VEA Options History — March 2012

In March 2012, VEA traded between $32.70 and $34.59. ATM implied volatility averaged 19.2%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.5% (HV 20d: 18.7%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2012-03-16: Highest Volume — 1,522 contracts
  • 2012-03-30: Largest IV spike — 63.2% change
  • 2012-03-30: Highest IV Rank — 38.0%
  • 2012-03-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.92$32.70$34.59$34.29$34.03
Max Pain$31.36$30.00$33.00$33.00$33.00
ATM IV19.2%16.0%30.8%17.5%30.8%
Expected Move5.8%4.6%8.8%5.0%8.8%
HV 20d18.7%13.8%20.3%13.8%19.4%
HV 60d19.1%16.3%22.0%20.9%16.3%
IV Rank15.6%9.3%38.0%12.7%38.0%
IV Percentile23.0%6.7%65.5%13.1%65.5%
Term Structure1.6%-5.2%3.2%2.7%-1.4%
VWIV21.8%19.0%24.4%19.0%24.4%
Skew 25d6.6%-4.5%10.3%6.5%-4.5%
Skew 10d10.0%-0.6%19.1%4.7%3.7%
Call IV 25d16.4%13.4%23.8%15.1%23.8%
Put IV 25d23.0%19.3%27.4%21.6%19.3%
Bid-Ask Spread %36.3913.7876.7713.7857.20
Gamma HHI0.370.290.460.290.34
Net GEX262.5K133.7K391.9K303.3K148.8K
Net DEX-1.9M-3.8M-284.3K-2.9M-527.1K
Net VEX-6.1K-7.9K-3.5K-5.6K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.006.701.282.08
Total Volume117.59101,522890
Total OI2,483.5911,3973,2722,8221,939

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$34.29$33.0017.5%5.0%13.8%12.7%19.0%6.5%2.7%303.3K-2.9M-5.6K1.2813.78N/AN/A39501,6721,150
2012-03-02$33.95$33.0017.7%5.1%14.4%13.0%21.1%4.0%3.2%303.7K-2.4M-5.6K0.0114.86N/AN/A31131,7101,199
2012-03-05$33.76$30.0018.0%5.9%13.8%13.2%0.0%7.2%2.0%356.7K-2.5M-6.3K0.0031.71N/AN/A801,9861,202
2012-03-06$32.70$30.0022.9%6.7%18.0%22.8%0.0%6.6%1.1%273.7K-827.8K-5.4K6.7033.91N/AN/A10671,9781,202
2012-03-07$33.10$30.0021.7%6.7%18.4%20.4%0.0%7.8%1.0%307.5K-1.3M-5.7K0.0035.74N/AN/A301,9881,269
2012-03-08$33.81$30.0019.1%6.1%19.9%15.4%0.0%9.4%1.7%352.9K-2.6M-5.8K0.0043.39N/AN/A041,9911,269
2012-03-09$33.68$30.0017.2%5.9%19.9%11.6%0.0%10.3%1.9%360.4K-2.4M-5.5K0.0058.40N/AN/A021,9891,273
2012-03-12$33.61$30.0017.1%5.8%18.7%11.6%0.0%8.1%2.5%382.7K-2.3M-4.7K0.0045.70N/AN/A081,9891,275
2012-03-13$34.16$30.0017.0%5.6%19.1%11.2%0.0%9.7%2.6%285.8K-3.5M-3.7K1.0076.77N/AN/A221,9891,283
2012-03-14$33.85$30.0016.0%5.8%19.3%9.3%0.0%8.0%2.0%391.9K-2.9M-3.9K0.0037.53N/AN/A001,9611,283
2012-03-15$34.18$30.0019.9%5.7%19.5%16.8%0.0%9.6%2.6%290.4K-3.5M-3.5K0.0037.88N/AN/A1401,9611,283
2012-03-16$34.42$30.0018.7%5.4%19.2%14.7%0.0%5.4%3.0%277.8K-3.8M-3.6K0.0035.17N/AN/A1,52201,9751,283
2012-03-19$34.59$30.0016.2%4.6%19.2%9.8%0.0%5.8%1.9%216.4K-1.7M-7.7K0.0027.53N/AN/A001,32671
2012-03-20$34.17$30.0018.6%5.3%19.8%14.3%20.8%7.4%1.4%198.5K-1.4M-7.2K0.2423.58N/AN/A98241,32671
2012-03-21$33.97$33.0023.3%6.7%19.9%23.6%22.5%10.3%-5.2%209.2K-1.6M-7.9K0.0042.81N/AN/A0551,42495
2012-03-22$33.72$33.0018.5%5.3%19.8%14.2%22.1%5.9%1.2%198.3K-1.1M-6.6K0.0037.60N/AN/A0741,424150
2012-03-23$33.93$33.0017.3%5.0%19.8%11.9%23.1%5.8%2.0%185.6K-1.0M-7.4K0.0019.62N/AN/A0131,424224
2012-03-26$34.39$33.0018.1%5.2%20.3%13.4%22.2%8.4%1.7%216.2K-1.4M-7.7K2.0819.90N/AN/A12251,424237
2012-03-27$34.20$33.0019.1%5.5%20.0%15.3%0.0%5.8%1.3%204.9K-1.3M-7.7K0.0040.85N/AN/A0211,436262
2012-03-28$33.98$33.0018.6%5.3%19.7%14.4%20.6%0.8%2.8%177.3K-964.4K-7.2K0.0028.53N/AN/A02081,436283
2012-03-29$33.75$33.0018.9%5.4%19.4%14.9%24.4%7.0%2.5%133.7K-284.3K-7.2K0.0038.18N/AN/A0121,436491
2012-03-30$34.03$33.0030.8%8.8%19.4%38.0%0.0%-4.5%-1.4%148.8K-527.1K-7.8K0.0057.20N/AN/A001,436503