VEA Options History — January 2012

In January 2012, VEA traded between $30.46 and $32.53. ATM implied volatility averaged 25.1%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 1.1% (HV 20d: 24.0%). Max pain ranged from $33.00 to $37.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2012-01-03: Highest Volume — 238 contracts
  • 2012-01-11: Largest IV spike — 59.2% change
  • 2012-01-12: Highest IV Rank — 65.7%
  • 2012-01-12: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.56$30.46$32.53$31.45$32.35
Max Pain$33.90$33.00$37.00$37.00$33.00
ATM IV25.1%18.6%44.4%25.1%21.3%
Expected Move7.6%5.3%12.7%7.2%6.1%
HV 20d24.0%17.0%30.3%30.2%17.1%
HV 60d33.4%29.1%35.4%35.4%29.1%
IV Rank29.7%17.5%65.7%29.8%22.7%
IV Percentile49.8%25.8%93.7%51.6%38.1%
Term Structure2.8%-9.7%28.8%0.7%1.9%
VWIV23.8%18.4%29.8%29.8%18.4%
Skew 25d10.8%6.6%18.2%12.2%10.2%
Skew 10d12.6%5.9%44.9%7.3%5.9%
Call IV 25d19.1%12.9%37.1%16.6%16.3%
Put IV 25d30.0%22.7%52.8%28.8%26.6%
Bid-Ask Spread %54.2717.64151.2134.4721.94
Gamma HHI0.280.160.500.180.43
Net GEX101.8K-23.4K454.3K51.5K210.2K
Net DEX651.9K-850.5K2.3M1.3M-661.6K
Net VEX-8.9K-11.9K-7.4K-10.2K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.003.130.723.13
Total Volume53.4023823833
Total OI3,620.92,7804,0463,7403,205

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$31.45$37.0025.1%7.2%30.2%29.8%29.8%12.2%0.7%51.5K1.3M-10.2K0.7234.47N/AN/A1381001,5592,181
2012-01-04$31.27$37.0024.4%7.0%30.0%28.4%20.0%12.4%1.7%54.8K1.5M-10.4K0.0017.64N/AN/A601,6972,205
2012-01-05$30.82$37.0022.9%6.6%30.3%25.7%27.4%7.0%1.9%3.0K1.9M-11.5K0.0039.61N/AN/A0371,6942,205
2012-01-06$30.46$35.0029.3%11.8%30.3%37.6%0.0%13.9%-5.4%-17.5K2.1M-9.7K0.0071.23N/AN/A0211,6942,227
2012-01-09$30.53$35.0021.2%6.8%28.4%22.5%0.0%8.2%1.8%-23.4K2.3M-8.5K0.0041.91N/AN/A301,6942,239
2012-01-10$31.03$35.0020.3%6.7%27.8%20.9%23.5%6.6%2.6%25.9K1.7M-8.6K0.4548.76N/AN/A75341,6972,239
2012-01-11$30.93$33.0032.4%11.7%25.9%43.3%0.0%18.2%16.0%-1.8K1.3M-11.9K0.00151.21N/AN/A0141,7642,273
2012-01-12$31.02$33.0044.4%12.7%25.6%65.7%0.0%15.7%-9.7%-8.8K1.3M-11.1K0.00148.74N/AN/A101,7642,282
2012-01-13$30.72$33.0032.0%9.2%25.4%42.6%0.0%17.8%-7.3%-18.0K1.7M-8.7K0.0068.22N/AN/A001,7642,282
2012-01-17$31.02$33.0024.9%7.1%25.6%29.3%0.0%8.2%2.4%3.7K1.5M-8.0K0.0047.41N/AN/A201,7642,282
2012-01-18$31.58$33.0022.3%6.4%26.2%24.5%25.6%9.0%1.0%157.8K879.2K-7.6K0.7545.82N/AN/A16121,7642,240
2012-01-19$31.95$33.0021.5%6.2%26.1%23.0%0.0%8.9%1.9%271.7K457.4K-7.8K0.0037.23N/AN/A801,7802,246
2012-01-20$32.10$33.0020.8%6.0%23.5%21.6%25.3%9.7%-0.9%454.3K102.9K-8.0K0.0050.56N/AN/A0441,7802,246
2012-01-23$32.26$33.0019.9%5.7%18.5%20.0%19.7%7.5%2.7%190.0K-594.8K-7.4K0.0023.61N/AN/A1801,5491,231
2012-01-24$32.10$33.0029.5%8.4%18.7%37.9%28.1%13.9%0.8%128.9K-691.9K-8.4K0.0063.95N/AN/A0831,5671,231
2012-01-25$32.42$33.0027.1%7.8%18.7%33.5%0.0%10.8%4.3%145.7K-717.9K-7.4K0.0047.16N/AN/A3601,5671,308
2012-01-26$32.50$33.0021.9%6.3%18.5%23.9%20.1%7.2%3.4%134.0K-850.5K-9.1K0.5544.32N/AN/A128701,6031,308
2012-01-27$32.53$33.0018.6%5.3%17.0%17.5%22.8%11.8%28.8%133.3K-792.6K-9.2K1.1237.04N/AN/A49551,7311,378
2012-01-30$32.15$33.0022.1%6.3%17.1%24.2%24.3%6.8%7.4%140.3K-603.5K-7.6K0.0044.63N/AN/A0851,7651,413
2012-01-31$32.35$33.0021.3%6.1%17.1%22.7%18.4%10.2%1.9%210.2K-661.6K-7.4K3.1321.94N/AN/A8251,7651,440