VEA Options History — April 2010

In April 2010, VEA traded between $33.52 and $35.88. ATM implied volatility averaged 18.3%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.9% (HV 20d: 15.3%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2010-04-01: Highest Volume — 147 contracts
  • 2010-04-27: Largest IV spike — 20.0% change
  • 2010-04-30: Highest IV Rank — 51.1%
  • 2010-04-27: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.87$33.52$35.88$35.13$33.66
Max Pain$35.89$34.00$36.00$34.00$36.00
ATM IV18.3%14.6%22.5%15.5%22.3%
Expected Move5.5%4.4%6.5%4.4%6.4%
HV 20d15.3%12.3%21.4%14.4%21.0%
HV 60d19.6%18.4%20.2%20.2%19.4%
IV Rank26.7%11.4%51.1%14.8%51.1%
IV Percentile14.9%0.4%43.3%1.6%41.7%
Term Structure0.5%-0.9%1.6%1.6%1.3%
VWIV17.0%16.1%17.8%16.1%17.8%
Skew 25d4.5%0.9%7.2%0.9%5.3%
Skew 10d9.7%2.3%16.2%5.7%16.2%
Call IV 25d16.5%11.9%21.7%11.9%20.7%
Put IV 25d21.0%12.8%26.0%12.8%26.0%
Bid-Ask Spread %61.1841.95103.25103.2576.91
Gamma HHI0.320.270.410.270.40
Net GEX-986-7.3K16.5K4.4K-6.8K
Net DEX-60.3K-492.3K542.0K-190.2K398.7K
Net VEX-6.1K-6.8K-5.4K-6.1K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume13.33301471471
Total OI1,221.7621,0921,2851,0921,285

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$35.13$34.0015.5%4.4%14.4%14.8%0.0%0.9%1.6%4.4K-190.2K-6.1K0.00103.25N/AN/A1470469623
2010-04-05$35.08$0.0017.4%5.1%12.4%21.9%0.0%2.6%1.4%16.5K-369.9K-6.8K0.0064.10N/AN/A00585623
2010-04-06$35.12$0.0016.6%5.5%12.3%18.8%16.1%7.2%0.8%10.2K-245.4K-6.4K0.0045.34N/AN/A061535623
2010-04-07$34.76$36.0017.3%5.5%12.9%21.5%0.0%4.2%-0.3%-3.3K-13.5K-6.7K0.0044.33N/AN/A00535684
2010-04-08$34.79$36.0014.6%5.3%12.8%11.4%0.0%4.5%0.5%-3.8K48.5K-6.6K0.0046.83N/AN/A00535684
2010-04-09$35.30$36.0016.1%5.3%13.7%16.9%0.0%4.0%-0.1%375-206.1K-6.4K0.0052.54N/AN/A00535684
2010-04-12$35.44$36.0017.9%5.4%13.6%23.6%0.0%4.8%0.5%-2.9K-292.2K-6.6K0.0041.95N/AN/A20535684
2010-04-13$35.40$36.0015.2%5.5%13.4%13.6%0.0%4.2%1.0%-1.2K-254.1K-6.5K0.0047.61N/AN/A00537684
2010-04-14$35.85$36.0016.4%5.3%13.5%18.0%0.0%4.6%0.1%-1.1K-447.2K-6.3K0.0051.56N/AN/A00537684
2010-04-15$35.88$36.0017.4%5.0%13.4%21.6%0.0%4.1%-0.3%1.2K-492.3K-6.1K0.0047.53N/AN/A00537684
2010-04-16$35.04$36.0019.6%5.6%15.9%29.7%0.0%3.5%0.9%-4.6K-177.9K-6.5K0.0056.49N/AN/A00537684
2010-04-19$34.97$36.0019.3%5.5%15.4%28.8%0.0%5.7%1.5%-4.9K-531-6.3K0.0063.57N/AN/A00535684
2010-04-20$35.24$36.0018.9%5.4%15.6%27.0%0.0%5.1%-0.5%-114-221.3K-6.0K0.0055.11N/AN/A160535684
2010-04-21$34.97$36.0018.7%5.3%15.7%28.7%0.0%4.5%1.0%-2.4K-63.4K-6.2K0.0054.49N/AN/A10551684
2010-04-22$34.63$36.0017.5%5.0%14.6%23.9%0.0%6.2%1.4%-2.1K127.2K-5.9K0.0065.37N/AN/A50552684
2010-04-23$34.86$36.0017.9%5.1%14.8%25.7%17.8%4.4%1.0%-2.0K-20.7K-5.4K0.0063.03N/AN/A10556684
2010-04-26$34.93$36.0018.8%5.4%14.7%29.1%0.0%4.4%-0.9%896-105.3K-5.8K0.0068.96N/AN/A00557684
2010-04-27$33.55$36.0022.5%6.5%20.3%44.0%0.0%2.6%0.5%-7.3K368.6K-5.4K0.0077.24N/AN/A110557684
2010-04-28$33.52$36.0021.9%6.3%20.3%41.5%0.0%5.6%0.2%-6.7K542.0K-5.4K0.0092.87N/AN/A023566684
2010-04-29$34.10$36.0021.9%6.3%21.4%48.7%0.0%6.7%-0.3%-5.0K348.9K-5.6K0.0065.79N/AN/A120566707
2010-04-30$33.66$36.0022.3%6.4%21.0%51.1%0.0%5.3%1.3%-6.8K398.7K-5.8K0.0076.91N/AN/A10578707