VEA Options History — August 2012

In August 2012, VEA traded between $31.23 and $33.19. ATM implied volatility averaged 18.3%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.4% (HV 20d: 19.7%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 3.56.

Notable Days

  • 2012-08-20: Highest Volume — 1,156 contracts
  • 2012-08-16: Largest IV spike — 62.3% change
  • 2012-08-30: Highest IV Rank — 17.5%
  • 2012-08-02: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.70$31.23$33.19$31.67$32.69
Max Pain$31.39$31.00$32.00$31.00$32.00
ATM IV18.3%12.1%22.8%22.6%20.8%
Expected Move5.6%5.0%6.5%6.5%5.9%
HV 20d19.7%9.4%23.9%21.3%9.4%
HV 60d21.6%19.7%23.0%22.1%19.7%
IV Rank8.9%0.0%17.5%13.4%16.1%
IV Percentile12.8%0.0%34.1%33.3%29.8%
Term Structure5.5%-3.7%27.9%0.1%0.2%
VWIV19.9%16.7%23.1%22.3%16.9%
Skew 25d5.6%2.6%7.9%2.6%5.0%
Skew 10d9.8%3.7%17.0%5.2%14.2%
Call IV 25d16.9%14.7%21.1%21.1%19.4%
Put IV 25d22.5%20.8%24.4%23.8%24.4%
Bid-Ask Spread %28.6215.1643.1229.0228.48
Gamma HHI0.580.390.780.430.69
Net GEX415.3K214.6K598.1K227.2K535.1K
Net DEX-1.9M-3.1M-161.7K-631.8K-601.3K
Net VEX-9.8K-14.0K-7.4K-8.1K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.560.0023.600.480.37
Total Volume126.47801,15690129
Total OI3,204.5652,3814,4572,4534,457

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$31.67$31.0022.6%6.5%21.3%13.4%22.3%2.6%0.1%227.2K-631.8K-8.1K0.4829.02N/AN/A61291,734719
2012-08-02$31.23$31.0022.8%6.5%21.2%13.8%23.1%5.4%0.9%214.6K-161.7K-7.4K19.6716.89N/AN/A3591,795725
2012-08-03$32.28$31.0019.3%5.5%23.9%6.7%0.0%2.6%2.3%299.0K-1.3M-8.5K0.0019.47N/AN/A1201,798778
2012-08-06$32.48$31.0019.6%6.0%23.9%7.2%18.6%5.5%1.1%316.6K-1.6M-8.4K0.0039.84N/AN/A3401,807778
2012-08-07$32.77$31.0017.1%5.7%23.8%2.3%20.0%6.9%0.9%321.7K-2.0M-8.5K6.8343.12N/AN/A6411,841778
2012-08-08$32.78$31.0016.5%5.5%23.8%1.1%0.0%7.9%1.5%324.4K-2.0M-8.4K0.0042.00N/AN/A001,847819
2012-08-09$32.76$31.0015.7%5.4%23.2%0.0%0.0%6.5%1.8%356.2K-2.0M-8.1K0.0039.07N/AN/A001,847819
2012-08-10$32.82$31.0014.8%5.3%22.8%0.0%18.9%5.7%2.9%387.7K-2.1M-7.8K1.8541.32N/AN/A20371,847819
2012-08-13$32.67$32.0017.1%5.3%23.0%4.7%20.4%4.4%2.2%374.8K-1.9M-7.7K0.0042.11N/AN/A8701,860856
2012-08-14$32.74$31.0014.5%5.4%23.0%0.0%18.8%4.0%2.1%378.3K-2.2M-7.9K0.0040.70N/AN/A301,947856
2012-08-15$32.63$31.0012.1%5.4%23.0%0.0%19.0%6.6%2.5%393.1K-2.2M-7.8K0.0042.06N/AN/A3601,950856
2012-08-16$33.00$31.0019.7%5.6%23.1%14.0%19.6%7.4%2.3%300.7K-2.7M-7.8K0.0035.45N/AN/A3601,986856
2012-08-17$33.11$31.0017.4%5.0%21.3%9.9%16.7%5.9%3.4%321.7K-2.9M-7.5K0.0034.00N/AN/A12602,003856
2012-08-20$33.00$31.0018.3%5.2%19.4%11.5%18.3%7.5%-3.7%343.7K-1.6M-7.6K0.2015.65N/AN/A9671891,723658
2012-08-21$33.19$31.0018.4%5.3%18.5%11.8%22.1%7.6%9.7%536.7K-3.1M-11.8K0.0025.70N/AN/A02432,673847
2012-08-22$33.15$32.0019.1%5.5%18.7%13.0%19.0%7.3%25.6%503.5K-3.0M-13.8K0.4015.16N/AN/A173702,6731,090
2012-08-23$32.97$32.0019.2%5.5%16.4%13.2%21.1%5.2%27.9%539.6K-2.7M-14.0K0.0015.24N/AN/A0682,8301,148
2012-08-24$32.93$32.0018.5%5.3%14.8%11.9%19.7%5.2%14.9%572.7K-2.2M-12.8K23.6015.63N/AN/A51182,8301,216
2012-08-27$32.97$32.0018.8%5.4%14.7%12.5%0.0%4.6%14.0%578.3K-2.4M-13.4K0.0019.58N/AN/A0692,8351,276
2012-08-28$32.93$32.0018.4%5.3%14.5%11.8%20.7%4.9%5.0%598.1K-1.9M-12.2K0.3721.71N/AN/A30112,8351,345
2012-08-29$32.84$32.0018.8%5.4%14.6%12.4%0.0%5.4%5.0%591.8K-1.6M-12.2K0.0018.49N/AN/A0722,8541,356
2012-08-30$32.38$32.0021.5%6.2%14.6%17.5%22.6%5.0%4.3%536.2K-358.8K-11.5K0.0017.48N/AN/A01752,8541,428
2012-08-31$32.69$32.0020.8%5.9%9.4%16.1%16.9%5.0%0.2%535.1K-601.3K-11.8K0.0028.48N/AN/A01292,8541,603