VEA Options History — August 2009

In August 2009, VEA traded between $31.11 and $33.24. ATM implied volatility averaged 23.6%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.7% (HV 20d: 20.9%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.15.

Notable Days

  • 2009-08-03: Highest Volume — 320 contracts
  • 2009-08-13: Largest IV spike — 13.4% change
  • 2009-08-17: Highest IV Rank — 13.9%
  • 2009-08-17: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.34$31.11$33.24$32.43$33.00
Max Pain$27.76$27.00$30.00$30.00$28.00
ATM IV23.6%21.3%28.1%22.8%24.5%
Expected Move6.9%6.2%8.1%6.5%7.0%
HV 20d20.9%17.5%23.8%23.8%19.2%
HV 60d25.1%23.7%27.9%27.9%23.7%
IV Rank7.3%3.4%13.9%4.6%9.5%
IV Percentile12.8%4.0%26.2%11.9%16.3%
Term Structure1.8%-1.3%3.9%2.1%-0.2%
VWIV24.4%22.4%27.1%22.4%23.2%
Skew 25d6.2%3.4%9.1%4.4%7.0%
Skew 10d8.5%-1.1%18.3%0.2%8.2%
Call IV 25d20.5%15.4%24.6%20.5%21.0%
Put IV 25d26.7%23.9%30.9%24.9%28.0%
Bid-Ask Spread %50.6928.5092.4489.6874.77
Gamma HHI0.200.150.290.210.26
Net GEX-29.4K-82.5K21.1K-6.8K-65.9K
Net DEX-2.7M-3.7M-1.8M-3.7M-2.7M
Net VEX-16.8K-17.8K-15.6K-16.4K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.150.0040.0031.000.15
Total Volume37.286032032023
Total OI4,115.813,7804,2693,7804,066

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$32.43$30.0022.8%6.5%23.8%4.6%22.4%4.4%2.1%-6.8K-3.7M-16.4K31.0089.68N/AN/A103102,2671,513
2009-08-04$32.39$30.0022.2%6.4%20.9%4.2%0.0%4.1%2.8%-14.2K-2.9M-17.7K0.0052.97N/AN/A0482,2771,823
2009-08-05$32.28$30.0023.1%6.6%20.7%4.8%23.1%3.4%1.3%-13.9K-2.7M-17.8K0.0046.18N/AN/A2702,2771,863
2009-08-06$32.06$30.0023.4%6.7%20.8%5.1%0.0%9.1%1.9%-9.1K-2.5M-17.6K0.0077.45N/AN/A1302,2841,863
2009-08-07$31.99$27.0022.2%7.1%18.7%4.2%0.0%6.1%1.3%-14.9K-2.6M-17.8K0.0040.26N/AN/A002,2971,863
2009-08-10$31.76$27.0022.8%7.3%19.0%4.6%0.0%6.0%1.0%-4.4K-2.4M-17.2K0.0038.85N/AN/A002,2971,863
2009-08-11$31.54$27.0022.2%7.1%19.5%4.1%27.1%7.1%2.0%3.2K-2.2M-16.9K0.6038.56N/AN/A1062,2971,863
2009-08-12$31.94$27.0021.3%7.0%17.6%3.4%0.0%4.6%3.0%-12.7K-2.6M-17.1K0.0089.82N/AN/A2002,3001,869
2009-08-13$32.45$27.0024.1%6.9%17.5%9.0%25.5%5.1%2.9%-28.6K-2.8M-16.8K2.0036.01N/AN/A362,2701,869
2009-08-14$32.16$27.0025.1%7.2%18.1%10.2%0.0%4.5%1.5%-14.8K-2.6M-16.7K0.0034.08N/AN/A1002,2671,863
2009-08-17$31.11$27.0028.1%8.1%21.8%13.9%0.0%6.4%-1.3%21.1K-1.8M-15.6K40.0039.35N/AN/A1402,2771,863
2009-08-18$31.63$27.0025.9%7.4%22.4%11.2%0.0%9.1%1.1%5.8K-2.1M-16.1K0.0040.55N/AN/A5502,2771,903
2009-08-19$31.88$27.0025.1%7.2%22.5%10.3%0.0%9.0%3.1%1.7K-2.4M-16.7K0.0044.59N/AN/A7002,3091,901
2009-08-20$32.21$27.0024.4%7.0%22.3%9.4%23.7%5.9%2.8%-9.5K-2.9M-16.5K0.0040.55N/AN/A302,3681,901
2009-08-21$32.84$27.0023.5%6.7%23.0%8.2%26.9%7.0%3.0%-65.4K-3.4M-16.9K0.0092.44N/AN/A502,3651,901
2009-08-24$32.83$27.0023.4%6.7%23.0%8.2%23.2%5.4%1.7%-75.6K-2.7M-16.1K0.0037.75N/AN/A2802,1621,874
2009-08-25$33.12$27.0023.1%6.6%23.0%7.7%0.0%7.6%1.6%-82.5K-3.0M-16.5K1.0029.61N/AN/A112,1781,874
2009-08-26$32.96$28.0021.6%6.2%22.5%6.0%0.0%4.5%3.9%-73.6K-2.7M-16.5K0.0061.97N/AN/A4002,1611,875
2009-08-27$33.22$28.0022.8%6.5%21.3%7.4%23.2%8.8%1.1%-76.3K-3.0M-16.5K0.0028.50N/AN/A102,2011,875
2009-08-28$33.24$28.0022.9%6.6%21.0%7.6%0.0%6.0%1.4%-80.0K-2.9M-16.3K0.0230.59N/AN/A5112,1411,875
2009-08-31$33.00$28.0024.5%7.0%19.2%9.5%0.0%7.0%-0.2%-65.9K-2.7M-16.6K0.1574.77N/AN/A2032,1921,874