VEA Options History — November 2011

In November 2011, VEA traded between $29.38 and $33.29. ATM implied volatility averaged 39.4%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 0.9% (HV 20d: 40.3%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 9.45.

Notable Days

  • 2011-11-22: Highest Volume — 1,260 contracts
  • 2011-11-25: Largest IV spike — 50.5% change
  • 2011-11-25: Highest IV Rank — 95.2%
  • 2011-11-25: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.63$29.38$33.29$31.97$32.38
Max Pain$32.76$31.00$34.00$33.00$31.00
ATM IV39.4%31.2%60.1%42.3%31.2%
Expected Move11.2%8.9%17.2%12.1%8.9%
HV 20d40.3%35.4%42.9%39.6%38.6%
HV 60d37.0%35.9%41.4%41.4%37.7%
IV Rank56.5%41.1%95.2%61.9%41.1%
IV Percentile85.3%69.8%99.6%93.7%69.8%
Term Structure-4.2%-28.6%1.0%-4.3%-1.3%
VWIV32.7%18.5%40.1%38.9%37.8%
Skew 25d16.1%9.9%39.4%15.3%13.2%
Skew 10d31.7%18.3%45.7%27.3%20.6%
Call IV 25d32.3%24.1%64.6%35.1%24.1%
Put IV 25d48.4%37.2%104.0%50.4%37.2%
Bid-Ask Spread %47.8521.27137.4331.3334.33
Gamma HHI0.310.210.420.300.28
Net GEX173.1K-35.3K359.6K204.0K179.0K
Net DEX6.3K-2.3M2.0M-698.2K-2.2M
Net VEX-10.8K-15.8K-5.4K-14.3K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.450.00130.000.920.90
Total Volume183.71401,26014674
Total OI4,179.3812,7814,6994,1714,208

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$31.97$33.0042.3%12.1%39.6%61.9%38.9%15.3%-4.3%204.0K-698.2K-14.3K0.9231.33N/AN/A76703,0761,095
2011-11-02$32.37$33.0040.3%11.5%39.4%58.1%37.3%16.5%-2.7%227.7K-941.2K-14.8K0.0034.21N/AN/A01213,0611,158
2011-11-03$33.18$33.0035.6%10.2%39.3%49.4%35.5%12.7%-4.1%250.5K-2.2M-15.8K1.4436.83N/AN/A16233,0611,199
2011-11-04$32.73$33.0033.5%9.3%39.6%45.4%0.0%14.6%-0.4%259.5K-1.4M-14.9K0.0031.35N/AN/A093,0771,222
2011-11-07$32.88$33.0032.8%9.4%37.5%44.2%30.5%13.6%-0.3%268.6K-1.3M-14.0K0.22113.45N/AN/A1843,0771,231
2011-11-08$33.29$33.0033.4%9.3%37.6%45.2%28.4%15.4%-1.6%312.9K-2.3M-14.5K0.8230.34N/AN/A72593,0671,235
2011-11-09$31.57$34.0044.5%11.5%41.8%66.0%22.0%19.1%-5.0%192.7K433.3K-11.9K3.4422.76N/AN/A18623,1221,294
2011-11-10$31.99$34.0056.8%16.3%42.2%88.9%0.0%17.2%-28.6%237.2K-451.0K-13.6K0.00131.47N/AN/A003,1201,338
2011-11-11$32.77$34.0033.8%9.7%42.9%46.0%34.0%15.6%-2.2%359.6K-1.1M-13.1K0.0035.49N/AN/A203,1201,338
2011-11-14$32.17$34.0039.9%11.4%42.6%57.4%0.0%18.7%-2.1%299.2K466.1K-10.7K0.0072.84N/AN/A0103,1211,338
2011-11-15$32.06$33.0037.6%10.8%42.3%53.2%18.5%16.5%-2.0%295.0K579.6K-10.3K0.0032.05N/AN/A01013,1211,304
2011-11-16$31.42$33.0040.3%11.6%42.6%58.2%26.4%14.8%-3.9%25.1K1.6M-8.2K0.0527.58N/AN/A1,181543,1211,256
2011-11-17$31.11$33.0039.7%11.4%42.7%57.1%39.5%13.7%-1.4%-27.5K1.8M-7.6K0.3731.58N/AN/A141523,4631,236
2011-11-18$31.20$33.0037.4%10.7%41.5%52.8%27.6%14.0%-1.3%-35.3K2.0M-7.2K130.0031.46N/AN/A11303,0421,249
2011-11-21$30.44$34.0039.5%11.3%41.7%56.7%39.1%14.8%-1.6%-3.2K1.8M-5.4K2.6021.27N/AN/A35911,840941
2011-11-22$30.35$33.0038.3%11.0%41.5%54.3%33.9%14.1%-1.7%-15.4K1.9M-5.7K0.0026.30N/AN/A1,26001,8751,032
2011-11-23$29.49$31.0040.0%11.5%41.8%57.5%40.1%9.9%1.0%136.1K1.1M-7.7K0.8923.13N/AN/A55493,1351,032
2011-11-25$29.38$31.0060.1%17.2%35.4%95.2%0.0%39.4%-25.1%129.8K902.6K-8.5K0.00137.43N/AN/A003,1121,065
2011-11-28$30.61$31.0035.2%10.1%39.6%48.5%39.8%12.6%0.9%162.3K155.3K-8.7K0.0475.88N/AN/A5223,1121,065
2011-11-29$30.81$31.0035.9%10.3%35.8%49.8%26.6%15.8%-1.3%176.5K-1.4K-8.7K0.0023.73N/AN/A2003,1431,065
2011-11-30$32.38$31.0031.2%8.9%38.6%41.1%37.8%13.2%-1.3%179.0K-2.2M-10.4K0.9034.33N/AN/A39353,1431,065