VEA Options History — July 2012

In July 2012, VEA traded between $30.10 and $32.12. ATM implied volatility averaged 34.6%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 11.9% (HV 20d: 22.7%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.95.

Notable Days

  • 2012-07-30: Highest Volume — 350 contracts
  • 2012-07-12: Largest IV spike — 182.1% change
  • 2012-07-16: Highest IV Rank — 100.0%
  • 2012-07-18: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.26$30.10$32.12$31.79$31.65
Max Pain$30.67$30.00$31.00$31.00$31.00
ATM IV34.6%19.0%65.9%19.0%20.2%
Expected Move11.8%5.4%18.9%5.4%5.8%
HV 20d22.7%21.5%24.9%23.5%21.6%
HV 60d21.1%20.2%22.4%21.5%22.1%
IV Rank38.5%6.3%100.0%7.5%8.4%
IV Percentile49.8%12.7%100.0%13.5%18.7%
Term Structure-13.6%-53.6%35.0%34.2%2.2%
VWIV22.2%18.6%26.0%18.6%22.6%
Skew 25d6.1%-4.4%30.5%9.0%3.4%
Skew 10d13.5%4.6%51.0%9.3%4.6%
Call IV 25d45.2%12.2%89.1%14.2%20.1%
Put IV 25d51.3%21.4%94.0%23.2%23.5%
Bid-Ask Spread %94.5620.72155.8234.7529.64
Gamma HHI0.390.260.610.320.44
Net GEX171.4K48.4K440.2K165.1K230.5K
Net DEX-563.2K-1.5M505.0K-976.0K-899.2K
Net VEX-6.4K-8.3K-3.8K-7.1K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.950.0031.000.000.02
Total Volume73.810350231100
Total OI1,9491,4062,3551,7912,355

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$31.79$31.0019.0%5.4%23.5%7.5%18.6%9.0%34.2%165.1K-976.0K-7.1K0.0034.75N/AN/A23101,205586
2012-07-03$32.12$31.0019.3%5.5%23.6%7.5%20.8%9.2%33.3%208.4K-1.5M-8.3K3.0037.79N/AN/A261,436586
2012-07-05$31.63$31.0019.3%5.5%22.9%7.5%0.0%8.3%35.0%194.8K-1.1M-7.9K0.0033.25N/AN/A021,438592
2012-07-06$31.29$0.0021.9%15.5%23.4%13.0%0.0%-4.4%-29.6%173.3K-774.9K-7.4K3.25154.52N/AN/A4131,438592
2012-07-09$31.23$0.0022.4%14.9%23.3%14.2%0.0%5.5%-26.7%169.2K-660.8K-7.1K0.00152.04N/AN/A201,442599
2012-07-10$30.98$0.0020.9%17.1%23.3%10.6%0.0%4.4%-36.6%153.2K-483.1K-6.8K0.00150.10N/AN/A001,444599
2012-07-11$31.11$0.0021.8%17.3%22.6%12.5%0.0%4.6%-35.8%166.4K-570.9K-6.6K0.00154.87N/AN/A701,444599
2012-07-12$30.76$0.0061.5%17.6%22.8%97.4%0.0%4.5%-25.1%104.1K-487.8K-6.7K0.00155.06N/AN/A0201,451599
2012-07-13$31.21$0.0056.7%16.3%23.3%87.1%0.0%2.0%-32.2%192.0K-577.1K-6.3K0.00155.30N/AN/A0171,451619
2012-07-16$31.20$0.0064.7%18.5%22.7%100.0%0.0%3.3%-40.6%201.2K-517.2K-6.0K0.00154.99N/AN/A101,451636
2012-07-17$31.31$0.0064.8%18.6%22.7%100.0%0.0%4.7%-39.4%226.5K-577.5K-5.9K0.50155.31N/AN/A631,452636
2012-07-18$31.54$0.0065.9%18.9%22.2%100.0%0.0%4.9%-53.6%211.0K-893.1K-6.1K0.00155.06N/AN/A1001,453639
2012-07-19$31.80$0.0064.7%18.6%22.2%97.6%0.0%4.6%-47.3%440.2K-1.1M-6.1K0.00155.82N/AN/A001,448639
2012-07-20$31.10$0.0049.8%14.3%21.5%67.8%0.0%30.5%-29.7%147.2K-360.0K-5.3K0.43147.66N/AN/A63271,448639
2012-07-23$30.45$0.0024.9%7.2%22.7%18.0%25.0%5.5%-0.1%66.0K102.8K-4.2K31.0027.94N/AN/A2621,030376
2012-07-24$30.10$30.0024.2%7.0%21.5%16.6%26.0%8.5%0.4%48.4K332.4K-3.8K0.0029.23N/AN/A01221,032428
2012-07-25$30.28$30.0024.0%6.9%21.5%16.2%25.2%3.6%0.9%50.6K505.0K-4.2K0.0029.31N/AN/A0661,032543
2012-07-26$31.20$30.0022.3%6.4%23.8%12.8%20.1%8.2%1.4%79.9K110.1K-5.6K0.1031.58N/AN/A293281,032603
2012-07-27$31.89$31.0019.1%5.5%24.9%6.3%19.3%3.2%1.8%179.3K-695.2K-6.9K0.0420.72N/AN/A10941,322610
2012-07-30$31.81$31.0020.0%5.7%21.7%8.1%22.6%4.8%1.8%191.4K-693.4K-7.0K0.0220.82N/AN/A34371,391614
2012-07-31$31.65$31.0020.2%5.8%21.6%8.4%0.0%3.4%2.2%230.5K-899.2K-8.2K0.0029.64N/AN/A01001,734621