0.0%0.0%8.9%-10.3%0000.00195.59N/AN/A0000
2007-10-10$51.12$0.0074.3%10.9%15.9%0.0%0.0%8.0%-10.8%0000.00195.96N/AN/A0000
2007-10-11$51.37$0.0038.5%11.0%15.9%0.0%0.0%9.8%-10.8%0000.00194.60N/AN/A0000
2007-10-12$51.52$0.0038.6%11.1%15.6%0.0%0.0%10.9%-11.9%0000.00193.48N/AN/A0000
2007-10-15$51.08$0.0040.9%11.7%14.9%0.0%0.0%8.2%-12.6%0000.00196.35N/AN/A0000
2007-10-16$50.38$0.0042.2%12.1%12.4%0.0%0.0%3.0%-12.9%0000.00198.72N/AN/A0000
2007-10-17$50.90$0.0042.3%12.1%12.4%0.0%0.0%6.9%-13.8%0000.00197.22N/AN/A0000
2007-10-18$51.02$0.0043.0%12.3%12.3%0.0%0.0%7.8%-14.0%0000.00196.35N/AN/A0000
2007-10-19$49.95$0.0044.6%12.8%14.7%0.0%0.0%-0.5%-15.0%0000.00197.22N/AN/A0000
2007-10-22$49.78$0.0047.2%13.5%14.8%0.0%0.0%-2.1%-17.1%0000.00196.35N/AN/A0000
2007-10-23$50.60$0.0030.2%8.6%15.7%0.0%0.0%4.9%16.4%0000.00198.76N/AN/A0000
2007-10-24$50.44$0.0048.7%14.0%15.8%0.0%0.0%3.5%-17.2%0000.00199.36N/AN/A0000
2007-10-25$50.62$0.0049.2%14.1%15.3%0.0%0.0%5.2%-19.2%0000.00199.36N/AN/A0000
2007-10-26$51.57$0.0049.4%14.1%16.6%0.0%0.0%13.7%-19.8%0000.00193.67N/AN/A0000
2007-10-29$52.04$0.0052.9%15.2%16.1%0.0%0.0%16.9%-21.8%0000.00190.27N/AN/A0000
2007-10-30$51.66$0.0054.5%15.6%16.4%0.0%0.0%15.6%-23.9%0000.00193.17N/AN/A0000
2007-10-31$52.36$0.0055.7%16.0%16.7%0.0%0.0%19.3%-23.4%0000.00188.04N/AN/A0000