VEA Options History — June 2009

In June 2009, VEA traded between $27.76 and $30.07. ATM implied volatility averaged 27.0%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.0% (HV 20d: 28.0%). Max pain ranged from $24.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2009-06-22: Highest Volume — 799 contracts
  • 2009-06-25: Largest IV drop — 14.2% change
  • 2009-06-17: Highest IV Rank — 11.3%
  • 2009-06-17: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.87$27.76$30.07$29.79$28.56
Max Pain$28.09$24.00$29.00$24.00$29.00
ATM IV27.0%23.2%31.5%24.1%23.2%
Expected Move7.8%6.6%9.0%6.9%6.6%
HV 20d28.0%24.7%34.3%34.3%25.3%
HV 60d33.9%29.7%37.2%37.1%29.8%
IV Rank7.8%4.9%11.3%5.6%4.9%
IV Percentile16.4%11.9%25.4%12.7%11.9%
Term Structure1.6%0.0%3.3%1.7%2.1%
VWIV27.3%23.2%31.8%27.1%23.2%
Skew 25d6.6%5.1%8.9%5.7%5.9%
Skew 10d11.9%3.5%22.5%4.7%3.9%
Call IV 25d23.4%16.7%27.2%17.1%16.7%
Put IV 25d30.1%22.6%34.4%22.8%22.6%
Bid-Ask Spread %50.1332.8976.7043.8253.08
Gamma HHI0.200.170.320.170.17
Net GEX47.7K13.4K92.9K33.3K21.4K
Net DEX-2.7M-3.7M-1.0M-3.6M-1.6M
Net VEX-8.5K-11.4K-6.9K-7.8K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.005.400.000.00
Total Volume84.909079915
Total OI2,844.3182,0853,0542,7803,054

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$29.79$24.0024.1%6.9%34.3%5.6%0.0%5.7%1.7%33.3K-3.6M-7.8K0.0043.82N/AN/A101,887893
2009-06-02$30.07$24.0026.1%7.5%32.5%7.1%0.0%6.9%0.8%30.7K-3.7M-7.7K0.0033.39N/AN/A101,888893
2009-06-03$29.21$24.0029.7%8.5%34.1%9.9%27.1%7.0%0.6%47.7K-3.3M-7.7K0.0032.89N/AN/A2901,888893
2009-06-04$29.32$24.0028.3%8.1%32.7%8.9%0.0%8.9%1.4%50.2K-3.4M-7.8K0.0035.63N/AN/A001,917893
2009-06-05$28.99$29.0027.5%8.4%32.5%8.3%29.0%5.1%1.1%58.7K-3.2M-7.6K0.0556.35N/AN/A2011,917893
2009-06-08$28.82$29.0027.3%8.2%29.5%8.1%0.0%7.2%1.8%61.7K-3.2M-7.6K0.0076.70N/AN/A2501,937893
2009-06-09$29.11$29.0026.6%8.2%28.3%7.5%0.0%6.4%1.7%57.5K-3.4M-7.7K0.0057.30N/AN/A001,952893
2009-06-10$29.22$29.0025.6%8.2%28.2%6.8%0.0%6.6%1.2%61.4K-3.4M-7.5K0.0051.40N/AN/A501,952893
2009-06-11$29.71$29.0026.5%7.6%24.9%7.5%0.0%6.6%2.1%39.9K-3.7M-7.7K0.0054.96N/AN/A001,957893
2009-06-12$29.58$29.0025.9%7.4%25.0%7.0%0.0%6.4%1.8%47.3K-3.6M-7.3K0.0046.30N/AN/A001,957893
2009-06-15$28.59$29.0028.7%8.2%27.9%9.2%31.8%5.9%1.0%80.1K-3.1M-7.0K5.4052.33N/AN/A5271,937893
2009-06-16$28.27$29.0030.6%8.8%25.0%10.6%0.0%6.0%1.0%83.3K-2.9M-7.0K0.0040.69N/AN/A2001,932920
2009-06-17$28.30$29.0031.5%9.0%24.9%11.3%0.0%7.8%0.4%86.3K-2.9M-6.9K0.0050.09N/AN/A3201,952920
2009-06-18$28.33$29.0028.8%8.3%24.7%9.3%0.0%5.9%2.8%90.0K-2.9M-6.9K0.0051.90N/AN/A401,952920
2009-06-19$28.68$29.0025.8%7.4%24.8%6.9%25.9%6.3%3.1%92.9K-3.1M-6.9K0.0057.28N/AN/A67801,952920
2009-06-22$27.76$29.0029.3%8.4%27.4%9.6%0.0%8.2%1.0%24.8K-1.0M-8.8K0.9549.51N/AN/A4093901,352733
2009-06-23$28.22$29.0029.2%8.4%27.3%9.6%0.0%6.3%0.0%13.4K-1.3M-11.2K0.3252.59N/AN/A91291,7511,121
2009-06-24$28.08$29.0028.1%8.0%26.7%8.7%26.8%8.2%0.5%16.7K-1.4M-11.1K0.3254.14N/AN/A34111,8421,141
2009-06-25$28.78$29.0024.1%6.9%28.1%5.6%0.0%7.0%2.7%17.2K-1.6M-11.3K3.7550.95N/AN/A8301,8661,152
2009-06-26$28.78$29.0023.5%6.8%27.0%5.2%0.0%6.2%3.3%18.0K-1.6M-11.4K0.0053.66N/AN/A101,8741,167
2009-06-29$28.88$29.0023.6%6.8%25.4%5.2%0.0%5.7%3.3%17.1K-1.7M-11.3K0.0047.89N/AN/A1201,8751,167
2009-06-30$28.56$29.0023.2%6.6%25.3%4.9%23.2%5.9%2.1%21.4K-1.6M-10.8K0.0053.08N/AN/A501,8871,167