VEA Options History — October 2008

In October 2008, VEA traded between $23.63 and $34.99. ATM implied volatility averaged 63.4%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 18.1% (HV 20d: 81.5%). Max pain ranged from $28.00 to $39.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.16.

Notable Days

  • 2008-10-08: Highest Volume — 227 contracts
  • 2008-10-09: Largest IV spike — 30.8% change
  • 2008-10-10: Highest IV Rank — 56.4%
  • 2008-10-22: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.53$23.63$34.99$34.99$27.94
Max Pain$33.87$28.00$39.00$39.00$28.00
ATM IV63.4%38.2%94.1%38.2%52.3%
Expected Move17.1%10.1%22.4%10.9%15.0%
HV 20d81.5%58.4%98.3%58.5%98.3%
HV 60d52.7%37.0%66.0%37.0%66.0%
IV Rank36.2%19.7%56.4%19.7%29.0%
IV Percentile67.6%15.9%94.0%15.9%49.2%
Term Structure-10.1%-22.1%3.2%-4.5%-9.2%
VWIV61.9%60.3%63.4%60.3%63.4%
Skew 25d9.2%-12.2%42.4%8.6%15.3%
Skew 10d12.9%-30.8%41.1%19.7%14.8%
Call IV 25d58.6%32.5%101.6%32.5%45.8%
Put IV 25d67.8%35.3%99.1%41.0%61.1%
Bid-Ask Spread %102.5437.35147.8694.9555.72
Gamma HHI0.160.120.190.170.17
Net GEX20.9K5.8K67.4K67.4K16.2K
Net DEX113.3K-352.1K362.5K-352.1K126.1K
Net VEX-3.4K-5.3K-1.9K-5.2K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.390.000.00
Total Volume27.2170227860
Total OI1,655.6961,2692,1971,6981,270

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$34.99$39.0038.2%10.9%58.5%19.7%0.0%8.6%-4.5%67.4K-352.1K-5.2K0.0094.95N/AN/A8601,517181
2008-10-02$33.49$39.0044.0%12.6%58.4%23.5%0.0%2.8%-7.5%46.1K-17.6K-3.9K0.0037.35N/AN/A001,603181
2008-10-03$33.40$39.0047.6%13.7%58.4%25.9%0.0%12.7%3.2%46.9K-167.5K-4.6K0.00102.59N/AN/A4301,560181
2008-10-06$31.47$39.0057.8%12.0%60.6%32.6%0.0%-0.9%-7.1%30.8K12.8K-3.8K0.0062.30N/AN/A2601,600181
2008-10-07$30.07$39.0045.6%10.1%61.6%24.6%0.0%-4.5%-0.1%23.5K104.1K-3.2K0.0082.55N/AN/A001,594181
2008-10-08$29.28$39.0058.5%14.8%61.6%33.0%0.0%6.2%-5.8%15.5K295.3K-1.9K1.3983.85N/AN/A951321,594181
2008-10-09$27.60$39.0076.5%21.0%63.7%44.8%0.0%0.8%-8.3%13.6K362.5K-3.7K0.00129.51N/AN/A051,673312
2008-10-10$26.74$39.0094.1%20.3%62.6%56.4%0.0%31.0%-13.3%12.2K323.8K-3.9K0.04127.32N/AN/A11351,673312
2008-10-13$30.84$39.0065.4%16.6%83.6%37.5%60.3%17.5%-16.5%19.6K9.4K-3.9K0.02126.76N/AN/A6511,786317
2008-10-14$30.20$32.0073.9%16.8%83.7%43.1%0.0%0.6%-14.1%29.9K-339.6K-5.3K0.00127.87N/AN/A0411,851316
2008-10-15$26.87$32.0072.7%20.9%91.7%42.4%0.0%-12.2%-22.1%28.7K30.1K-4.1K0.00147.86N/AN/A001,851346
2008-10-16$28.25$32.0064.9%18.6%92.8%37.2%0.0%-7.6%-10.0%16.0K278.9K-2.8K0.00123.26N/AN/A001,851346
2008-10-17$27.80$32.0068.6%19.7%88.3%39.7%0.0%31.3%-2.9%21.7K140.6K-3.5K0.00127.69N/AN/A701,851346
2008-10-20$29.17$32.0058.5%16.8%91.2%33.1%0.0%14.6%-21.1%17.3K88.6K-3.8K0.00130.74N/AN/A001,042228
2008-10-21$27.95$32.0060.2%17.3%91.7%34.2%0.0%12.4%-18.2%12.4K228.8K-2.9K0.00135.01N/AN/A601,042227
2008-10-22$25.65$32.0078.0%22.4%95.0%45.8%0.0%-2.1%-20.4%12.4K151.6K-3.1K0.00119.85N/AN/A001,042227
2008-10-23$26.17$32.0068.3%19.6%95.0%39.5%0.0%8.6%-8.7%6.9K326.0K-2.1K0.00135.64N/AN/A001,042227
2008-10-24$24.75$32.0070.2%20.1%95.8%40.7%63.4%7.7%-7.3%6.7K272.4K-2.3K0.0096.72N/AN/A101,042227
2008-10-27$23.63$28.0075.0%21.5%91.2%43.9%0.0%-10.7%-8.3%6.4K262.4K-2.1K0.00118.65N/AN/A001,043227
2008-10-28$25.41$28.0063.8%18.3%94.4%36.5%0.0%19.9%-7.1%5.8K301.8K-2.1K0.0049.24N/AN/A001,043227
2008-10-29$26.84$28.0065.3%18.7%97.6%37.5%0.0%42.4%-20.9%6.6K281.9K-2.3K0.0080.99N/AN/A001,043227
2008-10-30$27.65$28.0058.1%16.7%98.1%32.8%0.0%17.0%-1.7%18.8K-114.3K-4.2K0.0062.08N/AN/A001,043227
2008-10-31$27.94$28.0052.3%15.0%98.3%29.0%0.0%15.3%-9.2%16.2K126.1K-3.3K0.0055.72N/AN/A001,043227