VEA Options History — December 2010

In December 2010, VEA traded between $35.18 and $36.84. ATM implied volatility averaged 18.7%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 3.2% (HV 20d: 21.9%). Max pain ranged from $33.00 to $38.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.04.

Notable Days

  • 2010-12-01: Highest Volume — 417 contracts
  • 2010-12-22: Largest IV spike — 17.4% change
  • 2010-12-01: Highest IV Rank — 40.4%
  • 2010-12-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.16$35.18$36.84$35.18$36.15
Max Pain$37.32$33.00$38.00$33.00$38.00
ATM IV18.7%14.1%25.4%25.4%17.9%
Expected Move5.3%4.0%7.3%7.3%5.1%
HV 20d21.9%12.0%26.4%25.3%12.0%
HV 60d20.1%18.9%20.8%20.4%18.9%
IV Rank19.1%7.7%40.4%40.4%12.1%
IV Percentile21.7%0.4%70.2%70.2%17.1%
Term Structure1.9%-1.8%4.7%-1.7%2.1%
VWIV18.8%15.5%23.5%23.5%17.8%
Skew 25d5.5%2.6%9.9%9.9%4.1%
Skew 10d9.3%-0.5%22.0%8.8%4.8%
Call IV 25d15.9%12.5%20.0%19.4%14.6%
Put IV 25d21.4%18.3%29.3%29.3%18.8%
Bid-Ask Spread %71.6048.6697.5091.2048.66
Gamma HHI0.320.200.510.400.22
Net GEX137.1K-45.2K342.3K208.2K-36.4K
Net DEX-1.1M-2.4M194.0K-1.3M14.3K
Net VEX-3.0K-4.2K-1.7K-3.5K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.500.000.00
Total Volume50.68204174171
Total OI918.3183551,2091,209801

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$35.18$33.0025.4%7.3%25.3%40.4%23.5%9.9%-1.7%208.2K-1.3M-3.5K0.0091.20N/AN/A41701,053156
2010-12-02$35.92$33.0021.8%6.2%26.4%29.9%21.9%5.9%-1.4%215.3K-1.6M-3.2K0.0093.85N/AN/A420937156
2010-12-03$36.21$33.0020.6%5.9%25.1%26.5%20.8%6.9%-1.8%227.7K-1.7M-3.0K0.0097.50N/AN/A110896156
2010-12-06$36.02$38.0020.9%5.8%25.1%27.6%0.0%6.6%3.0%239.5K-1.6M-2.6K0.0067.06N/AN/A100887156
2010-12-07$36.09$38.0021.9%5.7%25.1%30.4%0.0%6.6%0.5%240.8K-1.7M-2.7K0.0065.87N/AN/A820897156
2010-12-08$36.21$38.0020.1%5.7%24.9%25.1%0.0%6.9%2.5%266.0K-1.8M-2.9K0.0067.58N/AN/A100915156
2010-12-09$36.25$38.0019.9%5.6%24.9%24.6%0.0%5.3%2.9%270.1K-1.8M-2.7K0.0071.40N/AN/A100905156
2010-12-10$36.37$38.0018.7%5.3%24.8%21.1%0.0%7.7%2.1%285.2K-1.9M-2.6K0.0073.62N/AN/A00915156
2010-12-13$36.76$38.0018.1%4.9%24.8%19.4%0.0%3.9%4.2%273.3K-2.3M-2.2K0.0073.58N/AN/A00915156
2010-12-14$36.84$38.0018.5%5.0%24.9%20.4%0.0%7.5%3.9%281.8K-2.4M-2.0K0.0078.87N/AN/A100915156
2010-12-15$36.35$38.0019.0%5.4%23.5%21.9%16.8%4.5%2.3%342.3K-2.0M-2.0K0.5071.50N/AN/A126915156
2010-12-16$36.50$38.0018.4%5.3%23.5%20.2%0.0%5.4%2.7%328.5K-2.1M-1.9K0.0082.16N/AN/A340921162
2010-12-17$36.32$38.0016.6%4.8%21.9%14.9%0.0%2.6%4.7%34.3K-2.2M-1.8K0.0079.80N/AN/A00922162
2010-12-20$36.40$38.0015.8%4.5%21.9%12.8%15.5%3.7%1.9%35.5K-395.8K-1.7K0.0068.72N/AN/A7027085
2010-12-21$36.66$38.0014.1%4.0%21.7%7.7%17.4%5.0%2.9%32.1K-439.7K-1.9K0.0070.49N/AN/A037427785
2010-12-22$35.89$38.0016.5%4.7%19.9%14.7%16.3%3.9%2.2%-45.2K194.0K-3.7K0.0062.82N/AN/A600253459
2010-12-23$35.84$38.0016.6%4.7%19.2%7.8%0.0%5.1%2.0%-38.4K136.7K-4.1K0.0061.30N/AN/A200313459
2010-12-27$35.80$38.0017.7%5.1%18.3%11.2%0.0%4.6%1.6%-37.4K146.7K-4.2K0.0068.94N/AN/A00333459
2010-12-28$35.79$38.0017.5%5.0%17.8%10.7%0.0%5.2%1.7%-36.8K136.6K-4.1K0.0054.43N/AN/A00333459
2010-12-29$36.11$38.0017.6%5.0%17.1%11.0%0.0%5.0%1.8%-35.0K29.2K-4.1K0.0058.19N/AN/A00333459
2010-12-30$35.97$38.0017.3%5.0%14.0%10.2%0.0%3.9%2.4%-35.9K81.7K-4.1K0.0067.60N/AN/A09333459
2010-12-31$36.15$38.0017.9%5.1%12.0%12.1%17.8%4.1%2.1%-36.4K14.3K-4.1K0.0048.66N/AN/A01333468