VEA Options History — April 2009

In April 2009, VEA traded between $23.62 and $25.73. ATM implied volatility averaged 36.4%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 4.7% (HV 20d: 41.1%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2009-04-24: Highest Volume — 563 contracts
  • 2009-04-29: Largest IV drop — 10.5% change
  • 2009-04-20: Highest IV Rank — 17.0%
  • 2009-04-06: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.78$23.62$25.73$23.62$25.73
Max Pain$22.33$20.00$23.00$20.00$23.00
ATM IV36.4%31.4%39.0%38.0%31.4%
Expected Move10.6%9.0%11.6%10.9%9.0%
HV 20d41.1%32.0%48.6%48.6%32.0%
HV 60d45.0%42.1%47.7%46.8%42.2%
IV Rank15.0%11.2%17.0%16.2%11.2%
IV Percentile18.2%13.5%26.6%19.0%13.5%
Term Structure0.4%-0.8%2.7%-0.0%2.7%
VWIV38.7%36.9%40.6%38.6%36.9%
Skew 25d8.5%5.3%14.2%10.8%6.1%
Skew 10d18.2%5.4%29.3%22.6%7.5%
Call IV 25d32.0%24.9%35.9%32.4%28.4%
Put IV 25d40.4%34.4%43.7%43.3%34.4%
Bid-Ask Spread %64.6446.6992.9753.2846.69
Gamma HHI0.400.230.480.460.23
Net GEX41.6K34.6K54.6K36.2K42.2K
Net DEX-1.0M-1.3M-567.9K-827.5K-1.1M
Net VEX-4.3K-8.1K-3.4K-3.4K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.002.520.380.16
Total Volume76.5240563074
Total OI1,232.7629672,2849672,284

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$23.62$20.0038.0%10.9%48.6%16.2%0.0%10.8%-0.0%36.2K-827.5K-3.4K0.0053.28N/AN/A00828139
2009-04-02$24.68$20.0038.7%11.1%46.9%16.8%38.6%8.0%0.9%34.6K-1.1M-3.5K0.3850.05N/AN/A2610828139
2009-04-03$24.80$0.0036.1%11.0%46.8%14.8%0.0%8.3%-0.8%37.6K-1.1M-3.6K0.5070.09N/AN/A2010847149
2009-04-06$24.36$0.0038.5%11.6%46.0%16.6%0.0%8.3%-0.5%38.6K-1.0M-3.6K0.0070.08N/AN/A00867159
2009-04-07$23.86$0.0038.3%11.5%43.4%16.4%0.0%7.8%0.4%38.7K-916.8K-3.5K0.0072.97N/AN/A00867159
2009-04-08$24.06$0.0035.3%11.2%43.4%14.2%0.0%7.9%0.5%40.4K-953.4K-3.5K0.5075.29N/AN/A2010867159
2009-04-09$24.67$0.0036.9%10.6%43.4%15.4%0.0%8.5%0.4%40.1K-1.1M-3.7K0.0076.00N/AN/A00887169
2009-04-13$24.92$0.0038.0%10.9%43.3%16.2%0.0%7.3%-0.6%38.8K-1.2M-3.5K0.0080.12N/AN/A00887169
2009-04-14$24.74$0.0037.7%10.8%43.6%16.0%0.0%7.4%0.3%39.7K-1.2M-3.5K0.0057.34N/AN/A00887169
2009-04-15$25.03$0.0037.4%10.7%43.1%15.8%0.0%8.1%0.6%40.0K-1.2M-3.5K0.0079.57N/AN/A00865169
2009-04-16$25.18$0.0036.9%10.6%42.2%15.4%0.0%8.3%0.5%40.7K-1.2M-3.4K0.0061.58N/AN/A1510855169
2009-04-17$25.17$0.0035.4%10.1%42.2%14.2%0.0%7.2%1.3%54.6K-1.3M-3.9K0.0065.94N/AN/A001,006169
2009-04-20$24.08$0.0039.0%11.2%45.2%17.0%0.0%6.8%-0.3%42.4K-790.0K-3.6K0.0054.56N/AN/A030891117
2009-04-21$24.61$0.0035.0%10.0%39.0%13.9%40.6%10.1%1.1%45.0K-846.9K-3.9K0.2854.89N/AN/A4011891147
2009-04-22$24.45$23.0036.0%10.3%37.1%14.7%0.0%5.3%1.1%47.1K-860.6K-4.1K0.5053.63N/AN/A2010931158
2009-04-23$25.08$23.0034.3%9.8%37.6%13.4%0.0%14.2%0.5%49.5K-1.0M-4.2K0.0053.97N/AN/A00941168
2009-04-24$25.49$23.0035.0%10.0%37.8%14.0%0.0%6.3%0.2%51.0K-1.1M-4.2K2.5251.46N/AN/A160403941168
2009-04-27$25.16$23.0036.6%10.5%35.9%15.1%0.0%13.7%-0.3%38.4K-567.9K-5.9K0.5989.07N/AN/A164971,101571
2009-04-28$24.98$23.0036.7%10.5%32.8%15.2%36.9%11.7%-0.1%39.1K-600.6K-6.5K0.7547.86N/AN/A1741301,265668
2009-04-29$25.67$23.0032.8%9.4%32.9%12.3%0.0%5.7%1.1%39.9K-1.0M-8.1K0.2792.97N/AN/A37101,439798
2009-04-30$25.73$23.0031.4%9.0%32.0%11.2%0.0%6.1%2.7%42.2K-1.1M-8.1K0.1646.69N/AN/A64101,476808