VEA Options History — June 2012

In June 2012, VEA traded between $28.77 and $31.57. ATM implied volatility averaged 24.2%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.2% (HV 20d: 22.0%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2012-06-19: Highest Volume — 660 contracts
  • 2012-06-29: Largest IV drop — 29.6% change
  • 2012-06-04: Highest IV Rank — 30.2%
  • 2012-06-04: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.19$28.77$31.57$28.77$31.57
Max Pain$30.14$30.00$33.00$33.00$30.00
ATM IV24.2%17.8%29.7%28.6%17.8%
Expected Move7.3%5.1%9.1%8.2%5.1%
HV 20d22.0%18.8%24.7%18.8%23.5%
HV 60d19.9%18.6%21.5%19.1%21.5%
IV Rank18.5%4.9%30.2%27.9%4.9%
IV Percentile39.7%5.6%61.5%59.5%5.6%
Term Structure12.8%-0.2%36.8%2.0%36.8%
VWIV25.1%18.5%33.3%31.8%18.5%
Skew 25d5.7%-36.2%12.1%7.2%-36.2%
Skew 10d8.5%-64.6%26.6%9.1%-37.7%
Call IV 25d24.2%15.6%58.5%26.0%58.5%
Put IV 25d29.9%22.3%37.1%33.2%22.3%
Bid-Ask Spread %47.1422.4475.1522.4458.09
Gamma HHI0.270.220.380.260.30
Net GEX16.4K-69.4K132.2K-54.2K125.6K
Net DEX682.4K-946.2K1.8M1.8M-946.2K
Net VEX-4.5K-7.9K-2.7K-2.9K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.0016.004.381.13
Total Volume73.61906604332
Total OI2,354.1439283,2912,8091,771

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$28.77$33.0028.6%8.2%18.8%27.9%31.8%7.2%2.0%-54.2K1.8M-2.9K4.3822.44N/AN/A8351,862947
2012-06-04$29.00$30.0029.7%9.1%19.1%30.2%27.3%9.8%-0.1%-63.9K1.8M-2.9K0.1152.16N/AN/A6571,870982
2012-06-05$29.15$30.0027.7%8.4%19.0%25.9%0.0%10.8%0.4%-69.4K1.7M-2.7K0.0053.06N/AN/A0161,872982
2012-06-06$29.99$30.0024.6%8.0%22.2%19.3%33.3%10.6%0.1%-52.9K1.5M-2.8K0.0054.41N/AN/A0461,872998
2012-06-07$30.05$30.0022.5%7.4%22.0%15.0%22.6%8.2%1.3%-59.7K1.5M-2.7K0.0052.33N/AN/A25001,8721,034
2012-06-08$29.94$30.0021.1%7.7%21.8%12.0%26.8%8.4%0.9%-39.6K1.4M-3.3K0.6339.13N/AN/A63402,1221,034
2012-06-11$29.67$30.0024.3%7.6%21.9%18.8%0.0%7.9%1.0%-50.0K1.4M-3.5K16.0044.05N/AN/A1162,1851,074
2012-06-12$30.19$30.0024.2%8.0%22.3%18.5%25.3%10.2%-0.1%-27.4K1.3M-3.4K0.0045.74N/AN/A1302,1861,088
2012-06-13$29.96$30.0023.9%8.2%22.0%17.8%24.1%8.5%-0.2%-41.0K1.3M-3.5K0.0053.23N/AN/A502,1941,088
2012-06-14$30.12$30.0028.4%8.1%21.8%27.5%0.0%9.7%-0.1%-18.4K1.2M-3.4K0.0051.57N/AN/A082,1991,088
2012-06-15$30.59$30.0024.5%7.0%22.1%19.1%22.6%10.8%1.0%31.9K1.1M-3.5K0.0048.26N/AN/A3002,1991,092
2012-06-18$30.52$30.0021.9%6.3%21.8%13.7%19.6%7.6%20.2%30.1K281.9K-3.3K0.1045.33N/AN/A313477451
2012-06-19$31.00$30.0021.8%6.3%21.0%13.5%0.0%-16.8%26.8%51.1K61.9K-3.5K0.0075.15N/AN/A6600508451
2012-06-20$31.22$30.0020.9%6.0%21.1%11.7%20.1%8.9%26.2%132.2K-543.6K-7.1K0.3341.57N/AN/A1241,168451
2012-06-21$30.40$30.0024.2%6.9%23.1%18.5%25.6%8.3%25.5%93.8K-126.6K-6.1K0.0033.34N/AN/A0881,180455
2012-06-22$30.70$30.0021.4%6.1%23.1%12.5%24.8%7.1%14.7%93.2K-229.8K-6.8K2.0039.06N/AN/A121,180521
2012-06-25$30.00$30.0025.8%7.4%24.7%22.0%26.4%7.3%34.4%61.1K90.6K-5.7K0.0040.32N/AN/A0541,181520
2012-06-26$30.17$30.0024.6%7.0%24.4%19.3%27.9%10.3%26.9%62.9K127.3K-5.8K0.6737.61N/AN/A961,181570
2012-06-27$30.46$30.0024.8%7.1%23.0%19.8%0.0%12.1%25.8%61.6K-348.0K-7.2K0.0063.13N/AN/A001,190576
2012-06-28$30.49$30.0025.2%7.2%23.0%20.7%25.5%9.4%25.8%77.4K-83.5K-6.3K0.0039.87N/AN/A0411,190576
2012-06-29$31.57$30.0017.8%5.1%23.5%4.9%18.5%-36.2%36.8%125.6K-946.2K-7.9K1.1358.09N/AN/A15171,190581