VEA Options History — November 2009

In November 2009, VEA traded between $33.58 and $35.89. ATM implied volatility averaged 23.6%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 3.0% (HV 20d: 26.6%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.79.

Notable Days

  • 2009-11-04: Highest Volume — 140 contracts
  • 2009-11-27: Largest IV spike — 35.5% change
  • 2009-11-27: Highest IV Rank — 20.1%
  • 2009-11-04: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.90$33.58$35.89$33.70$34.72
Max Pain$37.40$35.00$38.00$35.00$38.00
ATM IV23.6%19.2%26.2%26.0%24.9%
Expected Move6.8%5.5%7.5%7.4%7.1%
HV 20d26.6%22.7%27.7%26.7%22.7%
HV 60d22.3%21.6%23.1%22.6%23.1%
IV Rank11.1%6.3%20.1%13.1%17.8%
IV Percentile19.2%0.4%38.1%31.7%31.3%
Term Structure0.0%-4.3%2.6%0.3%-4.3%
VWIV20.9%12.0%27.5%24.3%26.1%
Skew 25d8.2%5.8%12.4%8.4%12.4%
Skew 10d13.7%5.5%22.3%16.3%15.3%
Call IV 25d19.1%14.3%24.1%24.1%15.9%
Put IV 25d27.3%23.0%32.6%32.6%28.3%
Bid-Ask Spread %89.6262.26108.3762.2699.31
Gamma HHI0.180.140.210.150.21
Net GEX-176.3K-293.5K-88.0K-108.9K-103.9K
Net DEX5.8M4.3M7.4M7.2M6.3M
Net VEX-15.8K-18.7K-11.1K-18.5K-11.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.0010.000.710.00
Total Volume21.60140300
Total OI6,280.156,1686,3586,2806,196

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$33.70$35.0026.0%7.4%26.7%13.1%0.0%8.4%0.3%-108.9K7.2M-18.5K0.0062.26N/AN/A0301,9934,287
2009-11-03$33.58$35.0026.1%7.5%26.0%13.3%24.3%7.9%0.7%-88.0K7.4M-17.4K0.7163.87N/AN/A751,9934,267
2009-11-04$34.07$35.0026.2%7.5%26.5%13.5%24.2%6.5%0.2%-105.5K6.9M-16.9K0.0866.22N/AN/A130101,9954,270
2009-11-05$34.38$35.0025.7%7.4%26.1%12.8%0.0%10.6%0.4%-141.6K6.6M-18.0K0.0074.73N/AN/A1302,0054,280
2009-11-06$34.46$38.0025.0%7.4%26.1%11.8%0.0%8.0%0.4%-146.9K6.6M-17.8K0.0089.89N/AN/A002,0184,280
2009-11-09$35.38$38.0023.9%6.9%27.7%10.4%0.0%7.7%1.3%-236.8K5.4M-18.7K0.0089.46N/AN/A602,0184,280
2009-11-10$35.28$38.0023.2%7.1%27.7%9.4%27.5%6.4%-0.0%-233.8K5.4M-18.7K0.3389.13N/AN/A40132,0244,280
2009-11-11$35.37$38.0022.3%6.7%26.4%8.3%23.6%6.5%0.5%-236.3K5.2M-18.3K5.0092.14N/AN/A5252,0604,290
2009-11-12$34.82$38.0023.6%6.8%26.9%10.0%0.0%9.7%0.3%-183.3K5.8M-17.3K0.0094.66N/AN/A402,0604,281
2009-11-13$35.34$38.0023.3%6.7%26.9%9.6%12.7%7.0%0.4%-203.4K5.5M-16.0K10.0092.63N/AN/A2202,0644,281
2009-11-16$35.89$38.0021.9%6.3%26.9%7.7%0.0%9.1%0.4%-293.5K4.3M-17.1K0.0095.63N/AN/A002,0664,281
2009-11-17$35.63$38.0021.3%6.1%26.9%6.9%19.0%5.8%1.8%-239.5K4.9M-15.9K0.0094.30N/AN/A502,0664,281
2009-11-18$35.54$38.0021.1%6.1%26.9%6.7%13.3%6.0%2.6%-230.5K5.1M-15.3K0.0095.11N/AN/A0172,0714,281
2009-11-19$34.79$38.0023.9%6.9%27.7%10.4%25.9%9.0%-0.5%-179.3K6.1M-14.8K0.0093.71N/AN/A072,0714,287
2009-11-20$34.61$38.0022.8%6.5%27.1%10.2%0.0%6.8%1.2%-117.8K6.2M-13.3K0.0094.34N/AN/A0252,0654,188
2009-11-23$35.25$38.0022.6%6.5%27.3%12.0%0.0%10.0%-2.4%-190.5K5.3M-13.6K0.0098.00N/AN/A002,0104,158
2009-11-24$35.06$38.0022.2%6.4%27.3%12.3%0.0%7.6%-3.1%-160.0K5.6M-12.8K0.0098.79N/AN/A0262,0104,158
2009-11-25$35.61$38.0019.2%5.5%25.7%6.3%12.0%8.7%-0.6%-207.0K5.0M-12.3K0.0099.76N/AN/A0402,0104,184
2009-11-27$34.52$38.0026.0%7.5%26.3%20.1%26.1%10.8%1.3%-118.5K6.2M-13.3K0.00108.37N/AN/A022,0104,184
2009-11-30$34.72$38.0024.9%7.1%22.7%17.8%0.0%12.4%-4.3%-103.9K6.3M-11.1K0.0099.31N/AN/A002,0104,186