VEA Options History — September 2008

In September 2008, VEA traded between $33.69 and $39.18. ATM implied volatility averaged 38.2%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 5.7% (HV 20d: 32.5%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2008-09-08: Highest Volume — 565 contracts
  • 2008-09-09: Largest IV spike — 369.6% change
  • 2008-09-09: Highest IV Rank — 59.0%
  • 2008-09-17: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.95$33.69$39.18$39.18$35.17
Max Pain$39.29$38.00$40.00$38.00$39.00
ATM IV38.2%19.7%98.2%19.7%38.9%
Expected Move10.3%5.7%17.8%5.7%11.2%
HV 20d32.5%14.9%58.5%17.7%58.5%
HV 60d25.1%18.7%37.0%18.7%37.0%
IV Rank19.7%7.6%59.0%7.6%20.2%
IV Percentile28.9%6.0%94.8%6.3%17.1%
Term Structure-8.0%-27.5%0.6%-0.7%-9.8%
VWIV37.3%19.0%60.8%19.0%32.0%
Skew 25d4.8%-27.1%19.4%6.1%19.4%
Skew 10d7.0%-42.2%28.1%9.7%18.0%
Call IV 25d37.7%15.6%87.0%15.6%23.6%
Put IV 25d42.5%21.8%86.2%21.8%43.0%
Bid-Ask Spread %72.8713.90156.8223.79108.83
Gamma HHI0.290.170.740.270.17
Net GEX142.3K46.7K605.6K172.3K69.7K
Net DEX-1.3M-6.8M-19.1K-1.1M-463.5K
Net VEX-8.2K-23.7K-4.2K-7.5K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.001.160.000.65
Total Volume75.9050565150
Total OI8,222.191,58911,74811,3061,698

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$39.18$38.0019.7%5.7%17.7%7.6%0.0%6.1%-0.7%172.3K-1.1M-7.5K0.0023.79N/AN/A15011,063243
2008-09-03$38.99$38.0019.7%5.7%14.9%7.6%0.0%5.1%-1.2%142.1K-969.2K-7.1K0.0026.53N/AN/A0011,078243
2008-09-04$37.26$38.0022.5%6.5%21.0%9.5%0.0%7.0%0.5%77.7K-218.9K-5.3K0.5031.80N/AN/A2111,078243
2008-09-05$37.23$40.0022.3%6.5%20.4%9.3%0.0%7.8%0.3%73.4K-152.2K-5.1K0.0013.90N/AN/A0011,078244
2008-09-08$37.94$40.0020.9%6.2%21.9%8.4%19.0%6.4%0.5%96.9K-488.3K-5.9K1.1616.92N/AN/A26230311,078244
2008-09-09$36.86$40.0098.2%15.0%23.5%59.0%60.8%-8.2%-20.4%605.6K-6.8M-23.7K0.00156.39N/AN/A399011,088305
2008-09-10$37.05$40.0023.5%6.4%23.8%10.1%0.0%7.7%0.2%106.7K-323.2K-7.3K0.0014.30N/AN/A243011,443305
2008-09-11$36.97$40.0022.9%6.6%23.3%9.7%0.0%8.1%0.2%76.3K-19.1K-5.5K0.0016.42N/AN/A220011,240305
2008-09-12$37.73$40.0022.0%6.3%24.8%9.1%0.0%6.8%0.5%118.6K-583.4K-7.9K0.0020.19N/AN/A0011,440305
2008-09-15$36.12$40.0058.1%16.6%28.8%32.8%0.0%-14.1%-24.0%482.7K-4.7M-17.3K0.00152.71N/AN/A0011,440305
2008-09-16$35.93$40.0030.0%8.6%28.8%14.4%0.0%7.3%-4.3%86.2K-114.4K-5.7K0.0031.76N/AN/A1011,440244
2008-09-17$34.68$40.0062.0%17.8%30.7%35.3%0.0%-27.1%-27.5%49.6K-1.3M-8.8K0.00145.22N/AN/A15011,441244
2008-09-18$36.00$39.0061.0%17.5%34.2%34.7%0.0%-8.6%-26.5%66.5K-1.8M-9.0K0.00149.81N/AN/A0011,456133
2008-09-19$38.39$39.0056.0%16.1%41.8%31.4%0.0%10.0%-25.8%105.7K-2.3M-9.7K0.00152.25N/AN/A0011,456133
2008-09-22$37.80$39.0059.7%17.1%42.1%33.8%0.0%4.7%-21.3%89.2K-2.2M-9.3K0.00156.82N/AN/A001,456133
2008-09-23$36.94$39.0029.7%8.5%42.4%14.2%0.0%12.0%0.4%118.3K-941.7K-6.6K0.0039.44N/AN/A001,456133
2008-09-24$36.96$39.0033.0%9.5%42.4%16.3%0.0%12.5%-2.6%123.3K-993.9K-6.7K0.0038.02N/AN/A001,456133
2008-09-25$37.70$39.0028.1%8.1%42.9%13.2%0.0%13.0%0.6%147.3K-1.3M-7.1K0.2640.44N/AN/A1951,456133
2008-09-26$37.40$39.0033.3%9.6%42.6%16.6%32.0%13.2%-2.4%134.4K-1.1M-7.0K0.6584.56N/AN/A66431,461138
2008-09-29$33.69$39.0039.9%11.4%55.7%20.9%0.0%12.2%-4.2%46.7K-78.5K-4.2K0.00110.14N/AN/A001,517181
2008-09-30$35.17$39.0038.9%11.2%58.5%20.2%0.0%19.4%-9.8%69.7K-463.5K-5.6K0.00108.83N/AN/A001,517181