VEA Options History — May 2010

In May 2010, VEA traded between $28.77 and $33.84. ATM implied volatility averaged 33.3%, placing in the 77.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 3.7% (HV 20d: 37.1%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2010-05-10: Highest Volume — 128 contracts
  • 2010-05-06: Largest IV spike — 24.3% change
  • 2010-05-06: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.81$28.77$33.84$33.84$29.78
Max Pain$35.20$35.00$36.00$36.00$35.00
ATM IV33.3%22.1%46.0%22.1%33.1%
Expected Move9.5%6.3%13.2%6.3%9.5%
HV 20d37.1%21.2%46.9%21.2%46.9%
HV 60d25.1%17.5%30.8%17.5%30.8%
IV Rank77.3%50.4%100.0%50.4%62.8%
IV Percentile93.2%38.9%100.0%38.9%96.0%
Term Structure-0.3%-3.6%6.8%0.9%-1.7%
VWIV26.2%16.6%36.1%33.2%27.6%
Skew 25d10.5%1.2%17.9%7.2%13.1%
Skew 10d22.8%1.0%37.3%13.8%31.6%
Call IV 25d27.5%18.0%38.2%19.3%24.5%
Put IV 25d37.9%26.5%53.6%26.5%37.5%
Bid-Ask Spread %92.0577.21112.3177.2193.10
Gamma HHI0.460.310.630.400.51
Net GEX-21.4K-37.2K-3.3K-5.5K-33.0K
Net DEX1.2M390.1K1.5M390.1K1.3M
Net VEX-4.0K-5.5K-2.6K-5.5K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.002.750.840.00
Total Volume34.801282248
Total OI1,523.351,2861,6971,2861,616

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$33.84$36.0022.1%6.3%21.2%50.4%0.0%7.2%0.9%-5.5K390.1K-5.5K0.0077.21N/AN/A022579707
2010-05-04$32.50$36.0026.3%7.5%25.2%70.3%0.0%4.6%0.5%-13.9K857.9K-4.8K0.0085.62N/AN/A011579729
2010-05-05$31.94$36.0026.7%7.7%25.5%72.2%0.0%1.2%0.5%-19.7K1.1M-4.2K0.0087.97N/AN/A00579740
2010-05-06$30.43$36.0033.2%9.5%29.8%100.0%33.2%8.9%6.8%-24.3K1.3M-4.2K0.84112.31N/AN/A5143579740
2010-05-07$30.36$35.0038.0%10.1%28.8%100.0%0.0%8.1%-3.6%-24.0K1.3M-4.0K0.0092.71N/AN/A00628772
2010-05-10$32.33$35.0030.7%8.6%38.1%72.5%17.5%8.0%-0.7%-14.8K926.3K-4.8K0.3692.19N/AN/A9434628772
2010-05-11$31.91$35.0030.4%8.6%38.2%71.6%31.4%11.5%0.1%-9.3K1.2M-4.3K0.1789.89N/AN/A6010722803
2010-05-12$32.22$35.0028.4%8.4%38.0%63.8%0.0%9.1%0.5%-3.3K989.6K-4.9K0.0090.13N/AN/A00782813
2010-05-13$31.83$35.0028.0%8.0%38.0%62.4%26.4%8.4%0.4%-10.4K1.0M-4.8K0.6386.74N/AN/A5736782813
2010-05-14$30.95$35.0033.1%9.5%38.3%81.7%16.6%10.8%-0.2%-18.7K1.4M-4.4K0.0096.27N/AN/A50825829
2010-05-17$30.87$35.0033.9%9.7%38.3%84.7%0.0%11.2%0.2%-21.3K1.4M-4.2K0.0095.04N/AN/A022825829
2010-05-18$30.20$35.0035.6%10.2%38.3%91.2%22.8%9.3%-1.5%-25.6K1.5M-3.7K0.0091.51N/AN/A023825851
2010-05-19$30.41$35.0037.5%10.7%38.6%98.2%0.0%14.7%-1.0%-23.8K1.5M-4.0K0.0098.08N/AN/A00825872
2010-05-20$29.03$35.0046.0%13.2%41.1%100.0%0.0%15.3%-1.7%-20.0K1.5M-3.8K0.0094.87N/AN/A02825872
2010-05-21$29.97$35.0038.7%11.1%43.3%78.9%36.1%15.2%-0.9%-25.8K1.5M-3.5K0.0086.58N/AN/A30825840
2010-05-24$29.30$35.0039.3%11.3%43.4%80.5%23.2%11.9%-2.4%-33.3K1.4M-2.9K2.7590.17N/AN/A822713758
2010-05-25$29.24$35.0038.6%11.1%41.9%78.5%0.0%15.2%-1.0%-30.8K1.5M-2.9K0.0090.96N/AN/A00721770
2010-05-26$28.77$35.0035.4%10.1%41.9%69.2%27.7%7.6%-1.0%-37.2K1.5M-2.6K0.3194.22N/AN/A9730721770
2010-05-27$30.38$35.0031.4%9.0%46.7%57.9%27.6%17.9%-0.8%-33.5K1.3M-3.3K0.2995.42N/AN/A144808800
2010-05-28$29.78$35.0033.1%9.5%46.9%62.8%0.0%13.1%-1.7%-33.0K1.3M-3.1K0.0093.10N/AN/A480820796