VEA Options History — July 2009

In July 2009, VEA traded between $27.54 and $31.58. ATM implied volatility averaged 24.8%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 2.5% (HV 20d: 27.3%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.50.

Notable Days

  • 2009-07-21: Highest Volume — 256 contracts
  • 2009-07-29: Largest IV spike — 16.2% change
  • 2009-07-07: Highest IV Rank — 10.0%
  • 2009-07-08: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.42$27.54$31.58$29.24$31.58
Max Pain$29.18$29.00$30.00$29.00$30.00
ATM IV24.8%20.1%29.8%23.0%21.9%
Expected Move7.2%5.8%8.6%6.6%6.3%
HV 20d27.3%22.7%29.9%24.9%22.7%
HV 60d29.6%27.7%31.0%29.8%27.7%
IV Rank6.2%2.6%10.0%4.8%3.9%
IV Percentile15.3%7.9%27.0%11.5%8.3%
Term Structure1.5%-1.8%3.3%2.2%1.9%
VWIV24.2%19.8%31.6%25.1%23.2%
Skew 25d7.2%4.8%11.2%4.9%10.9%
Skew 10d11.0%4.2%21.3%6.0%6.1%
Call IV 25d20.9%14.8%27.1%19.6%14.8%
Put IV 25d28.1%23.2%34.8%24.5%25.7%
Bid-Ask Spread %66.2349.8996.0452.7061.03
Gamma HHI0.190.170.230.180.23
Net GEX16.8K-8.5K32.6K17.1K-8.5K
Net DEX-1.9M-3.0M-1.0M-1.9M-3.0M
Net VEX-12.3K-16.1K-10.0K-11.4K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.0010.500.000.00
Total Volume511256187
Total OI3,3023,0593,7013,0593,701

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$29.24$29.0023.0%6.6%24.9%4.8%0.0%4.9%2.2%17.1K-1.9M-11.4K0.0052.70N/AN/A101,8921,167
2009-07-02$28.35$29.0026.2%7.5%27.2%7.2%25.1%6.5%1.5%21.1K-1.5M-11.4K0.0096.04N/AN/A701,8931,167
2009-07-06$28.39$29.0029.2%8.2%26.9%9.6%0.0%7.8%1.1%27.6K-1.4M-10.1K0.0049.89N/AN/A2001,8931,167
2009-07-07$27.68$29.0029.8%8.4%28.3%10.0%30.2%5.9%0.2%22.1K-1.3M-10.8K0.6750.02N/AN/A641,9031,167
2009-07-08$27.54$29.0027.6%8.6%27.9%8.3%0.0%7.7%1.0%23.7K-1.1M-10.0K0.4053.60N/AN/A60241,9091,171
2009-07-09$28.10$29.0027.5%8.2%29.0%8.2%31.6%6.3%1.3%27.0K-1.3M-10.7K10.5058.20N/AN/A6631,9491,195
2009-07-10$27.55$29.0026.5%8.3%28.8%7.4%24.9%6.7%1.6%19.9K-1.0M-10.9K0.1553.22N/AN/A4061,9491,254
2009-07-13$28.05$29.0028.6%8.2%29.8%9.1%24.0%7.2%1.2%25.8K-1.2M-10.6K0.7558.24N/AN/A431,9891,257
2009-07-14$28.12$29.0027.1%8.0%27.4%7.9%0.0%7.9%0.9%27.5K-1.3M-10.9K0.0071.49N/AN/A021,9931,259
2009-07-15$28.97$29.0026.1%7.6%29.2%7.2%23.3%7.6%0.6%32.6K-1.7M-11.2K5.6774.35N/AN/A3171,9931,257
2009-07-16$29.44$29.0024.8%7.1%29.6%6.2%0.0%8.7%2.3%28.0K-2.0M-11.5K0.0066.93N/AN/A021,9961,259
2009-07-17$29.40$29.0025.3%7.3%29.7%6.5%0.0%5.4%1.3%31.1K-2.0M-11.5K0.0067.99N/AN/A031,9801,226
2009-07-20$29.91$29.0023.0%6.6%29.9%4.8%23.7%6.3%-1.8%11.5K-2.1M-10.8K0.0083.18N/AN/A1401,9351,186
2009-07-21$30.06$29.0023.1%6.6%27.0%4.9%19.8%8.3%2.3%8.9K-2.2M-11.2K1.9179.90N/AN/A881681,9441,186
2009-07-22$30.17$29.0022.8%6.5%26.6%4.6%20.1%8.6%2.4%7.3K-2.2M-12.8K0.9173.00N/AN/A46422,0321,323
2009-07-23$30.61$29.0021.6%6.2%26.7%3.7%0.0%5.9%1.6%-85-2.4M-13.5K0.6472.49N/AN/A88562,0781,364
2009-07-24$30.87$29.0020.1%5.8%25.6%2.6%22.2%5.8%3.3%3.6K-2.3M-14.4K0.2060.80N/AN/A100202,0541,414
2009-07-27$30.88$29.0021.5%6.2%25.6%3.6%21.8%4.8%2.6%14.7K-2.5M-15.1K1.1068.11N/AN/A10112,1481,434
2009-07-28$30.78$30.0022.1%6.3%25.7%4.1%0.0%6.2%2.3%15.7K-2.4M-14.6K5.5467.31N/AN/A13722,1481,443
2009-07-29$30.42$30.0025.7%7.4%25.8%6.9%0.0%11.2%1.0%13.3K-2.2M-15.5K0.0075.76N/AN/A3002,1611,513
2009-07-30$31.14$30.0022.8%6.5%25.8%4.6%0.0%6.7%2.1%312-2.6M-15.7K0.0062.90N/AN/A602,1821,513
2009-07-31$31.58$30.0021.9%6.3%22.7%3.9%23.2%10.9%1.9%-8.5K-3.0M-16.1K0.0061.03N/AN/A8702,1881,513