VEA Options History — October 2010

In October 2010, VEA traded between $34.45 and $36.50. ATM implied volatility averaged 19.9%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.3% (HV 20d: 18.6%). Max pain ranged from $32.00 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 0.03.

Notable Days

  • 2010-10-21: Highest Volume — 48 contracts
  • 2010-10-14: Largest IV spike — 20.6% change
  • 2010-10-19: Highest IV Rank — 30.9%
  • 2010-10-04: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.81$34.45$36.50$34.91$35.92
Max Pain$32.10$32.00$34.00$34.00$32.00
ATM IV19.9%15.9%22.1%18.8%21.9%
Expected Move6.1%5.4%7.0%5.4%6.3%
HV 20d18.6%16.8%21.1%16.8%18.5%
HV 60d21.4%20.1%22.9%22.1%20.5%
IV Rank24.5%13.0%30.9%21.2%30.4%
IV Percentile29.4%4.0%47.2%15.9%46.4%
Term Structure1.6%0.4%4.2%3.6%1.0%
VWIV21.0%18.5%23.4%18.5%21.9%
Skew 25d5.3%3.5%8.7%8.7%5.0%
Skew 10d7.3%-0.4%14.4%12.9%8.2%
Call IV 25d19.5%14.2%21.1%14.2%20.5%
Put IV 25d24.9%22.6%27.6%22.9%25.5%
Bid-Ask Spread %61.9044.8193.6393.6367.57
Gamma HHI0.450.330.570.540.47
Net GEX181.0K117.7K371.4K340.0K135.9K
Net DEX-3.1M-5.0M-1.5M-3.4M-1.7M
Net VEX-5.7K-7.6K-5.0K-7.6K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.030.000.330.000.00
Total Volume6.429048110
Total OI1,441.199621,8761,832969

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$34.91$34.0018.8%5.4%16.8%21.2%18.5%8.7%3.6%340.0K-3.4M-7.6K0.0093.63N/AN/A1101,711121
2010-10-04$34.45$32.0022.1%7.0%17.6%30.8%0.0%6.4%0.7%371.4K-3.0M-7.4K0.0044.81N/AN/A001,722121
2010-10-05$35.40$32.0019.7%6.3%18.8%24.0%20.2%5.5%1.3%294.2K-4.1M-6.7K0.0047.49N/AN/A601,722121
2010-10-06$35.66$32.0017.6%5.9%18.8%18.0%0.0%4.7%1.7%299.2K-4.3M-6.6K0.0058.21N/AN/A501,728121
2010-10-07$35.60$32.0016.3%6.1%18.9%14.0%0.0%4.2%1.0%239.6K-4.4M-6.3K0.0558.41N/AN/A2211,732121
2010-10-08$35.82$32.0015.9%5.8%18.9%13.0%0.0%6.2%4.2%232.6K-4.6M-6.0K0.0062.48N/AN/A001,754122
2010-10-11$35.77$32.0017.3%6.0%18.1%17.1%0.0%6.9%0.8%146.5K-4.8M-5.6K0.0046.84N/AN/A001,754122
2010-10-12$35.70$32.0016.2%5.9%18.2%13.8%0.0%5.6%1.5%214.1K-4.6M-5.7K0.0058.76N/AN/A001,754122
2010-10-13$36.10$32.0017.4%5.9%18.4%17.4%0.0%3.9%1.2%133.4K-4.9M-5.4K0.0067.90N/AN/A601,754122
2010-10-14$36.34$32.0021.0%6.0%18.2%27.8%0.0%3.5%1.4%121.4K-5.0M-5.3K0.0071.17N/AN/A001,754122
2010-10-15$36.28$32.0021.7%6.2%17.9%29.7%23.4%3.8%0.4%118.3K-5.0M-5.3K0.0062.22N/AN/A201,754122
2010-10-18$36.50$32.0021.7%6.2%17.0%29.7%0.0%4.1%1.3%120.3K-1.9M-5.2K0.0058.57N/AN/A220863116
2010-10-19$35.51$32.0022.1%6.3%20.2%30.9%21.9%6.9%1.7%117.7K-1.5M-5.4K0.3348.28N/AN/A31885116
2010-10-20$36.20$32.0021.6%6.2%21.1%29.5%0.0%5.0%2.1%122.2K-1.8M-5.4K0.0060.00N/AN/A10888117
2010-10-21$36.01$32.0021.2%6.1%20.6%28.4%0.0%5.0%2.0%124.2K-1.8M-5.4K0.0056.10N/AN/A048889117
2010-10-22$36.09$32.0020.6%5.9%18.5%26.6%0.0%4.8%2.0%131.2K-1.8M-5.3K0.0068.92N/AN/A0088973
2010-10-25$36.23$32.0020.9%6.0%18.4%27.4%0.0%4.2%1.7%132.7K-1.9M-5.1K0.0074.82N/AN/A5088973
2010-10-26$35.97$32.0021.2%6.1%18.6%28.3%0.0%6.0%1.4%135.3K-1.7M-5.1K0.0058.54N/AN/A2089473
2010-10-27$35.62$32.0021.2%6.1%19.0%28.3%0.0%6.9%1.4%134.3K-1.6M-5.1K0.0063.64N/AN/A0089673
2010-10-28$35.91$32.0021.5%6.2%18.8%29.1%0.0%4.9%1.4%135.7K-1.8M-5.1K0.0071.57N/AN/A0089673
2010-10-29$35.92$32.0021.9%6.3%18.5%30.4%0.0%5.0%1.0%135.9K-1.7M-5.0K0.0067.57N/AN/A0089673