VEA Options History — August 2011

In August 2011, VEA traded between $31.43 and $36.74. ATM implied volatility averaged 38.9%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 12.0% (HV 20d: 50.9%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 2.74.

Notable Days

  • 2011-08-11: Highest Volume — 178 contracts
  • 2011-08-08: Largest IV spike — 66.5% change
  • 2011-08-04: Highest IV Rank — 100.0%
  • 2011-08-08: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.44$31.43$36.74$36.74$33.98
Max Pain$36.43$35.00$38.00$37.00$35.00
ATM IV38.9%25.3%62.7%26.6%34.5%
Expected Move10.8%7.2%14.5%7.6%9.9%
HV 20d50.9%21.3%61.5%21.3%61.3%
HV 60d34.7%21.4%39.6%21.4%39.6%
IV Rank65.1%38.7%100.0%74.5%47.3%
IV Percentile97.0%86.1%100.0%91.3%94.0%
Term Structure-4.2%-12.1%-0.4%-0.9%-2.9%
VWIV36.4%22.0%52.5%29.0%34.9%
Skew 25d14.6%5.8%18.8%9.4%12.5%
Skew 10d30.0%14.3%45.7%27.3%27.7%
Call IV 25d31.9%23.0%40.2%23.2%28.2%
Put IV 25d46.5%30.5%59.0%32.6%40.7%
Bid-Ask Spread %32.3319.8246.6235.7141.72
Gamma HHI0.250.200.340.200.22
Net GEX-18.8K-39.0K59.3K59.3K-22.1K
Net DEX1.2M66.5K1.8M66.5K831.3K
Net VEX-8.7K-10.6K-7.4K-10.6K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.740.0015.502.234.91
Total Volume62.04301782365
Total OI2,705.9572,4402,9352,4402,935

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$36.74$37.0026.6%7.6%21.3%74.5%29.0%9.4%-0.9%59.3K66.5K-10.6K0.0035.71N/AN/A0231,624816
2011-08-02$35.78$37.0028.6%8.2%22.9%83.1%32.6%5.8%-1.3%32.0K350.0K-10.1K0.0019.82N/AN/A091,624819
2011-08-03$35.98$37.0025.3%7.2%23.1%69.0%22.1%7.6%-0.4%15.3K463.2K-9.4K2.2324.08N/AN/A35781,624820
2011-08-04$33.41$37.0037.8%10.8%33.9%100.0%34.1%8.3%-3.0%-19.0K1.2M-8.4K11.7837.95N/AN/A91061,643874
2011-08-05$34.04$38.0037.7%10.1%35.0%99.7%36.9%12.2%-3.1%-23.0K1.2M-9.4K1.5846.62N/AN/A43681,635972
2011-08-08$31.43$38.0062.7%14.5%43.1%100.0%32.6%18.5%-12.1%-23.5K1.6M-8.0K1.7136.29N/AN/A7121,662987
2011-08-09$33.52$38.0042.0%11.2%50.2%61.3%41.8%13.4%-5.9%-24.7K1.3M-9.1K0.3338.60N/AN/A60201,655998
2011-08-10$31.54$37.0058.4%14.0%53.4%92.0%52.5%18.8%-8.3%-22.1K1.6M-8.2K15.5034.90N/AN/A4621,7021,018
2011-08-11$33.02$37.0040.9%11.7%56.8%59.2%40.8%17.3%-6.6%-28.5K1.4M-8.6K0.3835.33N/AN/A129491,7001,046
2011-08-12$33.52$36.0037.2%10.7%57.1%52.3%34.3%15.7%-6.0%-24.4K1.3M-9.0K0.0028.03N/AN/A1701,7481,095
2011-08-15$34.31$36.0033.8%9.7%57.8%45.9%26.0%16.9%-3.0%-27.3K1.2M-8.8K0.0029.14N/AN/A401,7571,095
2011-08-16$33.70$36.0033.6%9.6%57.6%45.6%0.0%15.2%-3.3%-31.3K1.3M-8.7K0.0032.02N/AN/A001,7591,094
2011-08-17$33.92$36.0031.9%9.2%57.4%42.5%0.0%13.0%-2.3%-38.5K1.2M-8.6K0.0030.94N/AN/A0201,7591,094
2011-08-18$32.34$36.0042.3%12.1%58.5%61.9%22.0%15.8%-6.8%-28.5K1.8M-7.8K0.0040.61N/AN/A701,7591,104
2011-08-19$31.80$36.0042.8%12.3%58.5%62.8%0.0%17.9%-7.0%-12.8K1.8M-7.4K0.5124.80N/AN/A93471,7641,104
2011-08-22$32.04$36.0044.7%12.8%58.7%66.4%50.7%17.9%-4.7%-30.1K1.4M-7.6K2.0023.08N/AN/A26521,549980
2011-08-23$33.06$36.0038.4%11.0%60.2%54.6%46.0%15.8%-2.4%-30.7K1.2M-8.1K0.0022.64N/AN/A6401,5751,032
2011-08-24$33.05$36.0041.0%11.8%59.9%59.5%32.0%17.9%-5.3%-27.2K1.2M-8.1K0.0027.18N/AN/A2101,6161,032
2011-08-25$32.29$36.0046.5%13.3%60.2%69.6%49.4%18.6%-5.3%-28.2K1.3M-7.9K0.6723.74N/AN/A57381,6181,032
2011-08-26$32.75$36.0040.6%11.6%60.6%58.7%40.2%17.6%-3.5%-30.9K1.3M-8.5K1.2229.43N/AN/A46561,6751,070
2011-08-29$33.55$36.0029.9%8.6%61.5%38.7%33.3%14.2%-0.8%-39.0K1.2M-8.6K0.2342.89N/AN/A73171,7211,126
2011-08-30$33.41$35.0037.4%10.7%61.0%52.7%37.1%15.8%-2.9%-26.9K1.0M-9.2K9.0038.09N/AN/A191,7821,143
2011-08-31$33.98$35.0034.5%9.9%61.3%47.3%34.9%12.5%-2.9%-22.1K831.3K-9.2K4.9141.72N/AN/A11541,7831,152