VEA Options History — December 2009

In December 2009, VEA traded between $34.20 and $35.69. ATM implied volatility averaged 20.2%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.1% (HV 20d: 21.3%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.06.

Notable Days

  • 2009-12-16: Highest Volume — 91 contracts
  • 2009-12-22: Largest IV drop — 44.4% change
  • 2009-12-28: Highest IV Rank — 19.4%
  • 2009-12-08: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.84$34.20$35.69$35.65$34.20
Max Pain$35.77$35.00$38.00$38.00$35.00
ATM IV20.2%11.4%25.4%20.7%19.4%
Expected Move5.6%3.3%6.7%5.9%5.6%
HV 20d21.3%15.0%24.2%24.2%15.2%
HV 60d23.0%22.2%23.5%23.5%22.2%
IV Rank11.1%0.0%19.4%9.3%15.3%
IV Percentile8.3%0.0%36.1%2.4%3.2%
Term Structure2.8%-2.1%7.3%-0.8%3.2%
VWIV17.1%10.7%22.2%17.4%10.7%
Skew 25d8.6%0.4%15.4%8.8%2.9%
Skew 10d11.2%3.8%22.1%5.4%4.2%
Call IV 25d16.2%11.3%20.7%16.0%18.3%
Put IV 25d24.8%15.2%32.4%24.8%21.3%
Bid-Ask Spread %88.4056.24104.05101.1596.92
Gamma HHI0.280.170.570.210.18
Net GEX-79.2K-234.5K34.2K-209.6K14.3K
Net DEX4.2M692.1K8.3M5.0M1.2M
Net VEX-7.2K-11.2K-4.3K-11.2K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.000.310.000.00
Total Volume13.09109130
Total OI4,243.2731,4156,2126,1961,417

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$35.65$38.0020.7%5.9%24.2%9.3%17.4%8.8%-0.8%-209.6K5.0M-11.2K0.00101.15N/AN/A032,0104,186
2009-12-02$35.69$38.0020.9%6.0%24.1%9.7%0.0%5.0%-2.0%-231.5K4.8M-11.2K0.00104.05N/AN/A002,0104,183
2009-12-03$35.62$38.0020.3%5.8%23.8%8.5%0.0%6.0%-2.1%-234.5K4.7M-10.2K0.00103.20N/AN/A1902,0104,183
2009-12-04$35.49$37.0023.5%5.4%23.7%15.0%0.0%8.3%4.4%-196.9K5.0M-10.6K0.0056.24N/AN/A102,0294,183
2009-12-07$35.28$37.0024.7%5.5%23.8%17.5%0.0%11.6%2.2%-176.4K5.2M-10.0K0.0064.46N/AN/A002,0284,183
2009-12-08$34.68$37.0025.4%6.7%22.7%18.8%0.0%10.6%3.1%-107.9K7.0M-9.8K0.0065.00N/AN/A061,7264,183
2009-12-09$34.76$37.0024.0%5.5%22.7%16.0%22.2%12.8%3.0%-91.2K7.5M-8.5K0.3080.44N/AN/A1031,6904,189
2009-12-10$34.74$35.0020.8%6.0%22.7%9.6%0.0%15.4%3.2%-97.3K7.3M-8.3K0.0086.56N/AN/A001,7004,189
2009-12-11$34.79$35.0020.1%5.8%22.0%8.2%0.0%10.9%3.5%-105.3K7.3M-7.8K0.0088.24N/AN/A101,7004,189
2009-12-14$35.06$35.0017.0%4.9%21.5%1.8%0.0%11.4%4.9%-145.9K6.7M-7.8K0.0072.64N/AN/A001,7004,189
2009-12-15$34.72$35.0019.7%5.6%20.9%7.3%0.0%9.4%2.7%-140.8K7.3M-6.7K0.0075.34N/AN/A2001,7004,189
2009-12-16$35.11$35.0018.5%5.3%21.3%4.9%0.0%11.6%7.3%-189.2K6.7M-6.2K0.0098.72N/AN/A9101,6914,189
2009-12-17$34.26$35.0021.9%6.3%22.9%12.3%0.0%13.6%1.6%23.8K8.3M-5.6K0.0083.29N/AN/A1601,7374,189
2009-12-18$34.30$35.0019.8%5.7%21.7%7.7%0.0%11.7%6.1%34.2K692.1K-5.8K0.0082.66N/AN/A0591,7451,988
2009-12-21$34.48$35.0020.5%5.9%21.8%9.3%18.2%3.9%0.5%12.4K1.1M-4.7K0.0088.19N/AN/A150586868
2009-12-22$34.68$35.0011.4%3.3%20.8%0.0%0.0%8.1%7.3%14.3K1.1M-4.3K0.00102.29N/AN/A00598868
2009-12-23$35.01$35.0014.6%4.2%21.0%6.1%10.7%12.3%4.1%17.3K949.4K-4.9K0.3191.45N/AN/A3210598868
2009-12-24$34.36$35.0020.4%5.8%21.2%17.2%0.0%0.4%2.7%15.4K1.1M-5.1K0.00103.06N/AN/A00537878
2009-12-28$34.50$35.0021.6%6.2%18.2%19.4%0.0%6.1%2.5%18.3K1.1M-4.8K0.00101.03N/AN/A00537878
2009-12-29$34.51$35.0018.7%5.4%18.0%14.0%0.0%1.8%1.8%16.3K1.0M-5.1K0.00101.65N/AN/A10537878
2009-12-30$34.49$35.0020.5%5.9%15.0%17.5%0.0%5.7%1.3%16.9K1.1M-4.8K0.0098.25N/AN/A01538878
2009-12-31$34.20$35.0019.4%5.6%15.2%15.3%0.0%2.9%3.2%14.3K1.2M-4.8K0.0096.92N/AN/A00538879