VEA Options History — September 2009

In September 2009, VEA traded between $32.20 and $35.01. ATM implied volatility averaged 23.6%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.0% (HV 20d: 19.6%). Max pain ranged from $28.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2009-09-08: Highest Volume — 1,697 contracts
  • 2009-09-10: Largest IV spike — 24.0% change
  • 2009-09-01: Highest IV Rank — 8.3%
  • 2009-09-01: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.00$32.20$35.01$32.20$34.30
Max Pain$33.24$28.00$35.00$28.00$35.00
ATM IV23.6%19.2%26.2%26.2%24.3%
Expected Move6.9%6.4%7.5%7.5%7.0%
HV 20d19.6%16.4%22.2%21.2%16.5%
HV 60d22.7%20.0%24.4%24.3%20.0%
IV Rank5.6%0.0%8.3%8.3%6.7%
IV Percentile12.0%0.0%21.4%21.4%17.5%
Term Structure1.2%-0.5%2.6%1.1%1.1%
VWIV24.0%22.5%25.4%24.2%25.4%
Skew 25d6.3%3.1%10.8%6.7%8.5%
Skew 10d9.2%1.3%20.7%1.3%3.1%
Call IV 25d19.9%16.2%23.0%20.3%18.0%
Put IV 25d26.2%23.6%30.1%27.0%26.6%
Bid-Ask Spread %71.3728.9388.8131.3167.64
Gamma HHI0.180.160.240.230.17
Net GEX-185.4K-293.2K-47.0K-47.0K-195.9K
Net DEX2.3M-4.6M6.5M-2.2M6.5M
Net VEX-26.3K-30.7K-16.3K-16.3K-27.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.005.382.753.33
Total Volume309.95201,69763795
Total OI6,543.2864,0898,6174,0896,521

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$32.20$28.0026.2%7.5%21.2%8.3%0.0%6.7%1.1%-47.0K-2.2M-16.3K2.7531.31N/AN/A1704672,2121,877
2009-09-02$32.24$28.0026.0%7.4%21.2%8.0%0.0%10.4%1.5%-64.5K-1.2M-16.6K0.3828.93N/AN/A8083052,3822,344
2009-09-03$32.49$28.0025.6%7.3%21.2%7.1%0.0%7.7%2.6%-57.4K-2.6M-21.6K1.1031.88N/AN/A2012213,1902,637
2009-09-04$32.89$33.0022.4%7.3%21.5%3.0%0.0%7.6%1.2%-81.2K-3.4M-24.2K0.0055.68N/AN/A0523,3912,824
2009-09-08$33.52$33.0021.3%7.0%22.2%1.5%0.0%5.7%2.1%-111.2K-4.0M-23.2K0.9070.54N/AN/A8928053,3912,793
2009-09-09$33.95$33.0019.2%6.9%22.1%0.0%0.0%10.8%0.4%-155.8K-4.6M-25.7K0.0086.25N/AN/A09394,1473,514
2009-09-10$34.22$33.0023.8%6.8%21.9%6.2%24.2%6.9%0.8%-209.4K-1.9M-27.9K0.0074.97N/AN/A0854,1454,452
2009-09-11$34.11$33.0023.3%6.7%21.5%5.5%24.6%3.5%0.3%-213.1K-1.9M-27.8K0.8476.79N/AN/A70594,1454,462
2009-09-14$34.20$33.0023.1%6.6%21.1%5.2%0.0%4.1%2.1%-233.8K-1.9M-28.1K0.0076.49N/AN/A0604,1164,501
2009-09-15$34.11$33.0023.5%6.7%16.4%5.8%0.0%7.3%1.7%-222.3K6.0M-27.0K0.0081.33N/AN/A1601,8324,502
2009-09-16$35.01$33.0022.8%6.5%17.6%4.8%23.4%7.3%1.3%-258.0K5.2M-26.9K1.6283.37N/AN/A1031671,8184,502
2009-09-17$34.80$35.0023.0%6.6%18.0%5.1%0.0%6.3%1.5%-283.8K5.4M-29.2K0.3182.81N/AN/A162501,8994,604
2009-09-18$34.86$35.0022.2%6.4%17.9%3.9%22.5%4.2%2.0%-293.2K5.0M-30.7K0.0079.45N/AN/A0252,0154,604
2009-09-21$34.48$35.0024.9%7.1%17.7%7.6%0.0%4.8%0.7%-210.3K6.3M-27.8K0.0082.87N/AN/A001,8164,385
2009-09-22$34.92$35.0022.9%6.6%18.0%4.9%0.0%6.3%-0.5%-249.9K5.7M-29.4K0.7882.38N/AN/A80621,8164,385
2009-09-23$34.74$35.0022.5%6.5%18.1%4.4%0.0%3.1%1.2%-229.3K5.8M-28.5K0.1387.91N/AN/A80101,9034,407
2009-09-24$34.15$35.0024.5%7.0%19.2%7.0%0.0%4.0%1.5%-186.2K6.3M-28.3K1.9157.57N/AN/A1162221,9534,407
2009-09-25$34.15$35.0024.2%6.9%19.1%6.7%0.0%3.6%1.0%-183.2K6.5M-28.8K0.0083.90N/AN/A002,0374,498
2009-09-28$34.45$35.0024.5%7.0%19.3%7.1%0.0%5.9%2.0%-211.5K6.2M-29.1K5.3888.81N/AN/A13701,9874,498
2009-09-29$34.26$35.0025.4%7.3%19.2%8.2%25.4%7.8%0.2%-195.8K6.5M-27.9K3.3387.87N/AN/A24801,9994,498
2009-09-30$34.30$35.0024.3%7.0%16.5%6.7%0.0%8.5%1.1%-195.9K6.5M-27.9K0.0067.64N/AN/A0952,0234,498