VEA Options History — September 2010

In September 2010, VEA traded between $32.59 and $34.90. ATM implied volatility averaged 20.8%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.3% (HV 20d: 21.1%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2010-09-21: Highest Volume — 1,262 contracts
  • 2010-09-09: Largest IV spike — 14.1% change
  • 2010-09-09: Highest IV Rank — 34.7%
  • 2010-09-08: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.84$32.59$34.90$32.59$34.52
Max Pain$32.76$30.00$34.00$30.00$34.00
ATM IV20.8%18.8%23.4%21.4%20.5%
Expected Move6.1%5.4%7.2%6.1%5.9%
HV 20d21.1%16.6%26.2%25.5%16.6%
HV 60d23.8%22.1%25.6%25.6%22.1%
IV Rank27.2%21.4%34.7%28.9%26.2%
IV Percentile30.4%16.3%50.4%31.7%30.2%
Term Structure2.5%0.8%4.1%3.0%2.6%
VWIV19.9%16.8%21.8%16.8%20.4%
Skew 25d5.6%2.2%9.3%9.3%8.9%
Skew 10d7.3%0.9%17.1%17.1%7.8%
Call IV 25d19.2%15.6%22.5%17.8%15.6%
Put IV 25d24.8%22.2%29.7%27.1%24.5%
Bid-Ask Spread %72.3239.7299.0497.7589.64
Gamma HHI0.390.190.570.320.54
Net GEX147.4K30.2K324.0K65.9K324.0K
Net DEX-1.5M-3.3M-416.5K-581.4K-3.1M
Net VEX-4.0K-8.0K-1.9K-2.3K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.005.860.000.00
Total Volume75.23801,26280
Total OI1,133.2863341,8328831,832

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$32.59$30.0021.4%6.1%25.5%28.9%16.8%9.3%3.0%65.9K-581.4K-2.3K0.0097.75N/AN/A80696187
2010-09-02$32.76$30.0020.9%6.0%25.6%27.5%0.0%8.6%2.6%73.2K-629.0K-2.3K0.0099.04N/AN/A00700187
2010-09-03$33.07$33.0020.0%7.0%25.8%24.8%0.0%4.8%1.9%79.0K-727.7K-2.3K0.0046.26N/AN/A170700187
2010-09-07$32.65$33.0022.1%6.9%26.1%30.8%0.0%7.4%3.3%76.4K-624.4K-2.2K0.0039.72N/AN/A00707187
2010-09-08$32.88$33.0020.5%7.2%26.2%26.4%0.0%5.1%1.8%84.0K-689.8K-2.2K0.0056.37N/AN/A00707187
2010-09-09$33.17$33.0023.4%6.7%19.7%34.7%0.0%3.4%2.4%93.3K-777.5K-2.1K0.0056.77N/AN/A00707187
2010-09-10$33.26$33.0023.1%6.6%19.7%33.7%0.0%5.5%3.0%89.0K-810.3K-2.1K0.0058.80N/AN/A60707187
2010-09-13$33.87$33.0021.8%6.2%20.4%29.9%21.8%2.2%2.3%86.2K-1.0M-1.9K0.0064.52N/AN/A80713187
2010-09-14$34.08$33.0020.1%5.8%20.3%25.2%20.0%7.1%4.1%64.1K-1.1M-1.9K0.0067.26N/AN/A60721187
2010-09-15$34.12$33.0020.9%6.0%20.1%27.5%18.8%6.3%2.9%53.4K-1.0M-1.9K0.0064.79N/AN/A160697187
2010-09-16$33.93$33.0020.8%6.0%20.3%27.1%0.0%5.1%3.3%56.5K-995.7K-2.0K0.0077.03N/AN/A00713187
2010-09-17$33.68$33.0021.1%6.0%19.8%27.9%20.5%5.2%3.7%74.3K-946.7K-1.9K0.0076.05N/AN/A02713187
2010-09-20$34.32$33.0019.3%5.5%19.8%22.8%17.9%6.0%2.8%30.2K-416.5K-1.9K0.0068.06N/AN/A46027757
2010-09-21$34.32$33.0020.6%5.9%19.7%26.7%20.9%3.5%1.6%36.6K-485.0K-2.2K0.0075.34N/AN/A1,261132357
2010-09-22$34.29$33.0020.4%5.9%18.5%26.1%0.0%4.3%2.2%287.6K-2.6M-7.7K5.8670.62N/AN/A7411,58458
2010-09-23$33.91$33.0021.3%6.1%19.3%28.4%21.8%5.7%0.9%296.3K-2.3M-7.4K0.1773.58N/AN/A60101,59199
2010-09-24$34.85$33.0018.8%5.4%20.8%21.4%0.0%3.6%2.3%300.3K-3.2M-8.0K0.0385.19N/AN/A3211,651109
2010-09-27$34.69$33.0020.1%5.8%20.4%25.2%0.0%4.9%2.0%306.0K-3.2M-7.9K0.2184.34N/AN/A3981,670110
2010-09-28$34.90$33.0019.6%5.6%19.3%23.7%0.0%6.4%2.3%308.1K-3.3M-8.0K0.0084.60N/AN/A801,709118
2010-09-29$34.83$33.0020.6%5.9%19.4%26.7%20.4%5.2%0.8%310.7K-3.3M-8.0K0.0082.98N/AN/A031,711118
2010-09-30$34.52$34.0020.5%5.9%16.6%26.2%0.0%8.9%2.6%324.0K-3.1M-7.8K0.0089.64N/AN/A001,711121