VEA Options History — October 2011

In October 2011, VEA traded between $29.36 and $35.17. ATM implied volatility averaged 34.4%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 0.1% (HV 20d: 34.5%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.51.

Notable Days

  • 2011-10-24: Highest Volume — 1,199 contracts
  • 2011-10-31: Largest IV spike — 53.2% change
  • 2011-10-03: Highest IV Rank — 82.6%
  • 2011-10-03: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.31$29.36$35.17$29.36$33.07
Max Pain$33.00$31.00$34.00$32.00$33.00
ATM IV34.4%24.3%53.4%53.4%37.3%
Expected Move10.1%7.0%15.3%15.3%10.7%
HV 20d34.5%31.1%37.3%36.8%37.3%
HV 60d43.7%42.7%45.4%42.8%44.0%
IV Rank47.1%28.3%82.6%82.6%52.5%
IV Percentile82.7%64.7%98.8%98.8%85.7%
Term Structure2.0%-1.8%11.0%-0.8%-0.5%
VWIV32.6%20.0%47.6%47.6%39.8%
Skew 25d15.2%10.8%29.2%15.7%11.3%
Skew 10d31.2%11.7%39.4%30.8%29.8%
Call IV 25d28.0%17.3%43.9%43.9%28.9%
Put IV 25d43.2%30.3%59.6%59.6%40.2%
Bid-Ask Spread %62.5939.87137.7949.0966.23
Gamma HHI0.230.160.320.170.31
Net GEX95.4K-12.1K272.9K-12.1K253.3K
Net DEX-860.6K-5.4M1.3M1.3M-2.4M
Net VEX-13.3K-16.8K-10.8K-10.8K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.510.0020.000.586.40
Total Volume132.66701,1997674
Total OI3,451.5242,7084,0973,0174,097

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$29.36$32.0053.4%15.3%36.8%82.6%47.6%15.7%-0.8%-12.1K1.3M-10.8K0.5849.09N/AN/A48281,7421,275
2011-10-04$29.87$32.0038.8%11.1%36.1%55.3%40.6%16.0%11.0%-11.7K889.3K-11.7K0.2369.61N/AN/A183421,7721,266
2011-10-05$30.35$31.0041.6%11.9%34.8%60.5%40.8%13.1%10.5%-2.0K863.6K-11.5K0.1249.90N/AN/A133161,8211,294
2011-10-06$31.16$31.0037.4%10.7%35.8%52.8%37.2%11.8%3.8%20.2K333.2K-12.6K0.0049.15N/AN/A501,9311,294
2011-10-07$30.96$31.0038.7%13.4%33.7%55.1%0.0%29.2%3.7%21.6K114.6K-13.2K0.00137.79N/AN/A001,9361,294
2011-10-10$32.14$31.0036.5%10.6%36.1%51.0%21.9%15.5%-1.8%43.5K-175.3K-12.9K0.3853.88N/AN/A112431,9361,294
2011-10-11$32.01$34.0031.6%10.1%36.0%41.8%0.0%17.9%-1.0%55.2K-162.8K-12.7K0.0065.84N/AN/A072,0021,336
2011-10-12$32.59$34.0027.4%9.1%36.3%34.1%29.3%14.5%0.6%71.8K-545.2K-13.0K2.0370.63N/AN/A35712,0021,341
2011-10-13$32.56$34.0030.8%8.8%35.5%40.3%0.0%14.5%0.6%71.4K-500.0K-13.0K0.0063.91N/AN/A0262,0371,370
2011-10-14$32.95$34.0030.7%8.8%35.7%40.3%0.0%14.3%0.0%77.9K-707.5K-13.2K20.0072.42N/AN/A1202,0231,375
2011-10-17$32.19$34.0036.0%10.3%35.4%50.0%0.0%16.0%-0.9%57.7K-172.7K-12.6K0.0069.99N/AN/A03152,0241,395
2011-10-18$32.58$34.0031.4%9.0%35.6%41.5%32.6%15.1%1.6%49.8K-282.3K-12.5K0.2582.91N/AN/A40102,0241,433
2011-10-19$32.08$34.0036.9%10.6%34.3%51.8%24.6%16.3%-0.7%31.8K79.9K-12.1K1.7051.57N/AN/A10172,0601,443
2011-10-20$32.10$34.0036.4%10.4%31.1%50.9%0.0%15.6%-0.5%18.7K58.3K-11.8K0.0055.56N/AN/A0202,0631,454
2011-10-21$32.93$34.0032.3%9.2%32.0%43.1%20.0%13.3%1.7%112.8K-807.9K-12.6K1.2052.59N/AN/A25302,0631,461
2011-10-24$33.42$34.0030.4%8.7%31.6%39.7%30.3%14.8%2.3%82.2K-714.1K-12.8K0.0069.96N/AN/A1,19901,816892
2011-10-25$32.89$33.0033.0%9.5%31.7%44.5%31.8%15.5%0.1%254.6K-2.2M-16.2K1.6240.50N/AN/A37603,015892
2011-10-26$33.33$33.0032.2%9.2%31.1%43.0%31.8%15.2%9.1%266.8K-2.7M-16.8K3.3353.96N/AN/A6203,050952
2011-10-27$35.17$33.0025.5%7.3%35.4%30.5%29.2%13.1%0.8%272.9K-5.4M-15.8K0.3439.87N/AN/A41143,056952
2011-10-28$34.88$33.0024.3%7.0%32.5%28.3%30.9%10.8%1.8%266.7K-4.8M-16.2K1.9748.96N/AN/A33653,033966
2011-10-31$33.07$33.0037.3%10.7%37.3%52.5%39.8%11.3%-0.5%253.3K-2.4M-16.1K6.4066.23N/AN/A10643,0661,031