VEA Options History — August 2010

In August 2010, VEA traded between $31.17 and $33.85. ATM implied volatility averaged 26.0%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 1.6% (HV 20d: 24.3%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2010-08-27: Highest Volume — 67 contracts
  • 2010-08-11: Largest IV spike — 20.2% change
  • 2010-08-24: Highest IV Rank — 52.2%
  • 2010-08-24: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.39$31.17$33.85$33.72$31.48
Max Pain$30.18$30.00$31.00$31.00$30.00
ATM IV26.0%20.3%29.5%24.3%28.0%
Expected Move7.4%6.4%8.4%7.0%8.0%
HV 20d24.3%21.5%29.0%25.5%21.6%
HV 60d29.5%24.9%33.8%33.8%24.9%
IV Rank42.1%25.6%52.2%37.3%48.0%
IV Percentile68.4%25.8%86.1%62.3%79.8%
Term Structure1.2%-2.3%3.8%-2.3%1.3%
VWIV21.7%15.4%26.7%21.8%20.1%
Skew 25d8.7%3.3%12.0%12.0%6.0%
Skew 10d16.5%0.6%26.5%1.3%12.3%
Call IV 25d21.1%13.8%24.6%13.8%24.0%
Put IV 25d29.8%24.0%33.7%25.8%30.0%
Bid-Ask Spread %92.0087.5998.1395.3595.10
Gamma HHI0.260.170.450.250.25
Net GEX62.2K20.8K109.8K77.5K44.9K
Net DEX-551.3K-1.1M-203.7K-894.3K-338.7K
Net VEX-2.7K-3.5K-1.9K-3.1K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.003.330.000.00
Total Volume10.273067480
Total OI867758920846883

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$33.72$31.0024.3%7.0%25.5%37.3%0.0%12.0%-2.3%77.5K-894.3K-3.1K0.0095.35N/AN/A480665181
2010-08-03$33.66$31.0023.9%6.8%25.2%36.0%0.0%11.2%-2.2%84.0K-925.3K-3.4K3.3396.53N/AN/A310713181
2010-08-04$33.63$31.0022.7%6.5%23.4%32.7%0.0%9.0%-1.6%85.2K-927.4K-3.4K0.0098.13N/AN/A40716191
2010-08-05$33.66$31.0022.4%6.4%23.2%31.8%0.0%3.3%0.8%88.5K-940.8K-3.5K0.0094.03N/AN/A00720191
2010-08-06$33.76$30.0023.1%6.4%23.2%33.8%0.0%8.1%3.3%90.1K-963.1K-3.3K0.0089.96N/AN/A00720191
2010-08-09$33.85$30.0020.3%6.5%23.1%25.6%0.0%8.8%3.6%91.8K-1.1M-3.3K0.0092.09N/AN/A00720191
2010-08-10$33.61$30.0023.5%6.4%22.8%34.9%21.8%8.3%3.5%91.1K-936.7K-3.2K0.1390.89N/AN/A81720191
2010-08-11$32.04$30.0028.2%7.9%29.0%48.6%15.4%8.1%2.0%67.6K-505.7K-3.0K0.0089.19N/AN/A210728192
2010-08-12$32.02$30.0027.9%8.0%28.9%47.7%0.0%8.9%2.3%64.5K-446.5K-2.8K0.0087.59N/AN/A00710192
2010-08-13$31.89$30.0028.1%8.0%26.3%48.1%0.0%7.9%1.3%62.8K-422.9K-2.7K0.0089.96N/AN/A60710192
2010-08-16$32.13$30.0028.5%8.2%26.3%49.5%0.0%8.8%0.5%72.0K-451.9K-2.7K0.0091.42N/AN/A00716192
2010-08-17$32.51$30.0025.0%7.2%26.5%39.3%0.0%7.0%2.7%109.8K-534.4K-2.7K0.0092.48N/AN/A00716192
2010-08-18$32.53$30.0024.4%7.0%25.5%37.6%0.0%9.3%3.8%103.6K-536.5K-2.6K0.0090.97N/AN/A00716192
2010-08-19$32.10$30.0028.2%8.1%23.1%48.5%0.0%8.8%0.3%53.7K-379.0K-2.5K0.0090.80N/AN/A00716192
2010-08-20$31.71$30.0027.9%8.0%23.2%47.6%0.0%11.5%1.4%27.6K-298.7K-2.3K0.0089.89N/AN/A00716192
2010-08-23$31.66$30.0025.9%7.4%22.9%41.8%0.0%9.0%1.5%25.5K-306.4K-2.2K0.0088.69N/AN/A00571187
2010-08-24$31.17$30.0029.5%8.4%23.4%52.2%26.7%9.7%-0.0%21.0K-224.2K-2.0K0.0091.29N/AN/A20571187
2010-08-25$31.18$30.0028.2%8.1%23.4%48.5%0.0%10.3%0.2%20.8K-203.7K-1.9K0.0089.52N/AN/A30573187
2010-08-26$31.17$30.0028.8%8.2%23.2%50.2%25.7%8.3%0.2%22.2K-228.5K-2.0K0.0090.70N/AN/A20576187
2010-08-27$31.81$30.0024.9%7.1%24.6%39.0%20.3%8.9%1.8%26.8K-302.5K-2.0K0.0094.00N/AN/A670578187
2010-08-30$31.39$30.0027.7%7.9%21.5%47.0%20.1%8.3%1.6%36.2K-310.5K-2.1K0.0095.50N/AN/A510645187
2010-08-31$31.48$30.0028.0%8.0%21.6%48.0%0.0%6.0%1.3%44.9K-338.7K-2.1K0.0095.10N/AN/A00696187