VEA Options History — March 2010

In March 2010, VEA traded between $32.82 and $34.80. ATM implied volatility averaged 18.0%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.2% (HV 20d: 15.8%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.14.

Notable Days

  • 2010-03-12: Highest Volume — 658 contracts
  • 2010-03-05: Largest IV drop — 23.1% change
  • 2010-03-15: Highest IV Rank — 26.7%
  • 2010-03-15: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.12$32.82$34.80$32.82$34.62
Max Pain$35.20$34.00$37.00$37.00$34.00
ATM IV18.0%14.8%20.3%19.4%14.8%
Expected Move5.2%4.2%5.8%5.6%4.2%
HV 20d15.8%12.6%24.0%24.0%13.9%
HV 60d20.9%20.0%21.5%20.7%20.0%
IV Rank18.2%9.3%26.7%18.3%11.1%
IV Percentile6.1%0.8%13.5%7.5%0.8%
Term Structure1.8%0.5%4.2%1.3%4.2%
VWIV17.4%17.2%17.5%17.5%17.2%
Skew 25d5.6%0.5%10.9%10.1%3.1%
Skew 10d8.1%2.1%35.9%9.8%2.1%
Call IV 25d14.1%10.9%18.2%14.8%13.3%
Put IV 25d19.7%15.6%24.9%24.9%16.4%
Bid-Ask Spread %84.0246.47102.2798.9798.95
Gamma HHI0.330.200.550.210.30
Net GEX13.4K-53.3K109.8K-53.3K538
Net DEX1.1M-1.6K1.9M1.9M32.5K
Net VEX-6.0K-7.0K-4.6K-5.1K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.001.060.000.00
Total Volume65.913065801
Total OI2,080.5221,0132,7282,4221,091

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$32.82$37.0019.4%5.6%24.0%18.3%0.0%10.1%1.3%-53.3K1.9M-5.1K0.0098.97N/AN/A001,0021,420
2010-03-02$33.06$37.0020.0%5.7%23.2%19.7%0.0%10.9%1.2%-29.4K1.8M-5.3K0.00100.67N/AN/A001,0021,420
2010-03-03$33.53$37.0017.3%5.0%22.7%13.5%0.0%6.1%1.7%-6.2K1.5M-5.1K0.00100.29N/AN/A201,0021,420
2010-03-04$33.36$37.0020.1%5.8%22.0%19.9%0.0%0.5%1.3%-17.5K1.6M-5.1K0.0099.74N/AN/A001,0041,420
2010-03-05$34.11$0.0015.5%5.1%17.6%9.3%0.0%7.2%1.4%59.7K1.2M-4.6K0.0065.48N/AN/A04401,0041,420
2010-03-08$34.02$0.0018.7%5.7%17.1%16.7%0.0%6.3%1.3%5921.8M-7.0K0.0046.47N/AN/A02981,0041,718
2010-03-09$33.92$0.0017.9%5.5%16.7%14.8%0.0%6.0%1.0%-8.7K1.9M-6.7K0.0055.34N/AN/A001,0041,718
2010-03-10$34.14$0.0017.5%5.4%13.8%16.9%0.0%2.1%0.7%21.7K1.8M-6.5K0.0069.94N/AN/A041,0041,718
2010-03-11$34.25$0.0019.3%5.5%13.4%21.9%0.0%5.6%1.0%26.8K1.8M-6.4K0.0050.22N/AN/A201,0041,722
2010-03-12$34.41$0.0019.2%5.5%13.3%23.5%0.0%5.1%1.0%48.5K1.6M-6.4K1.0671.03N/AN/A3203381,0051,722
2010-03-15$34.20$0.0020.3%5.8%13.5%26.7%0.0%5.9%0.5%21.4K1.7M-6.1K0.0067.07N/AN/A001,0011,722
2010-03-16$34.60$0.0017.7%5.1%13.1%19.2%0.0%6.2%2.3%78.5K1.5M-6.1K0.0075.67N/AN/A3101,0011,722
2010-03-17$34.80$0.0017.7%5.1%13.1%18.9%0.0%9.4%1.9%109.8K1.2M-6.4K0.0091.84N/AN/A001,0321,696
2010-03-18$34.59$0.0018.0%5.2%13.3%19.9%0.0%7.5%2.5%82.6K1.3M-6.3K0.0086.51N/AN/A001,0321,674
2010-03-19$34.23$0.0020.1%5.8%13.5%26.2%0.0%5.7%1.2%8.5K1.5M-6.2K0.0087.73N/AN/A001,0321,674
2010-03-22$34.30$0.0019.3%5.5%13.5%23.9%0.0%8.6%1.4%-10.2K260.7K-5.9K0.0089.20N/AN/A00391622
2010-03-23$34.58$0.0015.8%4.5%12.6%13.3%17.5%5.8%3.5%-8.7K154.0K-5.8K0.0095.20N/AN/A450391622
2010-03-24$33.96$34.0017.2%4.9%14.7%17.6%17.2%7.0%3.5%-8.7K246.9K-6.1K0.03100.64N/AN/A331434622
2010-03-25$34.00$34.0018.2%5.2%14.5%20.7%0.0%2.4%2.3%-4.6K162.1K-6.3K0.0090.94N/AN/A00467623
2010-03-26$34.21$34.0018.2%5.2%14.5%20.4%0.0%4.9%1.3%-3.2K140.6K-6.2K0.0090.95N/AN/A00467623
2010-03-29$34.56$34.0014.8%4.2%14.7%10.1%0.0%1.9%3.1%-1.1K67.0K-6.3K0.00102.27N/AN/A00467623
2010-03-30$34.59$34.0016.6%4.8%14.6%15.8%0.0%1.3%0.9%346-1.6K-6.1K0.0097.46N/AN/A10467623
2010-03-31$34.62$34.0014.8%4.2%13.9%11.1%0.0%3.1%4.2%53832.5K-6.1K0.0098.95N/AN/A10468623