VEA Options History — May 2012

In May 2012, VEA traded between $29.39 and $33.39. ATM implied volatility averaged 25.7%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 8.2% (HV 20d: 17.6%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 8.26.

Notable Days

  • 2012-05-03: Highest Volume — 350 contracts
  • 2012-05-18: Largest IV spike — 58.8% change
  • 2012-05-18: Highest IV Rank — 68.8%
  • 2012-05-18: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.02$29.39$33.39$33.39$29.51
Max Pain$33.55$33.00$35.00$35.00$33.00
ATM IV25.7%18.8%47.4%18.8%24.1%
Expected Move7.4%5.4%13.6%5.4%6.9%
HV 20d17.6%15.1%21.1%21.1%17.5%
HV 60d18.8%18.2%19.6%18.2%18.7%
IV Rank24.7%10.8%68.8%10.8%18.4%
IV Percentile48.1%17.1%96.4%17.1%42.1%
Term Structure0.6%-1.3%2.3%2.1%2.3%
VWIV26.2%12.1%35.2%24.0%27.8%
Skew 25d9.8%5.6%17.7%5.6%11.8%
Skew 10d15.7%5.8%26.6%6.0%19.3%
Call IV 25d19.6%13.7%25.1%15.3%19.2%
Put IV 25d29.4%20.8%35.7%20.8%31.1%
Bid-Ask Spread %31.6414.7768.4316.0823.43
Gamma HHI0.200.160.250.220.25
Net GEX-900-48.7K89.2K89.2K-48.7K
Net DEX1.6M914.1K2.5M914.1K1.6M
Net VEX-4.2K-6.3K-2.7K-5.7K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.260.0045.800.009.00
Total Volume76.72703504410
Total OI2,819.3642,3953,1962,3952,799

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$33.39$35.0018.8%5.4%21.1%10.8%0.0%5.6%2.1%89.2K914.1K-5.7K0.0016.08N/AN/A4401,3661,029
2012-05-02$33.13$35.0019.7%5.6%20.3%12.5%0.0%7.8%1.8%65.3K1.1M-5.5K0.0017.52N/AN/A001,4101,029
2012-05-03$32.84$35.0019.8%5.7%19.0%12.7%24.0%10.9%2.0%39.7K1.2M-5.5K0.0823.64N/AN/A325251,4101,029
2012-05-04$32.31$34.0023.5%6.9%19.7%20.3%0.0%8.0%0.1%40.6K1.2M-6.3K2.0744.81N/AN/A30621,7351,054
2012-05-07$32.53$34.0019.9%6.1%19.8%13.0%0.0%8.6%1.4%53.3K1.2M-6.0K0.0041.96N/AN/A001,7651,078
2012-05-08$32.07$34.0023.6%6.9%19.2%20.4%22.7%8.3%0.5%5.0K1.5M-5.3K0.6036.80N/AN/A72431,7651,078
2012-05-09$31.68$34.0024.2%6.8%19.1%21.7%12.1%9.9%0.0%-38.4K1.8M-4.9K0.2934.33N/AN/A2471,7701,121
2012-05-10$31.83$34.0023.7%6.8%17.7%20.6%23.6%9.2%0.0%-29.4K1.6M-5.1K1.5638.41N/AN/A34531,7931,118
2012-05-11$31.61$34.0023.2%6.7%16.5%19.6%20.8%8.3%0.7%-29.5K1.6M-4.8K0.0438.67N/AN/A250101,8191,077
2012-05-14$31.05$33.0026.8%7.7%17.2%27.0%23.4%7.9%-0.8%-32.0K1.9M-4.5K0.0731.83N/AN/A7652,0231,087
2012-05-15$30.64$33.0026.1%7.5%16.2%25.6%27.0%7.0%-0.1%-26.3K2.2M-4.0K29.0042.17N/AN/A1292,0751,092
2012-05-16$30.34$33.0029.6%8.5%16.3%32.7%0.0%8.8%-1.3%-22.4K2.3M-3.6K0.0041.63N/AN/A092,0761,103
2012-05-17$29.97$33.0029.8%8.6%16.5%33.2%26.5%8.6%-1.1%5.6K2.5M-3.3K0.0040.38N/AN/A1102,0761,112
2012-05-18$29.72$33.0047.4%13.6%15.7%68.8%35.2%17.7%-1.2%32.5K2.4M-3.9K45.8068.43N/AN/A52292,0841,112
2012-05-21$30.40$33.0026.4%7.6%17.6%26.2%29.9%13.5%0.2%3.3K1.2M-2.7K0.0823.60N/AN/A2621,869718
2012-05-22$30.29$33.0026.8%7.7%17.0%26.9%27.8%12.1%0.4%9.8K1.2M-2.8K15.6329.21N/AN/A81251,862710
2012-05-23$30.03$33.0026.8%7.7%15.9%27.0%30.0%11.7%1.0%-14.9K1.4M-3.1K14.0019.52N/AN/A4561,870835
2012-05-24$29.82$33.0026.6%7.6%15.4%26.5%28.5%10.5%0.9%-23.7K1.5M-3.2K0.1222.49N/AN/A5161,874887
2012-05-25$29.73$33.0025.3%7.2%15.1%23.8%29.6%8.2%1.6%-25.7K1.5M-3.3K2.4018.22N/AN/A5121,871893
2012-05-29$30.08$33.0024.8%7.1%16.3%22.9%27.8%7.9%1.8%-27.5K1.4M-3.2K0.0014.77N/AN/A0101,871905
2012-05-30$29.39$33.0029.1%8.4%17.1%31.7%29.0%13.1%0.2%-45.5K1.6M-2.9K28.0028.16N/AN/A1281,861915
2012-05-31$29.51$33.0024.1%6.9%17.5%18.4%27.8%11.8%2.3%-48.7K1.6M-2.9K9.0023.43N/AN/A191,861938