VEA Options History — April 2012

In April 2012, VEA traded between $32.03 and $34.42. ATM implied volatility averaged 21.6%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.0% (HV 20d: 19.7%). Max pain ranged from $33.00 to $38.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.55.

Notable Days

  • 2012-04-12: Highest Volume — 368 contracts
  • 2012-04-04: Largest IV spike — 18.3% change
  • 2012-04-10: Highest IV Rank — 28.4%
  • 2012-04-11: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.97$32.03$34.42$34.42$33.22
Max Pain$35.20$33.00$38.00$33.00$35.00
ATM IV21.6%18.2%25.8%19.9%20.5%
Expected Move6.2%5.2%7.3%5.7%5.9%
HV 20d19.7%16.8%21.8%19.6%21.5%
HV 60d17.7%16.0%18.6%16.0%18.4%
IV Rank18.2%11.0%28.4%16.9%14.2%
IV Percentile36.4%17.9%54.0%31.0%28.2%
Term Structure0.9%-0.4%2.2%0.4%1.7%
VWIV23.7%12.5%28.4%24.8%23.8%
Skew 25d7.2%3.6%11.0%3.8%7.2%
Skew 10d11.2%2.1%19.0%3.9%12.2%
Call IV 25d17.7%13.4%21.3%14.2%16.4%
Put IV 25d24.9%18.0%28.6%18.0%23.7%
Bid-Ask Spread %31.0315.8645.1326.9915.86
Gamma HHI0.280.210.420.360.23
Net GEX40.3K-128.9K201.4K201.4K71.8K
Net DEX719.9K-690.7K1.1M-690.7K1.0M
Net VEX-5.5K-7.6K-3.8K-7.6K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.550.009.189.180.39
Total Volume76.850368061
Total OI2,187.21,9392,4841,9392,334

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$34.42$33.0019.9%5.7%19.6%16.9%0.0%3.8%0.4%201.4K-690.7K-7.6K0.0026.99N/AN/A001,436503
2012-04-03$33.80$33.0018.2%5.2%17.0%13.6%0.0%4.7%1.6%140.8K-252.3K-6.6K0.0024.82N/AN/A0941,436503
2012-04-04$33.06$33.0021.5%6.2%18.5%20.0%0.0%4.1%0.9%76.5K497.9K-5.6K0.0020.77N/AN/A001,436597
2012-04-05$32.86$33.0020.3%5.8%16.8%17.8%24.8%3.6%1.5%59.8K657.8K-5.0K0.0023.80N/AN/A071,436597
2012-04-09$32.68$38.0022.1%6.4%16.8%21.1%0.0%8.5%0.7%35.3K755.6K-4.7K0.0045.13N/AN/A0361,436604
2012-04-10$32.03$38.0025.8%7.3%18.1%28.4%28.4%7.3%-0.3%10.1K1.1M-3.8K9.1838.65N/AN/A111011,436640
2012-04-11$32.42$38.0024.8%7.3%17.6%26.5%12.5%7.4%-0.4%-6.2K987.9K-4.3K0.0039.89N/AN/A1401,436693
2012-04-12$33.05$38.0022.3%6.4%19.0%21.6%19.7%8.0%0.7%12.9K682.7K-5.0K4.8434.42N/AN/A633051,441693
2012-04-13$32.40$35.0024.7%7.1%19.6%26.3%26.7%6.5%0.5%-8.9K1.1M-5.8K0.0039.05N/AN/A02741,504852
2012-04-16$32.60$35.0022.5%6.5%19.6%18.3%27.2%8.0%0.7%-15.1K969.1K-5.5K1.4041.67N/AN/A20281,504860
2012-04-17$33.13$35.0022.0%6.3%20.5%17.2%0.0%11.0%0.1%22.1K610.9K-5.7K0.0036.79N/AN/A001,524852
2012-04-18$32.94$35.0022.1%6.3%20.3%17.5%0.0%9.4%1.0%-12.2K729.6K-5.3K0.0035.86N/AN/A001,524852
2012-04-19$32.76$35.0021.7%6.2%20.2%16.6%25.3%6.5%1.4%-40.0K872.7K-5.2K3.4638.63N/AN/A26901,524852
2012-04-20$33.09$35.0020.8%6.0%20.5%14.8%23.6%8.9%2.2%-128.9K653.0K-5.6K0.0035.44N/AN/A0141,550934
2012-04-23$32.43$35.0023.2%6.7%21.4%19.7%26.4%7.6%1.0%61.9K828.1K-4.7K0.0025.84N/AN/A01661,274667
2012-04-24$32.70$35.0020.3%5.8%21.0%13.8%24.1%6.0%0.8%61.6K1.1M-5.3K0.0020.39N/AN/A01001,274833
2012-04-25$33.12$35.0020.3%5.8%21.7%13.6%0.0%8.8%1.5%75.3K1.0M-5.9K0.0022.82N/AN/A501,274933
2012-04-26$33.33$35.0020.7%5.9%21.8%14.6%23.8%8.7%1.0%94.0K932.4K-6.0K1.8116.72N/AN/A27491,279933
2012-04-27$33.41$35.0019.0%5.4%21.7%11.0%21.8%7.6%1.7%94.4K845.1K-6.6K1.8837.16N/AN/A16301,306982
2012-04-30$33.22$35.0020.5%5.9%21.5%14.2%23.8%7.2%1.7%71.8K1.0M-6.0K0.3915.86N/AN/A44171,3221,012