VEA Options History — August 2008

In August 2008, VEA traded between $38.81 and $41.53. ATM implied volatility averaged 32.7%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 13.5% (HV 20d: 19.2%). Max pain ranged from $38.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.12.

Notable Days

  • 2008-08-18: Highest Volume — 563 contracts
  • 2008-08-12: Largest IV spike — 660.8% change
  • 2008-08-12: Highest IV Rank — 90.9%
  • 2008-08-28: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.98$38.81$41.53$40.90$39.78
Max Pain$40.00$38.00$44.00$44.00$38.00
ATM IV32.7%16.8%146.8%22.6%16.8%
Expected Move7.3%4.8%18.0%6.5%4.8%
HV 20d19.2%17.2%24.3%22.1%17.2%
HV 60d18.5%17.8%18.8%17.8%18.6%
IV Rank16.2%5.7%90.9%9.5%5.7%
IV Percentile15.8%0.4%98.8%2.5%0.4%
Term Structure-3.0%-23.0%2.7%-1.7%0.3%
VWIV24.6%24.6%24.6%24.6%24.6%
Skew 25d3.8%-13.0%8.2%7.0%4.6%
Skew 10d6.8%-23.0%15.2%15.2%12.0%
Call IV 25d26.3%12.0%85.6%18.9%15.0%
Put IV 25d30.0%19.6%90.4%25.9%19.6%
Bid-Ask Spread %52.0417.34168.2017.3429.03
Gamma HHI0.730.281.001.000.28
Net GEX917.1K162.6K2.5M2.0M211.0K
Net DEX-6.0M-28.0M-828.7K-6.0M-1.5M
Net VEX-23.4K-76.0K-6.1K-37.6K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.001.000.000.00
Total Volume63.81056300
Total OI15,766.33310,44920,42920,00011,306

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$40.90$44.0022.6%6.5%22.1%9.5%0.0%7.0%-1.7%2.0M-6.0M-37.6K0.0017.34N/AN/A0020,0000
2008-08-04$40.52$44.0022.3%6.1%22.1%9.3%0.0%5.5%0.7%1.4M-4.2M-26.1K0.0017.63N/AN/A0020,0000
2008-08-05$41.51$44.0018.6%5.6%24.3%6.9%0.0%6.5%2.0%2.5M-7.4M-38.3K0.0021.79N/AN/A0020,0000
2008-08-06$41.53$44.0019.5%5.2%23.4%7.5%0.0%7.0%2.7%2.5M-6.7M-37.7K0.0029.09N/AN/A4020,0000
2008-08-07$40.72$44.0097.9%12.7%21.2%58.9%0.0%-13.0%-19.9%1.9M-28.0M-76.0K0.00164.21N/AN/A83020,0040
2008-08-08$40.85$44.0019.5%5.6%20.2%7.5%0.0%5.6%1.4%1.2M-3.2M-22.2K0.0017.76N/AN/A0020,0870
2008-08-11$40.88$44.0019.3%5.6%20.2%7.4%24.6%7.8%2.0%1.1M-2.5M-17.8K1.0023.30N/AN/A202020,0870
2008-08-12$40.69$38.00146.8%13.5%19.3%90.9%0.0%-3.0%-22.3%1.9M-27.4M-64.0K0.00168.20N/AN/A12020,10720
2008-08-13$39.95$38.0019.6%6.0%19.1%7.6%0.0%7.7%1.6%392.0K-828.7K-6.5K0.0022.03N/AN/A288020,11920
2008-08-14$39.78$38.0019.7%5.6%18.2%7.6%0.0%5.8%1.5%522.2K-1.9M-11.7K0.0019.31N/AN/A0220,40720
2008-08-15$39.50$38.0051.0%14.6%17.9%28.1%0.0%-10.1%-23.0%856.2K-12.0M-46.2K0.00162.68N/AN/A02020,40722
2008-08-18$39.29$38.0020.1%5.8%17.5%7.9%0.0%4.8%1.3%269.3K-1.2M-6.9K0.0418.21N/AN/A5432010,40742
2008-08-19$38.85$38.0019.3%5.5%17.6%7.3%0.0%4.1%1.9%219.8K-1.3M-7.6K0.0021.98N/AN/A0210,92062
2008-08-20$39.05$38.0019.3%5.5%17.6%7.3%0.0%4.6%1.5%250.2K-1.4M-7.6K0.0022.58N/AN/A2010,92060
2008-08-21$39.29$38.0019.3%5.5%17.2%7.4%0.0%4.2%1.7%276.6K-1.5M-8.2K0.0019.41N/AN/A10010,92260
2008-08-22$39.46$38.0018.1%5.2%17.4%6.6%0.0%5.9%1.4%218.3K-1.4M-7.2K0.0024.05N/AN/A0010,93260
2008-08-25$38.81$38.0018.3%5.3%17.7%6.7%0.0%4.4%1.8%228.8K-1.2M-7.0K0.0073.74N/AN/A0110,93260
2008-08-26$39.00$38.0018.4%5.3%17.5%6.8%0.0%6.5%1.6%162.6K-1.2M-6.1K0.0023.58N/AN/A0010,93261
2008-08-27$39.40$38.0017.9%5.1%17.4%6.4%0.0%8.2%0.6%209.7K-1.3M-6.4K0.0031.55N/AN/A131010,93261
2008-08-28$39.86$38.0062.7%18.0%17.7%35.8%0.0%4.8%-21.0%966.3K-13.8M-41.9K0.00165.31N/AN/A018211,06361
2008-08-29$39.78$38.0016.8%4.8%17.2%5.7%0.0%4.6%0.3%211.0K-1.5M-8.5K0.0029.03N/AN/A0011,063243