VEA Options History — June 2011

In June 2011, VEA traded between $36.08 and $38.08. ATM implied volatility averaged 22.7%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.2% (HV 20d: 22.5%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2011-06-16: Highest Volume — 331 contracts
  • 2011-06-29: Largest IV drop — 22.0% change
  • 2011-06-16: Highest IV Rank — 65.9%
  • 2011-06-16: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.04$36.08$38.08$37.66$38.08
Max Pain$35.68$34.00$37.00$37.00$34.00
ATM IV22.7%17.8%28.4%18.8%23.8%
Expected Move6.5%5.4%8.1%5.4%6.8%
HV 20d22.5%19.4%24.8%20.5%23.9%
HV 60d19.5%18.2%20.6%20.6%20.0%
IV Rank46.7%29.4%65.9%32.5%60.2%
IV Percentile66.2%31.0%94.0%37.7%78.2%
Term Structure2.0%-0.7%16.6%0.1%16.6%
VWIV22.8%14.5%33.0%20.6%24.2%
Skew 25d6.9%-4.3%12.3%6.7%-4.3%
Skew 10d14.7%5.4%24.4%15.6%11.7%
Call IV 25d19.9%16.8%29.6%17.0%29.6%
Put IV 25d26.8%22.3%34.5%23.7%25.4%
Bid-Ask Spread %59.7726.18148.2428.81146.75
Gamma HHI0.180.140.240.200.17
Net GEX137.0K19.4K232.3K185.7K227.3K
Net DEX-638.1K-2.8M549.9K-627.6K-2.8M
Net VEX-12.4K-15.6K-10.2K-12.5K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.008.118.110.38
Total Volume62.22703318222
Total OI2,5692,1462,9372,4122,937

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$37.66$37.0018.8%5.4%20.5%32.5%20.6%6.7%0.1%185.7K-627.6K-12.5K8.1128.81N/AN/A9731,633779
2011-06-02$37.89$37.0019.6%5.6%20.5%35.3%21.2%5.4%-0.7%187.7K-730.1K-12.8K0.1834.36N/AN/A2241,634838
2011-06-03$37.89$37.0017.8%5.6%19.4%29.4%0.0%6.0%1.9%198.5K-860.6K-13.2K0.6747.89N/AN/A1281,651841
2011-06-06$37.39$37.0021.8%6.2%19.9%42.7%0.0%5.8%1.0%143.1K-373.3K-12.2K0.0039.86N/AN/A001,652847
2011-06-07$37.69$37.0018.5%5.5%20.0%32.1%0.0%5.9%2.0%175.6K-596.9K-12.3K0.0039.00N/AN/A201,652847
2011-06-08$37.22$37.0021.0%6.1%20.0%40.5%19.3%6.3%1.6%125.2K-209.4K-11.4K0.0043.74N/AN/A801,650847
2011-06-09$37.64$37.0018.9%5.4%19.5%33.5%0.0%5.7%2.1%156.2K-444.9K-11.8K0.0042.66N/AN/A001,654847
2011-06-10$36.70$37.0021.2%6.1%21.3%41.3%0.0%6.5%1.8%71.0K162.3K-10.8K0.0047.22N/AN/A001,654847
2011-06-13$36.80$37.0021.4%6.1%20.6%41.8%0.0%6.0%1.2%73.9K86.3K-11.0K0.8943.46N/AN/A981,654847
2011-06-14$37.44$37.0021.7%6.2%21.6%42.8%0.0%6.0%2.2%115.5K-262.9K-11.1K0.0057.80N/AN/A101,646845
2011-06-15$36.16$37.0025.3%7.2%24.8%55.1%0.0%7.3%0.3%28.1K480.6K-10.3K1.5039.56N/AN/A8121,647845
2011-06-16$36.08$37.0028.4%8.1%24.6%65.9%28.2%10.5%0.3%19.4K549.9K-10.2K0.3154.96N/AN/A253781,648845
2011-06-17$36.44$35.0027.0%7.7%24.8%60.9%33.0%8.9%0.2%75.8K-124.5K-11.7K0.0340.87N/AN/A3411,886850
2011-06-20$36.42$34.0025.9%7.4%24.4%57.2%21.8%8.7%-0.7%76.4K-267.9K-11.2K0.0051.65N/AN/A13701,387759
2011-06-21$37.21$34.0021.2%6.1%24.2%41.2%22.1%7.9%1.2%109.9K-846.4K-12.6K0.0030.95N/AN/A21201,523759
2011-06-22$36.80$34.0021.8%6.2%24.5%43.1%14.5%7.4%1.6%145.0K-1.1M-13.1K0.1126.18N/AN/A268301,732759
2011-06-23$36.44$34.0024.1%6.9%24.6%51.0%24.2%7.5%0.5%162.3K-752.9K-13.0K0.6036.24N/AN/A1061,992789
2011-06-24$36.11$34.0024.7%7.1%24.4%53.1%0.0%7.3%0.7%149.6K-620.0K-13.3K0.0058.15N/AN/A002,001795
2011-06-27$36.42$34.0025.7%7.4%24.5%56.6%0.0%12.3%0.6%173.7K-865.7K-13.6K0.00108.73N/AN/A502,001795
2011-06-28$36.86$34.0028.2%8.1%23.7%65.4%0.0%8.1%1.5%181.7K-1.6M-15.0K0.00147.79N/AN/A10302,005795
2011-06-29$37.51$34.0022.0%6.3%23.3%46.4%0.0%9.1%8.6%232.3K-2.3M-15.6K0.00148.24N/AN/A3402,108795
2011-06-30$38.08$34.0023.8%6.8%23.9%60.2%0.0%-4.3%16.6%227.3K-2.8M-15.0K0.38146.75N/AN/A1662,142795