VEA Options History — December 2007

In December 2007, VEA traded between $47.59 and $51.31. ATM implied volatility averaged 53.5%. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 27.8% (HV 20d: 25.7%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

  • 2007-12-13: Largest IV drop — 47.0% change
  • 2007-12-06: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.18$47.59$51.31$50.20$47.92
ATM IV53.5%39.5%74.5%54.9%57.4%
Expected Move13.5%10.3%16.9%15.7%16.5%
HV 20d25.7%21.7%28.1%28.1%22.1%
HV 60d22.3%21.3%23.2%21.6%23.2%
Term Structure-18.4%-23.5%-13.7%-19.8%-21.4%
Skew 25d-3.8%-15.1%9.9%2.0%-15.1%
Skew 10d0.2%-15.6%26.0%21.5%-15.6%
Call IV 25d62.4%41.7%78.7%74.6%78.7%
Put IV 25d58.6%47.3%82.0%76.6%63.6%
Bid-Ask Spread %185.04172.76194.49174.06184.38
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$50.20$0.0054.9%15.7%28.1%0.0%0.0%2.0%-19.8%0000.00174.06N/AN/A0000
2007-12-04$49.85$0.0056.6%16.2%27.9%0.0%0.0%1.2%-21.7%0000.00174.21N/AN/A0000
2007-12-05$50.55$0.0057.3%16.4%27.9%0.0%0.0%3.2%-23.3%0000.00174.11N/AN/A0000
2007-12-06$51.02$0.0058.8%16.9%27.2%0.0%0.0%5.2%-23.5%0000.00172.76N/AN/A0000
2007-12-07$50.82$0.0060.8%10.3%27.1%0.0%0.0%8.2%-13.7%0000.00191.88N/AN/A0000
2007-12-10$51.31$0.0067.6%10.6%25.8%0.0%0.0%9.9%-14.0%0000.00189.20N/AN/A0000
2007-12-11$50.06$0.0072.3%11.0%26.8%0.0%0.0%4.4%-15.0%0000.00194.49N/AN/A0000
2007-12-12$50.85$0.0074.5%11.0%25.3%0.0%0.0%8.7%-15.4%0000.00191.88N/AN/A0000
2007-12-13$49.99$0.0039.5%11.3%26.0%0.0%0.0%3.9%-15.9%0000.00194.47N/AN/A0000
2007-12-14$48.64$0.0040.9%11.7%27.1%0.0%0.0%-5.6%-17.3%0000.00190.05N/AN/A0000
2007-12-17$47.59$0.0043.7%12.5%28.0%0.0%0.0%-12.9%-19.3%0000.00182.38N/AN/A0000
2007-12-18$48.11$0.0044.2%12.7%26.9%0.0%0.0%-10.1%-18.8%0000.00185.90N/AN/A0000
2007-12-19$47.78$0.0045.0%12.9%25.9%0.0%0.0%-12.4%-20.1%0000.00183.68N/AN/A0000
2007-12-20$47.94$0.0045.7%13.1%24.9%0.0%0.0%-11.8%-20.3%0000.00184.87N/AN/A0000
2007-12-21$48.73$0.0045.6%13.1%24.4%0.0%0.0%-5.7%-21.0%0000.00190.62N/AN/A0000
2007-12-24$47.95$0.0049.1%14.1%24.5%0.0%0.0%-12.7%-15.4%0000.00184.48N/AN/A0000
2007-12-26$48.22$0.0050.9%14.6%23.7%0.0%0.0%-10.9%-16.2%0000.00186.47N/AN/A0000
2007-12-27$47.78$0.0052.3%15.0%21.7%0.0%0.0%-14.5%-17.8%0000.00184.13N/AN/A0000
2007-12-28$48.28$0.0053.1%15.2%22.1%0.0%0.0%-11.0%-17.7%0000.00186.74N/AN/A0000
2007-12-31$47.92$0.0057.4%16.5%22.1%0.0%0.0%-15.1%-21.4%0000.00184.38N/AN/A0000