VEA Options History — June 2010

In June 2010, VEA traded between $28.52 and $31.32. ATM implied volatility averaged 32.6%, placing in the 61.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 6.9% (HV 20d: 39.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.36.

Notable Days

  • 2010-06-23: Highest Volume — 61 contracts
  • 2010-06-29: Largest IV spike — 23.2% change
  • 2010-06-01: Highest IV Rank — 81.0%
  • 2010-06-01: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.21$28.52$31.32$29.44$29.24
Max Pain$30.82$30.00$35.00$35.00$30.00
ATM IV32.6%27.3%39.5%39.5%36.9%
Expected Move9.2%7.8%11.3%11.3%10.6%
HV 20d39.4%29.6%46.7%46.7%30.2%
HV 60d33.3%30.4%34.7%30.4%34.7%
IV Rank61.1%46.0%81.0%81.0%73.7%
IV Percentile91.8%82.1%99.6%99.6%95.2%
Term Structure0.1%-2.6%2.3%-2.4%-1.6%
VWIV31.0%27.8%35.9%34.4%35.9%
Skew 25d10.5%6.5%15.6%12.2%10.1%
Skew 10d18.1%8.7%33.4%28.7%31.8%
Call IV 25d26.4%22.3%32.0%31.1%32.0%
Put IV 25d36.9%31.0%43.3%43.3%42.1%
Bid-Ask Spread %72.4753.4397.6493.2570.99
Gamma HHI0.360.140.670.480.14
Net GEX-12.7K-76.4K38.9K-30.1K8.3K
Net DEX745.8K-177.9K1.6M1.4M-61.0K
Net VEX-2.2K-3.1K-1.5K-3.1K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.002.500.360.00
Total Volume7.136061151
Total OI1,260.4554821,7091,654555

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$29.44$35.0039.5%11.3%46.7%81.0%34.4%12.2%-2.4%-30.1K1.4M-3.1K0.3693.25N/AN/A114858796
2010-06-02$30.34$35.0034.3%9.8%46.7%66.1%0.0%15.6%-1.5%-32.8K1.3M-3.0K0.0094.51N/AN/A50869796
2010-06-03$30.18$35.0033.7%9.7%46.4%64.3%0.0%13.7%-0.2%-32.9K1.3M-3.0K0.0097.64N/AN/A00874796
2010-06-04$28.95$30.0038.3%10.5%45.6%77.7%0.0%9.2%0.5%-32.7K1.5M-2.7K0.0058.90N/AN/A00874796
2010-06-07$28.52$30.0038.7%10.6%45.8%78.8%0.0%13.3%-0.5%-36.9K1.6M-2.3K0.0073.52N/AN/A00874796
2010-06-08$28.98$30.0036.9%10.2%39.4%73.7%0.0%9.5%1.9%-43.0K1.6M-2.3K0.0053.43N/AN/A30874796
2010-06-09$28.90$30.0037.2%10.1%39.3%74.4%0.0%10.2%-0.3%-44.4K1.6M-2.2K0.0068.29N/AN/A00877796
2010-06-10$30.12$30.0031.2%8.9%42.4%57.2%0.0%11.5%2.3%-63.7K1.4M-2.5K0.0072.25N/AN/A30877796
2010-06-11$30.19$30.0031.7%9.1%42.3%58.6%0.0%9.0%0.6%-73.4K1.3M-2.3K0.0057.91N/AN/A100880796
2010-06-14$30.36$30.0031.7%9.1%41.3%58.6%0.0%9.3%0.4%-76.4K1.2M-2.3K0.0061.64N/AN/A02890796
2010-06-15$31.32$30.0029.7%8.5%42.8%52.9%0.0%12.2%0.0%-13.2K843.4K-2.1K0.0066.03N/AN/A330890796
2010-06-16$31.24$30.0028.5%8.2%42.0%49.5%0.0%11.8%0.7%38.9K754.2K-1.9K0.0068.75N/AN/A00913796
2010-06-17$31.28$30.0029.0%8.3%42.0%50.7%0.0%10.5%1.0%38.9K755.8K-2.0K0.0074.26N/AN/A03913796
2010-06-18$31.24$30.0027.7%7.9%38.0%47.1%27.8%10.2%2.2%31.1K758.1K-1.8K0.0072.92N/AN/A03913793
2010-06-21$31.27$31.0027.3%7.8%36.5%46.0%0.0%8.3%0.3%11.4K-132.6K-1.7K0.0075.95N/AN/A00358124
2010-06-22$30.87$31.0028.2%8.1%35.8%48.4%28.5%7.9%0.8%9.0K-104.7K-1.5K2.5075.77N/AN/A25358124
2010-06-23$31.05$31.0028.7%8.2%35.8%50.0%28.7%8.9%-0.5%10.9K-118.1K-1.7K0.0074.52N/AN/A610360127
2010-06-24$30.51$30.0029.8%8.5%35.9%53.1%0.0%9.5%0.3%13.3K-151.6K-1.9K0.0069.92N/AN/A05421127
2010-06-25$30.69$30.0028.0%8.0%30.4%48.0%0.0%10.2%0.7%14.4K-158.8K-2.0K0.0071.31N/AN/A00421132
2010-06-28$30.46$30.0031.1%8.9%29.6%57.0%0.0%6.5%0.3%14.6K-177.9K-2.1K0.0070.16N/AN/A00421132
2010-06-29$29.36$30.0038.4%11.0%32.2%77.9%35.9%11.3%-2.6%9.0K-72.2K-1.8K0.0072.37N/AN/A06421132
2010-06-30$29.24$30.0036.9%10.6%30.2%73.7%0.0%10.1%-1.6%8.3K-61.0K-1.7K0.0070.99N/AN/A01421134