VEA Options History — March 2011

In March 2011, VEA traded between $34.34 and $38.43. ATM implied volatility averaged 19.2%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.6% (HV 20d: 21.8%). Max pain ranged from $34.00 to $41.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 3.31.

Notable Days

  • 2011-03-21: Highest Volume — 44 contracts
  • 2011-03-10: Largest IV spike — 38.4% change
  • 2011-03-16: Highest IV Rank — 63.4%
  • 2011-03-16: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.95$34.34$38.43$37.72$37.31
Max Pain$40.00$34.00$41.00$34.00$41.00
ATM IV19.2%10.9%32.5%13.1%17.9%
Expected Move5.8%3.1%9.3%3.8%5.1%
HV 20d21.8%14.8%28.1%17.0%25.6%
HV 60d17.3%14.4%19.6%14.5%19.6%
IV Rank27.3%4.8%63.4%10.7%23.6%
IV Percentile35.3%2.0%90.9%2.8%25.0%
Term Structure1.6%-3.4%9.1%6.6%1.7%
VWIV19.4%11.7%26.8%16.3%11.7%
Skew 25d6.6%0.5%11.0%0.5%5.9%
Skew 10d14.0%3.4%25.7%3.4%13.5%
Call IV 25d17.4%11.9%27.6%16.1%15.0%
Put IV 25d24.0%15.2%36.7%16.6%20.9%
Bid-Ask Spread %44.056.3990.7161.4090.71
Gamma HHI0.230.200.250.220.24
Net GEX87.6K72.7K101.3K94.4K91.8K
Net DEX-1.0M-1.6M-446.3K-1.4M-853.4K
Net VEX-5.6K-6.4K-4.0K-6.3K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.310.0041.000.000.00
Total Volume12.9130441328
Total OI910810971901908

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$37.72$34.0013.1%3.8%17.0%10.7%0.0%0.5%6.6%94.4K-1.4M-6.3K0.0061.40N/AN/A13081784
2011-03-02$37.90$34.0012.5%3.6%14.8%9.0%0.0%3.2%7.7%90.6K-1.4M-6.3K1.0023.53N/AN/A3383084
2011-03-03$38.43$34.0010.9%3.1%15.6%4.8%0.0%4.8%9.1%93.2K-1.6M-6.4K0.006.39N/AN/A0083387
2011-03-04$38.06$39.0012.7%5.6%16.0%9.7%16.3%6.8%1.4%91.2K-1.5M-6.2K0.7544.57N/AN/A12983387
2011-03-07$37.65$41.0015.2%5.9%16.5%16.4%0.0%6.9%0.8%87.0K-1.4M-6.2K0.0060.42N/AN/A0084496
2011-03-08$37.78$41.0014.8%5.6%16.5%15.4%0.0%6.7%1.8%89.6K-1.4M-6.1K0.0057.09N/AN/A0084496
2011-03-09$37.74$41.0016.1%5.6%16.4%18.9%0.0%6.3%1.9%88.9K-1.4M-6.1K0.0055.49N/AN/A0084496
2011-03-10$36.83$41.0022.3%6.4%18.5%35.7%0.0%6.0%0.9%85.4K-1.1M-5.7K0.0050.69N/AN/A0084496
2011-03-11$36.88$41.0020.7%5.9%18.4%31.3%22.8%6.5%1.5%84.2K-1.1M-5.6K0.0047.88N/AN/A0484496
2011-03-14$36.21$41.0023.9%6.8%19.3%39.9%26.8%8.6%0.2%85.5K-924.8K-4.9K0.3551.74N/AN/A207844100
2011-03-15$35.41$41.0026.7%7.6%20.6%47.5%0.0%7.9%-1.4%95.4K-736.4K-4.6K0.1745.85N/AN/A244858104
2011-03-16$34.34$41.0032.5%9.3%22.7%63.4%0.0%9.1%-3.4%79.2K-446.3K-4.0K0.0041.85N/AN/A100849107
2011-03-17$35.45$41.0026.9%7.7%25.6%48.2%0.0%8.9%-0.3%101.3K-755.8K-4.5K0.0049.47N/AN/A70859107
2011-03-18$36.01$41.0023.7%6.8%26.3%39.5%11.7%8.5%0.3%72.7K-916.1K-4.7K2.6051.06N/AN/A513864107
2011-03-21$36.91$41.0019.3%5.5%28.1%27.5%0.0%8.0%2.1%79.8K-739.3K-5.3K0.0050.92N/AN/A44074268
2011-03-22$36.81$41.0019.6%5.6%26.2%28.4%0.0%7.5%0.5%80.7K-707.5K-5.4K0.0050.15N/AN/A30076568
2011-03-23$36.80$41.0019.8%5.7%26.2%28.7%0.0%6.6%0.9%83.8K-767.2K-5.7K0.0026.07N/AN/A3078768
2011-03-24$37.31$41.0019.5%5.6%26.7%28.1%0.0%8.9%0.1%90.3K-885.0K-5.9K0.0033.91N/AN/A0079068
2011-03-25$36.85$41.0019.3%5.5%26.5%27.5%0.0%6.3%0.7%85.4K-807.3K-5.7K0.0023.02N/AN/A0479068
2011-03-28$36.86$41.0018.9%5.4%26.2%26.3%0.0%11.0%0.7%86.8K-779.4K-5.6K41.0030.47N/AN/A14179072
2011-03-29$37.08$41.0018.2%5.2%25.9%24.5%0.0%5.0%1.6%84.2K-753.3K-5.7K0.0026.98N/AN/A00791105
2011-03-30$37.49$41.0017.6%5.0%26.2%22.8%0.0%1.5%1.7%93.0K-904.3K-6.0K0.5033.55N/AN/A84791105
2011-03-31$37.31$41.0017.9%5.1%25.6%23.6%0.0%5.9%1.7%91.8K-853.4K-5.9K0.0090.71N/AN/A280799109