VEA Options History — February 2012

In February 2012, VEA traded between $32.84 and $34.35. ATM implied volatility averaged 20.2%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 6.3% (HV 20d: 13.9%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2012-02-27: Highest Volume — 108 contracts
  • 2012-02-10: Largest IV spike — 21.7% change
  • 2012-02-10: Highest IV Rank — 29.1%
  • 2012-02-10: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.57$32.84$34.35$32.84$33.93
Max Pain$33.00$33.00$33.00$33.00$33.00
ATM IV20.2%17.6%24.8%18.8%18.3%
Expected Move5.9%5.0%7.1%5.4%5.2%
HV 20d13.9%12.5%15.4%15.4%14.2%
HV 60d25.5%20.8%28.8%28.8%20.9%
IV Rank19.7%12.9%29.1%18.0%14.2%
IV Percentile29.7%14.7%48.4%25.8%18.7%
Term Structure2.1%0.5%4.6%2.1%4.6%
VWIV20.3%16.3%22.7%21.3%22.0%
Skew 25d7.4%5.7%9.6%9.4%6.8%
Skew 10d12.5%4.6%19.4%5.5%9.8%
Call IV 25d16.8%11.1%19.9%11.1%15.9%
Put IV 25d24.2%20.5%29.4%20.5%22.7%
Bid-Ask Spread %27.4713.4743.4422.0343.44
Gamma HHI0.390.300.470.440.32
Net GEX322.4K261.8K474.5K265.3K302.7K
Net DEX-2.2M-3.0M-1.2M-1.3M-2.5M
Net VEX-6.7K-7.7K-5.5K-7.6K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.003.463.460.63
Total Volume40.901085887
Total OI3,067.552,5533,3443,1932,755

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$32.84$33.0018.8%5.4%15.4%18.0%21.3%9.4%2.1%265.3K-1.3M-7.6K3.4622.03N/AN/A13451,7731,420
2012-02-02$32.91$33.0018.1%5.2%15.2%16.7%0.0%9.3%2.7%261.8K-1.2M-7.7K0.0018.14N/AN/A4801,7731,465
2012-02-03$33.38$33.0018.1%5.9%14.3%16.7%0.0%6.4%2.1%299.1K-1.9M-7.7K0.1932.83N/AN/A3261,8211,465
2012-02-06$33.23$33.0019.4%6.0%13.4%19.0%17.4%6.9%1.9%304.9K-1.7M-7.5K1.4630.47N/AN/A13191,8531,459
2012-02-07$33.46$33.0020.7%6.5%13.4%21.5%0.0%7.4%1.1%307.1K-2.2M-7.6K0.0035.61N/AN/A301,8571,404
2012-02-08$33.59$33.0018.5%5.8%12.7%17.5%18.9%6.2%2.2%316.0K-2.4M-7.4K0.0033.61N/AN/A2001,8601,404
2012-02-09$33.65$33.0020.3%5.8%12.5%20.9%0.0%7.2%1.9%333.4K-2.5M-7.1K0.0033.80N/AN/A2801,8521,404
2012-02-10$33.03$33.0024.8%7.1%14.9%29.1%21.2%8.5%0.5%278.9K-1.6M-7.1K0.2135.69N/AN/A4291,8551,404
2012-02-13$33.41$33.0023.1%6.6%14.3%26.1%0.0%6.9%1.4%367.9K-2.2M-6.8K0.0029.04N/AN/A1601,8901,410
2012-02-14$33.18$33.0023.9%6.9%14.7%27.5%0.0%8.4%1.5%343.0K-1.9M-6.7K0.0032.46N/AN/A801,9031,410
2012-02-15$33.21$33.0024.6%7.0%13.7%28.8%0.0%9.6%1.4%353.2K-1.9M-6.6K0.2233.34N/AN/A3271,9111,410
2012-02-16$33.65$33.0021.6%6.2%13.8%23.2%21.3%6.2%2.7%424.1K-2.6M-6.6K0.0026.17N/AN/A601,9431,395
2012-02-17$33.79$33.0019.8%5.7%13.8%19.8%19.6%5.7%3.9%474.5K-2.8M-6.4K0.0023.36N/AN/A10301,9491,395
2012-02-21$33.81$33.0019.6%5.6%13.8%19.5%16.3%7.0%1.9%284.7K-2.4M-6.0K0.0016.83N/AN/A5001,600953
2012-02-22$33.73$33.0018.5%5.3%13.6%14.6%20.8%6.2%1.9%305.6K-2.4M-5.8K2.9520.59N/AN/A22651,640933
2012-02-23$34.00$33.0017.6%5.0%13.5%12.9%22.1%8.7%2.4%307.8K-2.6M-6.0K1.5616.74N/AN/A9141,662998
2012-02-24$34.23$33.0019.6%5.6%13.6%16.8%0.0%7.1%3.1%299.4K-2.9M-6.1K0.0033.22N/AN/A001,6711,012
2012-02-27$34.01$33.0018.5%5.3%14.0%14.7%20.2%6.6%1.5%315.6K-2.7M-5.5K1.5718.56N/AN/A42661,6711,012
2012-02-28$34.35$33.0019.4%5.5%13.2%16.3%22.7%6.9%1.3%302.8K-3.0M-5.6K0.6313.47N/AN/A851,6811,078
2012-02-29$33.93$33.0018.3%5.2%14.2%14.2%22.0%6.8%4.6%302.7K-2.5M-5.8K0.0043.44N/AN/A0871,6721,083