VEA Options History — July 2010

In July 2010, VEA traded between $29.52 and $32.74. ATM implied volatility averaged 26.3%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 0.1% (HV 20d: 26.2%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.12.

Notable Days

  • 2010-07-14: Highest Volume — 129 contracts
  • 2010-07-15: Largest IV spike — 26.6% change
  • 2010-07-06: Highest IV Rank — 63.9%
  • 2010-07-01: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.58$29.52$32.74$29.58$32.65
Max Pain$31.48$30.00$33.00$30.00$31.00
ATM IV26.3%20.9%33.5%32.7%22.2%
Expected Move7.7%6.3%9.4%9.4%6.4%
HV 20d26.2%22.8%30.5%30.5%23.8%
HV 60d35.6%34.7%36.2%34.8%34.7%
IV Rank43.1%27.5%63.9%61.4%31.2%
IV Percentile68.2%30.2%92.9%91.7%40.9%
Term Structure1.4%-0.7%2.6%0.8%1.9%
VWIV26.5%22.1%32.3%32.3%23.7%
Skew 25d9.3%5.0%11.9%10.9%7.3%
Skew 10d14.2%5.4%19.9%19.7%13.5%
Call IV 25d22.3%17.7%29.7%29.7%18.5%
Put IV 25d31.6%25.8%40.6%40.6%25.8%
Bid-Ask Spread %67.3841.3988.2178.4987.13
Gamma HHI0.230.140.420.140.29
Net GEX44.4K8.1K82.1K8.3K67.2K
Net DEX-376.5K-659.2K-59.1K-59.1K-616.9K
Net VEX-2.7K-3.3K-1.7K-1.7K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.000.670.000.00
Total Volume21012910
Total OI744.762556846556846

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$29.58$30.0032.7%9.4%30.5%61.4%32.3%10.9%0.8%8.3K-59.1K-1.7K0.0078.49N/AN/A01421135
2010-07-02$29.52$30.0030.8%8.8%26.5%55.9%0.0%10.7%1.0%8.1K-69.2K-1.7K0.0080.26N/AN/A100421136
2010-07-06$30.10$33.0033.5%9.3%26.6%63.9%25.6%9.0%-0.7%10.9K-119.2K-1.8K0.0044.94N/AN/A550431136
2010-07-07$31.07$33.0028.6%8.4%28.2%49.6%0.0%11.9%2.6%21.8K-227.1K-2.0K0.0041.39N/AN/A030486136
2010-07-08$31.43$33.0026.2%8.8%28.2%42.8%0.0%9.1%-0.2%24.0K-254.0K-2.3K0.3647.74N/AN/A6724486166
2010-07-09$31.45$33.0025.3%8.3%24.6%40.2%0.0%11.1%0.6%46.9K-296.8K-2.6K0.0043.96N/AN/A30553190
2010-07-12$31.36$33.0030.3%8.4%24.6%54.6%0.0%9.6%1.3%44.8K-277.9K-2.5K0.0044.08N/AN/A00556190
2010-07-13$31.91$33.0023.6%7.3%25.2%35.3%27.0%7.6%1.7%65.6K-395.9K-2.5K0.1147.39N/AN/A91556190
2010-07-14$31.95$31.0020.9%7.6%22.8%27.5%0.0%10.6%1.6%78.4K-415.6K-2.5K0.0068.97N/AN/A1290565191
2010-07-15$32.16$31.0026.5%7.6%22.9%43.7%23.0%11.0%1.9%82.1K-553.4K-3.1K0.0064.79N/AN/A160631191
2010-07-16$31.12$31.0030.7%8.8%25.9%55.8%31.2%7.6%1.0%31.5K-332.1K-3.0K0.3360.10N/AN/A62647191
2010-07-19$31.35$31.0028.9%8.3%26.0%50.5%0.0%9.6%1.5%31.7K-308.3K-2.9K0.0060.96N/AN/A00579179
2010-07-20$31.53$31.0023.9%6.9%26.1%36.2%26.9%9.9%1.4%33.1K-310.6K-2.7K0.6772.22N/AN/A32579179
2010-07-21$30.97$31.0027.7%8.0%26.5%47.2%0.0%5.0%1.2%29.0K-263.9K-2.7K0.0076.09N/AN/A00582181
2010-07-22$32.04$31.0024.8%7.1%29.1%38.8%0.0%8.7%1.2%41.4K-406.3K-3.0K0.0079.64N/AN/A30582181
2010-07-23$32.39$31.0024.9%7.1%28.3%38.8%22.1%9.3%1.3%43.7K-464.1K-2.9K0.0078.92N/AN/A790585181
2010-07-26$32.64$31.0022.3%6.4%28.4%31.3%0.0%9.6%2.3%67.3K-608.3K-3.3K0.0078.80N/AN/A00664181
2010-07-27$32.74$31.0023.2%6.6%28.1%33.9%0.0%8.2%2.6%65.8K-650.6K-3.2K0.0085.70N/AN/A00664181
2010-07-28$32.53$31.0023.6%6.8%24.1%35.2%23.7%9.5%2.0%61.9K-619.0K-3.2K0.0085.23N/AN/A10664181
2010-07-29$32.68$31.0022.0%6.3%23.8%30.7%0.0%9.6%2.4%68.2K-659.2K-3.2K0.0088.21N/AN/A00665181
2010-07-30$32.65$31.0022.2%6.4%23.8%31.2%0.0%7.3%1.9%67.2K-616.9K-3.1K0.0087.13N/AN/A00665181