VEA Options History — September 2011

In September 2011, VEA traded between $29.43 and $33.59. ATM implied volatility averaged 42.6%, placing in the 62.5% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 4.5% (HV 20d: 38.1%). Max pain ranged from $29.00 to $35.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2011-09-21: Highest Volume — 724 contracts
  • 2011-09-06: Largest IV spike — 53.7% change
  • 2011-09-06: Highest IV Rank — 91.7%
  • 2011-09-06: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.29$29.43$33.59$33.59$30.13
Max Pain$33.81$29.00$35.00$35.00$32.00
ATM IV42.6%34.1%58.3%34.1%45.7%
Expected Move12.0%9.6%15.0%9.8%13.1%
HV 20d38.1%32.4%55.6%55.4%36.7%
HV 60d40.9%39.6%42.6%39.6%42.6%
IV Rank62.5%46.5%91.7%46.5%68.3%
IV Percentile95.5%91.3%99.2%93.7%96.8%
Term Structure-3.4%-17.2%2.6%-1.5%2.6%
VWIV43.3%23.0%58.4%39.5%45.5%
Skew 25d17.1%12.3%35.4%12.7%19.4%
Skew 10d36.8%23.8%52.2%27.6%41.1%
Call IV 25d34.4%29.5%40.8%30.6%37.5%
Put IV 25d51.5%43.2%75.3%43.2%56.8%
Bid-Ask Spread %50.8727.37148.9642.1058.00
Gamma HHI0.270.170.410.240.17
Net GEX-28.0K-59.9K17.1K-22.7K-2.3K
Net DEX1.3M310.3K2.1M928.3K847.7K
Net VEX-8.7K-13.2K-6.2K-9.1K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.009.009.004.00
Total Volume113.71437241030
Total OI2,686.7141,5013,1212,9483,007

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$33.59$35.0034.1%9.8%55.4%46.5%39.5%12.7%-1.5%-22.7K928.3K-9.1K9.0042.10N/AN/A191,7941,154
2011-09-02$32.78$35.0037.9%10.9%55.6%53.7%42.5%13.7%-1.0%-33.7K1.2M-8.6K0.3841.45N/AN/A65251,7931,163
2011-09-06$31.73$35.0058.3%15.0%49.0%91.7%0.0%35.4%-16.3%-37.4K1.6M-8.2K0.00148.96N/AN/A301,7461,188
2011-09-07$32.68$35.0034.6%9.6%44.3%47.4%0.0%14.4%-1.9%-53.4K1.5M-7.6K0.0064.24N/AN/A0261,7431,188
2011-09-08$32.02$35.0037.9%10.8%39.1%53.7%0.0%15.2%-4.1%-57.5K1.6M-7.4K0.3168.28N/AN/A35111,7431,199
2011-09-09$30.95$35.0050.5%13.0%37.1%77.2%0.0%19.7%-6.4%-54.5K2.0M-6.9K1.2059.59N/AN/A10121,7591,203
2011-09-12$30.74$35.0049.7%12.8%36.5%75.7%0.0%15.5%-5.6%-59.9K2.1M-6.2K0.4642.73N/AN/A136621,7571,195
2011-09-13$31.07$35.0042.3%11.6%35.5%61.8%46.8%15.6%-4.1%-54.3K1.8M-7.2K0.0040.15N/AN/A0181,8811,181
2011-09-14$31.50$29.0040.8%11.7%35.7%59.0%23.0%15.0%-8.0%-54.0K1.6M-7.4K0.0035.55N/AN/A0831,8811,183
2011-09-15$32.19$35.0036.4%10.4%36.7%50.9%30.9%13.1%-17.2%-51.0K1.2M-8.5K0.1355.01N/AN/A6481,8811,223
2011-09-16$32.17$34.0036.6%10.5%32.6%51.3%44.8%12.3%-2.3%-24.3K1.2M-7.8K1.2548.36N/AN/A20251,9211,200
2011-09-19$31.32$34.0041.3%11.8%33.4%60.0%39.8%17.3%-1.9%-20.4K997.3K-7.2K1.2334.65N/AN/A1316762739
2011-09-20$31.42$34.0038.8%11.1%33.3%55.2%42.8%15.2%-2.2%-25.4K948.4K-7.8K0.0035.43N/AN/A0128775755
2011-09-21$30.52$34.0039.8%11.4%32.4%57.2%41.3%15.9%0.0%-32.2K1.4M-6.9K0.0851.38N/AN/A67252775883
2011-09-22$29.43$34.0049.9%14.3%34.4%76.1%58.4%21.1%1.3%-4.5K1.3M-9.0K0.0068.86N/AN/A01111,437935
2011-09-23$29.72$34.0045.9%13.2%34.1%68.6%55.8%14.5%-1.1%-8.0K1.2M-9.6K0.0027.37N/AN/A01741,4371,046
2011-09-26$30.38$34.0045.3%13.0%34.8%67.5%46.4%18.2%-1.5%-11.1K1.1M-10.3K1.4740.72N/AN/A30441,4371,166
2011-09-27$31.06$33.0041.6%11.9%34.6%60.6%40.9%15.9%-1.8%-578770.2K-11.2K0.2335.21N/AN/A158361,4671,178
2011-09-28$30.59$32.0044.5%12.8%34.8%65.9%47.9%18.5%-1.3%2.6K849.9K-11.1K0.1432.40N/AN/A174241,5621,169
2011-09-29$31.20$31.0043.3%12.4%35.1%63.6%45.7%20.4%2.5%17.1K310.3K-13.2K4.3837.87N/AN/A21921,7221,193
2011-09-30$30.13$32.0045.7%13.1%36.7%68.3%45.5%19.4%2.6%-2.3K847.7K-12.4K4.0058.00N/AN/A6241,7371,270