VEA Options History — July 2011

In July 2011, VEA traded between $36.28 and $38.48. ATM implied volatility averaged 21.6%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.9% (HV 20d: 22.6%). Max pain ranged from $34.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2011-07-27: Highest Volume — 65 contracts
  • 2011-07-11: Largest IV spike — 62.9% change
  • 2011-07-29: Highest IV Rank — 79.8%
  • 2011-07-29: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.45$36.28$38.48$38.48$37.17
Max Pain$37.75$34.00$39.00$34.00$37.00
ATM IV21.6%15.4%27.8%15.4%27.8%
Expected Move6.3%4.4%8.0%4.4%8.0%
HV 20d22.6%20.9%24.4%24.1%21.5%
HV 60d20.9%20.0%21.7%20.0%21.6%
IV Rank53.3%25.8%79.8%25.8%79.8%
IV Percentile60.9%13.1%94.4%13.1%94.4%
Term Structure0.7%-1.7%3.9%3.9%-1.7%
VWIV20.2%12.7%27.6%12.7%25.5%
Skew 25d7.4%5.1%10.5%5.1%9.0%
Skew 10d17.1%7.4%23.3%7.4%23.3%
Call IV 25d18.7%11.9%23.4%11.9%23.4%
Put IV 25d26.1%17.0%32.4%17.0%32.4%
Bid-Ask Spread %36.4717.9649.1117.9629.81
Gamma HHI0.210.150.350.250.20
Net GEX201.9K61.2K347.4K343.3K92.7K
Net DEX-1.1M-2.8M40.3K-2.8M-303.9K
Net VEX-11.8K-13.2K-10.7K-12.9K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.004.910.134.91
Total Volume22.1516593
Total OI2,704.952,3123,1402,9532,437

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$38.48$34.0015.4%4.4%24.1%25.8%12.7%5.1%3.9%343.3K-2.8M-12.9K0.1317.96N/AN/A812,158795
2011-07-05$38.22$39.0016.7%5.4%23.7%31.0%0.0%7.4%1.6%327.2K-2.4M-12.2K0.2446.71N/AN/A41102,161796
2011-07-06$38.03$39.0017.6%5.6%23.7%36.3%0.0%7.5%0.9%318.7K-2.3M-13.0K0.1146.75N/AN/A912,198806
2011-07-07$38.34$39.0017.3%5.4%23.3%35.1%14.9%6.5%1.2%345.0K-2.6M-13.2K0.0044.77N/AN/A602,206806
2011-07-08$37.85$39.0015.7%5.3%23.5%28.1%15.8%7.1%1.9%283.5K-2.1M-12.1K0.1049.11N/AN/A4042,212806
2011-07-11$36.72$39.0025.6%6.6%24.3%70.5%0.0%8.1%0.5%229.8K-1.1M-12.2K0.0045.06N/AN/A502,248810
2011-07-12$36.45$39.0026.3%7.2%24.4%73.5%0.0%6.3%-0.0%223.1K-926.7K-11.4K0.0039.35N/AN/A0202,245810
2011-07-13$37.01$39.0022.2%6.6%24.3%56.0%0.0%5.9%0.2%248.1K-1.5M-11.7K0.0341.49N/AN/A6022,245830
2011-07-14$36.71$39.0023.9%6.9%20.9%63.1%0.0%6.7%-0.0%265.6K-1.2M-11.7K0.0039.55N/AN/A3502,290832
2011-07-15$36.85$39.0023.1%6.6%20.9%59.8%23.2%7.6%0.9%347.4K-1.3M-11.8K0.5048.83N/AN/A24122,308832
2011-07-18$36.28$37.0025.3%7.2%21.4%68.9%20.8%8.1%0.0%61.2K40.3K-10.7K0.0032.41N/AN/A2401,592730
2011-07-19$36.85$37.0021.1%6.0%22.1%51.1%21.1%7.2%1.6%76.3K-113.9K-10.7K1.2532.44N/AN/A20251,582730
2011-07-20$37.30$37.0020.7%5.9%21.2%49.2%0.0%7.4%1.6%102.5K-340.9K-11.6K0.0025.09N/AN/A201,602755
2011-07-21$38.10$37.0020.1%5.8%22.0%46.7%20.1%7.1%0.8%145.4K-767.5K-12.0K0.0028.67N/AN/A1001,604755
2011-07-22$38.18$37.0019.5%5.6%21.6%44.2%0.0%6.6%1.2%151.0K-782.4K-11.8K0.0031.24N/AN/A501,613755
2011-07-25$37.92$37.0020.7%5.9%21.4%49.3%20.7%7.3%1.0%140.3K-700.8K-11.5K0.0026.89N/AN/A061,613755
2011-07-26$38.16$37.0021.9%6.3%21.4%54.7%0.0%10.5%0.5%147.2K-789.6K-11.7K0.0043.62N/AN/A011,613761
2011-07-27$37.23$37.0026.2%7.5%23.1%73.1%27.6%8.5%-1.0%102.2K-367.6K-11.3K4.9133.80N/AN/A11541,613762
2011-07-28$37.09$37.0025.6%7.3%22.2%70.2%25.5%7.6%-0.3%87.3K-230.8K-11.3K0.0025.92N/AN/A041,624809
2011-07-29$37.17$37.0027.8%8.0%21.5%79.8%0.0%9.0%-1.7%92.7K-303.9K-11.5K0.0029.81N/AN/A031,624813