VEA Options History — December 2011

In December 2011, VEA traded between $29.99 and $32.58. ATM implied volatility averaged 31.0%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 3.7% (HV 20d: 34.7%). Max pain ranged from $30.00 to $37.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 22.47.

Notable Days

  • 2011-12-16: Highest Volume — 2,204 contracts
  • 2011-12-21: Largest IV spike — 48.5% change
  • 2011-12-07: Highest IV Rank — 65.7%
  • 2011-12-28: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.15$29.99$32.58$32.05$30.63
Max Pain$34.71$30.00$37.00$31.00$37.00
ATM IV31.0%18.2%44.4%29.9%22.7%
Expected Move8.8%5.2%12.4%8.6%6.5%
HV 20d34.7%28.5%38.5%38.5%28.5%
HV 60d36.4%35.4%37.3%37.3%35.4%
IV Rank40.8%16.9%65.7%38.6%25.2%
IV Percentile67.8%34.5%93.7%67.9%48.4%
Term Structure-0.0%-20.5%9.8%0.8%2.4%
VWIV29.9%23.8%40.2%31.9%28.2%
Skew 25d16.0%2.9%42.8%11.9%5.9%
Skew 10d24.9%4.7%37.8%21.5%4.7%
Call IV 25d23.7%18.4%29.2%22.6%20.5%
Put IV 25d39.6%21.2%66.9%34.5%26.4%
Bid-Ask Spread %68.7820.25153.4439.9726.82
Gamma HHI0.350.150.820.300.16
Net GEX179.7K-21.5K694.5K184.0K6.7K
Net DEX487.0K-2.7M3.5M-1.9M2.1M
Net VEX-8.0K-13.5K-2.4K-10.2K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.470.00267.501.380.00
Total Volume284.71402,2049553
Total OI3,880.1431,4894,9084,2103,710

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$32.05$31.0029.9%8.6%38.5%38.6%31.9%11.9%0.8%184.0K-1.9M-10.2K1.3839.97N/AN/A40553,1801,030
2011-12-02$32.16$31.0030.7%8.8%37.3%40.2%0.0%11.8%-0.0%188.9K-2.3M-10.2K0.00117.18N/AN/A103,2141,063
2011-12-05$32.50$30.0032.8%9.4%37.3%44.1%25.6%15.9%0.0%189.4K-2.3M-9.0K3.0044.09N/AN/A14423,2151,063
2011-12-06$32.37$34.0032.7%9.5%37.3%43.9%0.0%17.2%8.3%175.1K-2.1M-8.8K0.0046.18N/AN/A003,2161,096
2011-12-07$32.58$34.0044.4%8.6%37.0%65.7%40.2%19.5%8.0%177.7K-2.7M-10.3K0.0094.13N/AN/A0363,2161,096
2011-12-08$31.56$34.0035.5%10.0%33.7%49.2%0.0%16.2%0.3%208.1K-645.0K-7.5K0.0047.01N/AN/A003,2161,132
2011-12-09$32.25$34.0028.4%9.5%34.3%35.9%27.5%14.4%-14.4%111.5K-1.8M-7.2K0.0052.40N/AN/A903,2161,132
2011-12-12$31.32$33.0035.5%9.8%34.6%49.2%38.1%15.2%1.1%297.9K-108.4K-5.3K0.0047.51N/AN/A0193,2241,132
2011-12-13$30.93$33.0030.2%9.4%34.3%39.3%0.0%39.8%-3.5%468.8K745.0K-4.9K0.0067.57N/AN/A0103,2241,151
2011-12-14$30.55$33.0026.5%9.2%34.5%32.3%25.3%16.0%2.6%509.6K1.5M-4.1K0.2640.82N/AN/A89233,2241,151
2011-12-15$30.72$32.0029.2%8.4%34.0%37.4%30.5%15.4%6.5%694.5K1.3M-4.1K267.5047.23N/AN/A25353,3071,174
2011-12-16$30.59$37.0027.8%8.0%33.8%34.9%24.3%15.6%6.5%582.6K3.5M-3.3K0.6641.02N/AN/A1,3318733,3051,603
2011-12-19$30.31$37.0028.5%8.2%33.9%36.2%31.5%17.4%2.6%15.6K1.7M-2.4K5.8843.27N/AN/A51300764725
2011-12-20$31.33$37.0018.2%5.2%34.9%16.9%23.8%6.7%9.8%-21.0K1.7M-3.1K1.9052.54N/AN/A7371,3978051,006
2011-12-21$30.17$37.0027.1%7.8%37.5%33.4%32.2%9.3%1.6%-1.4K2.2M-10.2K11.0020.25N/AN/A3331,4912,014
2011-12-22$30.41$37.0026.0%7.5%36.1%31.4%28.2%7.5%1.5%3.5K2.1M-10.0K0.5120.85N/AN/A2121081,4902,047
2011-12-23$30.66$37.0031.7%9.1%36.1%42.0%0.0%9.0%1.4%4.8K1.7M-13.1K0.00153.44N/AN/A001,5602,155
2011-12-27$30.50$37.0043.1%12.4%33.1%63.4%0.0%42.8%-20.5%1.0K1.7M-13.5K0.00152.23N/AN/A001,5602,155
2011-12-28$29.99$37.0043.3%12.4%33.5%63.7%0.0%24.7%-19.2%-21.5K1.7M-11.3K0.00141.47N/AN/A201,5602,151
2011-12-29$30.51$37.0027.3%7.8%28.5%33.9%0.0%2.9%3.2%-1.7K2.1M-10.1K0.00148.39N/AN/A401,5592,151
2011-12-30$30.63$37.0022.7%6.5%28.5%25.2%0.0%5.9%2.4%6.7K2.1M-10.0K0.0026.82N/AN/A0531,5592,151