VEA Options History — November 2010

In November 2010, VEA traded between $34.16 and $37.47. ATM implied volatility averaged 22.9%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.8% (HV 20d: 19.1%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2010-11-23: Highest Volume — 113 contracts
  • 2010-11-24: Largest IV drop — 14.1% change
  • 2010-11-30: Highest IV Rank — 52.2%
  • 2010-11-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.07$34.16$37.47$35.77$34.16
Max Pain$31.57$31.00$33.00$32.00$33.00
ATM IV22.9%19.1%29.5%22.3%29.5%
Expected Move6.6%5.5%8.5%6.4%8.5%
HV 20d19.1%16.0%23.5%17.8%23.5%
HV 60d19.3%18.4%20.8%20.5%19.8%
IV Rank33.1%22.3%52.2%31.3%52.2%
IV Percentile51.5%21.0%86.1%50.0%86.1%
Term Structure1.0%-2.7%3.7%0.8%-2.7%
VWIV24.4%20.6%28.5%20.6%28.5%
Skew 25d7.1%2.1%9.3%7.3%6.9%
Skew 10d8.4%-1.3%17.4%-0.5%7.9%
Call IV 25d19.4%13.6%25.5%20.0%25.5%
Put IV 25d26.5%20.9%32.4%27.3%32.4%
Bid-Ask Spread %85.8473.0392.6473.0387.88
Gamma HHI0.410.360.480.470.36
Net GEX169.8K130.6K213.1K137.5K145.0K
Net DEX-1.9M-2.5M-879.6K-1.7M-879.6K
Net VEX-4.3K-4.9K-3.1K-4.9K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.002.500.002.50
Total Volume17.4290113029
Total OI1,072.1439691,1809691,180

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$35.77$32.0022.3%6.4%17.8%31.3%0.0%7.3%0.8%137.5K-1.7M-4.9K0.0073.03N/AN/A0089673
2010-11-02$36.35$32.0022.9%6.6%16.0%33.2%0.0%4.7%0.7%138.8K-1.9M-4.8K0.0080.21N/AN/A0089673
2010-11-03$36.64$32.0020.2%5.8%16.1%25.5%0.0%2.7%0.6%142.9K-2.1M-4.7K0.0084.55N/AN/A0089673
2010-11-04$37.47$32.0019.2%5.5%17.6%22.5%0.0%2.1%1.9%130.6K-2.4M-4.2K0.0092.64N/AN/A52089673
2010-11-05$37.31$31.0019.1%5.9%17.8%22.3%20.6%9.3%3.6%138.0K-2.4M-4.3K0.0088.40N/AN/A106090873
2010-11-08$37.12$31.0019.5%6.1%17.9%23.3%0.0%9.1%2.8%161.9K-2.5M-4.7K0.0089.34N/AN/A001,00873
2010-11-09$36.72$31.0019.6%6.0%18.4%23.5%0.0%8.2%3.7%174.7K-2.3M-4.9K0.0084.84N/AN/A301,00873
2010-11-10$36.84$31.0019.8%6.2%18.1%24.2%0.0%9.3%3.3%168.0K-2.3M-4.7K0.0086.27N/AN/A001,01173
2010-11-11$36.55$31.0021.8%6.3%18.2%30.0%23.4%8.6%2.8%176.2K-2.2M-4.8K0.0084.06N/AN/A2201,01173
2010-11-12$36.21$31.0023.9%6.9%18.5%36.2%23.8%8.2%1.3%174.9K-2.0M-4.8K0.0083.34N/AN/A201,01573
2010-11-15$36.27$31.0024.1%6.9%18.4%36.5%0.0%7.7%2.2%178.2K-2.1M-4.6K0.0086.58N/AN/A001,01473
2010-11-16$35.36$31.0027.2%7.8%18.0%45.5%0.0%6.4%-0.3%167.3K-1.6M-4.5K0.0081.18N/AN/A001,01473
2010-11-17$35.57$31.0025.2%7.2%16.7%39.8%0.0%6.6%0.9%175.9K-1.7M-4.5K0.0081.25N/AN/A001,01673
2010-11-18$36.45$31.0023.4%6.7%18.8%34.8%0.0%7.5%1.7%195.8K-2.2M-4.4K0.0085.35N/AN/A001,01673
2010-11-19$36.47$31.0021.6%6.2%18.8%29.3%20.8%5.4%3.0%211.9K-2.2M-4.2K0.0091.41N/AN/A401,01673
2010-11-22$36.08$31.0022.7%6.5%19.2%32.5%25.5%7.3%-0.4%201.1K-1.9M-4.0K0.0088.35N/AN/A0599261
2010-11-23$34.97$31.0025.4%7.3%22.0%40.6%27.8%7.9%-0.6%172.7K-1.3M-3.7K0.7984.92N/AN/A635099266
2010-11-24$35.52$33.0021.9%6.3%22.6%30.2%21.8%6.8%-0.7%213.1K-1.6M-4.1K0.0091.15N/AN/A1501,053116
2010-11-26$34.99$33.0024.6%7.1%23.0%38.2%27.3%9.2%-0.7%189.9K-1.3M-3.7K0.0090.05N/AN/A011,053116
2010-11-29$34.62$33.0026.7%7.6%23.2%44.1%28.5%8.7%-2.4%172.2K-1.1M-3.3K2.5087.77N/AN/A4101,053117
2010-11-30$34.16$33.0029.5%8.5%23.5%52.2%0.0%6.9%-2.7%145.0K-879.6K-3.1K0.0087.88N/AN/A0291,053127