VEA Options History — October 2009

In October 2009, VEA traded between $33.03 and $35.79. ATM implied volatility averaged 23.1%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.2% (HV 20d: 20.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.94.

Notable Days

  • 2009-10-26: Highest Volume — 71 contracts
  • 2009-10-15: Largest IV spike — 35.9% change
  • 2009-10-30: Highest IV Rank — 17.4%
  • 2009-10-30: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.62$33.03$35.79$33.33$33.35
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV23.1%16.1%29.2%26.1%29.2%
Expected Move6.8%5.8%8.4%7.5%8.4%
HV 20d20.9%19.6%26.9%20.0%26.9%
HV 60d20.3%19.4%22.6%21.0%22.6%
IV Rank7.6%0.0%17.4%9.1%17.4%
IV Percentile13.4%0.0%43.7%24.6%43.7%
Term Structure0.2%-1.3%1.8%1.1%-1.3%
VWIV24.1%21.7%28.7%28.7%24.9%
Skew 25d4.5%0.7%7.8%3.5%7.0%
Skew 10d5.1%-2.9%15.8%-0.0%15.8%
Call IV 25d22.2%19.8%24.8%24.0%24.8%
Put IV 25d26.7%22.7%31.8%27.5%31.8%
Bid-Ask Spread %56.1435.1789.2853.1362.85
Gamma HHI0.180.140.250.160.14
Net GEX-217.1K-362.5K-91.4K-136.5K-91.4K
Net DEX6.1M4.6M7.9M7.4M7.2M
Net VEX-23.7K-26.3K-18.7K-25.7K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.940.0020.000.0020.00
Total Volume18.1820711021
Total OI6,438.9096,2726,5946,5466,281

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$33.33$35.0026.1%7.5%20.0%9.1%0.0%3.5%1.1%-136.5K7.4M-25.7K0.0053.13N/AN/A1002,0234,523
2009-10-02$33.03$35.0026.7%7.6%20.2%9.9%28.7%6.0%0.3%-110.3K7.9M-24.6K0.5589.28N/AN/A20112,0334,523
2009-10-05$33.50$35.0027.3%7.5%20.4%10.7%24.4%6.2%0.2%-130.7K7.6M-24.0K0.0044.35N/AN/A302,0534,523
2009-10-06$34.05$35.0023.8%7.3%20.1%6.1%25.7%5.0%-0.1%-178.9K6.9M-25.7K0.0040.79N/AN/A102,0564,523
2009-10-07$34.17$35.0023.7%7.2%19.6%5.9%0.0%5.5%0.2%-187.0K6.9M-25.2K0.0035.17N/AN/A002,0574,523
2009-10-08$34.70$35.0021.6%6.8%20.1%3.2%0.0%5.4%0.6%-241.1K6.1M-26.3K0.0044.54N/AN/A602,0574,523
2009-10-09$34.56$35.0020.7%6.7%20.2%1.9%0.0%4.5%-0.7%-228.8K6.4M-25.4K0.4341.97N/AN/A47202,0634,523
2009-10-12$34.76$35.0022.1%6.7%20.2%3.9%0.0%5.8%-1.0%-256.6K5.9M-25.7K5.0039.17N/AN/A2102,0904,503
2009-10-13$34.75$35.0021.4%6.8%20.2%3.1%0.0%5.2%-0.7%-266.6K6.1M-25.1K0.0042.24N/AN/A002,0914,503
2009-10-14$35.59$35.0016.1%6.2%19.9%0.0%21.7%3.6%0.3%-316.9K4.9M-25.9K1.0050.28N/AN/A20202,0914,503
2009-10-15$35.72$35.0021.9%6.3%19.7%7.7%0.0%3.2%-0.5%-308.1K4.6M-24.4K0.0058.99N/AN/A0302,0554,457
2009-10-16$35.18$35.0023.5%6.7%20.6%9.9%23.8%3.9%-0.4%-362.5K5.3M-24.4K0.0050.73N/AN/A0172,0554,457
2009-10-19$35.76$35.0021.8%6.2%20.8%7.5%22.3%2.4%-0.0%-283.5K4.7M-24.6K0.0067.18N/AN/A701,9974,302
2009-10-20$35.56$35.0021.7%6.2%20.6%7.5%0.0%2.5%-0.2%-262.3K5.0M-24.5K10.0064.50N/AN/A2201,9934,302
2009-10-21$35.43$35.0022.3%6.4%20.5%8.3%0.0%0.7%1.8%-266.3K4.8M-23.9K0.0071.74N/AN/A031,9954,292
2009-10-22$35.79$35.0020.3%5.8%19.6%5.5%0.0%4.4%1.8%-284.8K4.9M-23.5K0.0065.89N/AN/A041,9954,293
2009-10-23$35.20$35.0021.8%6.2%20.7%7.5%21.7%1.7%1.4%-239.0K5.1M-23.7K1.2068.02N/AN/A10121,9954,293
2009-10-26$34.64$35.0024.0%6.9%21.4%10.5%0.0%2.6%-0.2%-193.2K5.8M-21.6K0.0057.39N/AN/A0711,9874,305
2009-10-27$34.46$35.0024.9%7.2%21.4%11.8%0.0%5.9%0.2%-168.5K6.3M-20.5K0.0067.78N/AN/A0101,9874,285
2009-10-28$33.54$35.0025.9%7.4%23.5%13.1%0.0%6.6%-0.7%-102.2K7.1M-18.8K0.0061.87N/AN/A021,9874,285
2009-10-29$34.56$35.0022.0%6.3%23.6%7.8%24.9%7.8%1.2%-161.4K6.4M-19.4K0.0057.25N/AN/A2101,9874,287
2009-10-30$33.35$35.0029.2%8.4%26.9%17.4%0.0%7.0%-1.3%-91.4K7.2M-18.7K20.0062.85N/AN/A1201,9944,287