VEA Options History — December 2008

In December 2008, VEA traded between $23.94 and $28.48. ATM implied volatility averaged 49.0%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 14.9% (HV 20d: 63.9%). Max pain ranged from $25.00 to $37.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.24.

Notable Days

  • 2008-12-04: Highest Volume — 128 contracts
  • 2008-12-17: Largest IV drop — 31.3% change
  • 2008-12-01: Highest IV Rank — 37.5%
  • 2008-12-01: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.50$23.94$28.48$23.94$27.47
Max Pain$28.11$25.00$37.00$37.00$28.00
ATM IV49.0%32.4%65.3%65.3%35.4%
Expected Move13.9%9.3%18.7%18.7%10.1%
HV 20d63.9%35.6%85.2%82.4%35.6%
HV 60d79.6%76.2%81.4%80.0%76.2%
IV Rank26.8%16.0%37.5%37.5%17.9%
IV Percentile39.3%14.3%74.6%74.2%15.9%
Term Structure2.5%-4.7%13.9%12.2%2.9%
VWIV47.6%33.5%58.3%58.3%40.1%
Skew 25d15.7%5.6%22.4%18.1%11.0%
Skew 10d34.5%15.1%48.3%46.6%27.4%
Call IV 25d40.4%26.5%57.2%57.2%29.1%
Put IV 25d56.1%39.1%75.3%75.3%40.1%
Bid-Ask Spread %80.8637.75107.8237.7559.89
Gamma HHI0.150.120.210.160.12
Net GEX-4.8K-10.6K-869-869-8.2K
Net DEX365.4K282.4K459.8K396.3K361.6K
Net VEX-1.2K-1.5K-800-1.0K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.0010.000.000.00
Total Volume13.864012800
Total OI974.0454701,2641,208483

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$23.94$37.0065.3%18.7%82.4%37.5%0.0%18.1%12.2%-869396.3K-1.0K0.0037.75N/AN/A00981227
2008-12-02$25.25$37.0059.4%17.0%85.2%33.6%0.0%22.4%7.7%-1.1K406.8K-1.2K0.00107.82N/AN/A00981227
2008-12-03$25.50$25.0060.3%17.3%80.9%34.2%0.0%18.2%13.9%-1.7K307.6K-9850.0043.48N/AN/A00981177
2008-12-04$24.76$25.0061.1%17.5%79.7%34.7%58.3%15.8%-4.1%-1.2K339.8K-8000.0056.58N/AN/A1280981177
2008-12-05$25.26$0.0059.5%16.6%76.0%33.7%0.0%19.8%-4.7%-1.3K336.7K-8540.0076.08N/AN/A00981177
2008-12-08$26.30$0.0057.8%15.5%74.2%32.6%0.0%19.4%-2.7%-1.8K327.0K-9490.0077.98N/AN/A100981177
2008-12-09$26.10$0.0055.3%15.2%74.1%31.0%0.0%19.7%-2.0%-1.4K325.9K-9880.0079.45N/AN/A00991177
2008-12-10$26.75$0.0050.2%14.2%73.5%27.6%55.6%16.3%1.1%-1.7K306.1K-1.1K10.0085.77N/AN/A660991177
2008-12-11$26.95$26.0050.7%14.5%70.7%28.0%0.0%18.6%1.6%-4.0K366.4K-1.3K0.0081.02N/AN/A00997237
2008-12-12$26.88$26.0052.2%15.0%65.8%28.9%0.0%19.6%1.3%-4.0K341.2K-1.4K0.0086.11N/AN/A00997237
2008-12-15$26.92$26.0051.9%14.9%62.8%28.7%0.0%18.7%1.9%-4.1K343.0K-1.3K0.0090.47N/AN/A00997237
2008-12-16$28.48$26.0065.3%18.7%65.2%37.5%0.0%17.8%0.1%-4.5K282.4K-1.5K0.0095.67N/AN/A00997237
2008-12-17$28.36$26.0044.9%12.9%65.3%24.1%50.4%15.3%2.7%-4.3K301.0K-1.4K3.00103.26N/AN/A1030997237
2008-12-18$27.42$28.0042.9%12.3%61.4%22.8%0.0%14.9%2.2%-5.5K366.2K-1.2K0.00103.28N/AN/A001,007257
2008-12-19$27.09$28.0038.1%10.9%57.8%19.7%0.0%12.8%3.4%-6.6K395.8K-1.1K2.6989.57N/AN/A13351,007257
2008-12-22$27.01$28.0036.5%10.5%55.5%18.6%33.5%10.1%3.6%-9.4K459.8K-1.3K0.0087.46N/AN/A20178292
2008-12-23$26.72$28.0032.4%9.3%49.9%16.0%40.1%5.6%4.1%-10.6K439.0K-1.2K0.0089.58N/AN/A01180292
2008-12-24$26.16$28.0039.3%11.3%50.4%20.4%0.0%11.6%3.0%-8.5K435.1K-1.3K0.00106.94N/AN/A100180293
2008-12-26$26.24$28.0041.3%11.9%50.2%21.8%0.0%10.6%1.8%-8.0K413.0K-1.3K0.0077.14N/AN/A00190293
2008-12-29$26.28$28.0042.8%12.3%50.2%22.8%0.0%13.9%0.9%-8.1K413.3K-1.3K0.0072.07N/AN/A00190293
2008-12-30$27.12$28.0035.9%10.3%39.6%18.2%0.0%16.1%3.4%-8.3K374.9K-1.4K0.0071.60N/AN/A00190293
2008-12-31$27.47$28.0035.4%10.1%35.6%17.9%0.0%11.0%2.9%-8.2K361.6K-1.4K0.0059.89N/AN/A00190293