VEA Options History — March 2009

In March 2009, VEA traded between $19.44 and $24.10. ATM implied volatility averaged 43.7%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 3.6% (HV 20d: 47.3%). Max pain ranged from $19.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 3.23.

Notable Days

  • 2009-03-24: Highest Volume — 130 contracts
  • 2009-03-10: Largest IV drop — 21.5% change
  • 2009-03-06: Highest IV Rank — 29.6%
  • 2009-03-02: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.83$19.44$24.10$20.10$23.01
Max Pain$22.00$19.00$32.00$32.00$20.00
ATM IV43.7%38.4%55.3%51.2%41.7%
Expected Move12.4%11.0%14.7%14.7%11.9%
HV 20d47.3%40.9%51.8%40.9%49.7%
HV 60d43.6%41.5%46.4%41.6%46.4%
IV Rank21.4%16.5%29.6%28.3%19.0%
IV Percentile32.9%20.2%63.1%51.6%30.2%
Term Structure-0.8%-3.1%1.2%-2.9%0.2%
VWIV41.1%34.9%45.8%43.6%34.9%
Skew 25d10.2%4.6%15.9%14.9%7.3%
Skew 10d22.8%-11.7%43.0%-11.7%25.1%
Call IV 25d38.1%32.7%48.2%44.0%38.1%
Put IV 25d48.4%42.1%58.8%58.8%45.5%
Bid-Ask Spread %69.9633.4591.9889.4549.83
Gamma HHI0.640.460.750.710.46
Net GEX21.4K9.3K34.1K11.1K34.1K
Net DEX-196.9K-925.7K290.6K244.9K-708.6K
Net VEX-2.5K-3.5K-1.3K-1.6K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.230.0045.000.000.00
Total Volume23.545013016
Total OI920.2277621,048895961

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$20.10$32.0051.2%14.7%40.9%28.3%43.6%14.9%-2.9%11.1K244.9K-1.6K0.0089.45N/AN/A01659236
2009-03-03$19.94$32.0050.1%14.4%40.9%27.5%0.0%12.8%-3.1%10.8K264.2K-1.5K0.0033.45N/AN/A60659235
2009-03-04$20.77$32.0045.6%13.1%42.9%26.9%0.0%11.5%-1.6%13.5K208.6K-1.8K0.0078.75N/AN/A100659235
2009-03-05$19.93$32.0048.6%13.9%44.5%29.1%0.0%6.4%-1.1%10.9K266.2K-1.5K0.0091.98N/AN/A00669235
2009-03-06$19.97$19.0049.3%13.5%44.0%29.6%0.0%13.9%-1.7%11.0K267.4K-1.5K0.0069.36N/AN/A00669235
2009-03-09$19.44$19.0055.3%14.0%42.6%29.4%0.0%12.6%-1.7%9.3K290.6K-1.3K0.0068.68N/AN/A00669235
2009-03-10$20.65$19.0043.4%12.4%49.7%20.3%0.0%12.3%0.0%13.5K244.6K-1.6K0.0067.81N/AN/A00669235
2009-03-11$20.76$19.0047.6%12.8%47.4%23.6%0.0%12.5%-1.0%13.9K204.5K-1.8K0.0072.93N/AN/A500669235
2009-03-12$21.31$19.0043.6%12.5%48.5%20.5%44.1%13.7%-1.5%17.6K150.4K-2.1K0.4574.82N/AN/A4420719235
2009-03-13$21.36$20.0043.0%12.3%48.6%20.1%0.0%15.9%-1.5%18.6K134.7K-2.3K2.0078.29N/AN/A1020763255
2009-03-16$21.64$20.0041.1%11.8%49.0%18.6%43.5%8.2%-1.3%19.4K98.5K-2.5K0.0075.12N/AN/A200773275
2009-03-17$22.20$20.0041.1%11.8%46.2%18.6%38.1%10.3%-0.4%22.0K-274.3K-2.6K0.0076.00N/AN/A350783139
2009-03-18$22.85$20.0038.7%11.1%47.3%16.8%0.0%11.6%0.3%25.6K-399.7K-2.9K0.4573.32N/AN/A2210818139
2009-03-19$22.84$20.0039.0%11.2%47.3%17.0%38.5%8.6%0.9%26.5K-408.5K-3.1K0.0080.02N/AN/A60840149
2009-03-20$22.51$20.0040.7%11.7%47.4%18.3%0.0%7.5%0.2%25.2K-458.3K-3.0K0.0073.83N/AN/A00844108
2009-03-23$24.10$20.0039.0%11.2%50.6%17.0%45.8%10.8%-0.5%29.7K-735.5K-3.2K45.0072.31N/AN/A14566597
2009-03-24$23.34$21.0040.7%11.7%51.0%18.3%40.0%4.6%0.5%28.1K-623.3K-3.1K0.1958.88N/AN/A10921666107
2009-03-25$23.76$20.0038.6%11.1%50.2%16.7%0.0%10.1%-1.2%32.0K-835.8K-3.4K0.0068.03N/AN/A200769128
2009-03-26$24.05$20.0038.4%11.0%50.0%16.5%34.9%8.4%-0.3%33.2K-925.7K-3.5K0.0873.65N/AN/A131789128
2009-03-27$23.27$20.0039.9%11.4%51.8%17.7%0.0%5.9%1.2%33.4K-768.0K-3.4K0.2655.87N/AN/A3810802129
2009-03-30$22.42$20.0044.5%12.7%49.4%21.2%0.0%5.5%-0.0%31.3K-568.5K-3.1K0.0056.76N/AN/A00822139
2009-03-31$23.01$20.0041.7%11.9%49.7%19.0%0.0%7.3%0.2%34.1K-708.6K-3.3K0.0049.83N/AN/A60822139