VEA Options History — May 2011

In May 2011, VEA traded between $36.70 and $39.63. ATM implied volatility averaged 18.8%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.7% (HV 20d: 17.0%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.60.

Notable Days

  • 2011-05-04: Highest Volume — 1,378 contracts
  • 2011-05-09: Largest IV drop — 21.1% change
  • 2011-05-23: Highest IV Rank — 40.5%
  • 2011-05-06: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.07$36.70$39.63$39.63$38.55
Max Pain$36.19$35.00$38.00$37.00$37.00
ATM IV18.8%13.5%22.5%15.3%13.5%
Expected Move5.5%3.9%6.4%4.4%3.9%
HV 20d17.0%14.6%19.1%14.6%19.0%
HV 60d19.9%19.2%20.4%19.2%20.2%
IV Rank27.7%14.4%40.5%16.8%14.4%
IV Percentile35.9%5.2%61.5%11.5%5.2%
Term Structure1.4%-0.2%3.4%1.2%1.7%
VWIV18.9%12.8%23.3%17.2%16.1%
Skew 25d5.4%2.0%7.5%2.0%6.0%
Skew 10d9.8%2.2%15.3%3.5%7.6%
Call IV 25d16.9%11.1%19.7%15.0%11.9%
Put IV 25d22.3%16.8%26.6%17.0%18.0%
Bid-Ask Spread %40.1117.9397.1119.5528.38
Gamma HHI0.200.170.280.280.23
Net GEX171.7K114.1K269.2K156.1K269.2K
Net DEX-1.1M-2.2M-177.4K-2.2M-1.2M
Net VEX-13.4K-17.0K-6.6K-6.6K-12.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.0024.000.000.00
Total Volume77.57101,3781524
Total OI2,286.0481,1192,5431,1192,388

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$39.63$37.0015.3%4.4%14.6%16.8%17.2%2.0%1.2%156.1K-2.2M-6.6K0.0019.55N/AN/A150976143
2011-05-03$39.31$37.0017.7%5.1%15.1%23.1%16.7%4.3%1.0%159.1K-2.0M-6.7K1.0019.46N/AN/A2626984143
2011-05-04$38.97$38.0018.9%5.4%15.5%26.6%12.8%4.0%-0.2%151.5K-1.8M-6.8K0.9917.93N/AN/A6916871,002169
2011-05-05$38.23$38.0020.2%5.8%16.9%29.9%0.0%5.6%1.3%169.4K-1.3M-17.0K1.0018.00N/AN/A441,663846
2011-05-06$38.26$36.0022.5%6.4%16.8%36.1%22.7%7.4%0.4%166.8K-1.3M-17.0K0.0052.42N/AN/A1301,667847
2011-05-09$38.51$35.0017.7%5.8%16.8%23.2%0.0%6.4%1.8%177.7K-1.5M-16.4K0.0049.37N/AN/A001,676847
2011-05-10$38.88$35.0016.9%5.3%17.0%21.0%0.0%5.9%3.1%203.2K-1.8M-16.7K0.0044.57N/AN/A301,676847
2011-05-11$38.14$35.0019.8%6.1%18.2%28.7%23.3%6.6%0.3%171.7K-1.2M-16.0K0.0046.69N/AN/A031,679847
2011-05-12$38.26$36.0021.3%6.1%18.2%32.9%0.0%6.3%1.2%180.9K-1.3M-15.6K0.0046.31N/AN/A1201,679850
2011-05-13$37.64$36.0020.8%6.0%19.1%31.7%22.6%7.0%1.4%155.5K-799.8K-15.1K1.2949.18N/AN/A791,679850
2011-05-16$37.59$36.0021.4%6.1%19.1%33.3%19.8%5.7%1.0%153.9K-755.9K-14.8K1.0047.51N/AN/A111,677857
2011-05-17$37.67$36.0020.3%5.8%17.5%30.3%0.0%7.5%2.2%166.2K-717.4K-14.7K0.0045.79N/AN/A011,676858
2011-05-18$37.92$36.0018.6%5.3%17.5%25.8%0.0%5.4%2.9%192.8K-922.1K-14.6K3.0043.03N/AN/A261,676859
2011-05-19$38.15$36.0018.0%5.2%14.9%24.0%0.0%5.4%3.4%214.6K-1.0M-14.3K0.0045.48N/AN/A051,678865
2011-05-20$37.57$36.0018.4%5.3%15.6%30.5%0.0%4.4%2.6%174.2K-605.2K-13.9K24.0046.34N/AN/A1241,678860
2011-05-23$36.70$36.0021.4%6.1%17.5%40.5%0.0%5.5%0.1%114.1K-177.4K-12.4K5.0028.71N/AN/A2101,603763
2011-05-24$36.90$36.0019.7%5.6%17.3%34.8%0.0%4.7%0.8%122.4K-212.2K-12.3K1.5035.77N/AN/A231,603763
2011-05-25$37.18$36.0019.3%5.5%16.8%33.6%0.0%4.1%1.0%141.0K-344.8K-12.8K0.0028.04N/AN/A201,601766
2011-05-26$37.54$36.0016.1%4.6%17.1%22.9%19.0%4.4%0.5%170.6K-489.6K-12.3K2.7832.72N/AN/A9251,603766
2011-05-27$37.80$36.0016.0%4.6%17.4%22.6%16.1%5.7%1.4%195.0K-696.7K-12.9K0.0097.11N/AN/A0111,609788
2011-05-31$38.55$37.0013.5%3.9%19.0%14.4%0.0%6.0%1.7%269.2K-1.2M-12.8K0.0028.38N/AN/A2401,609779