VEA Options History — October 2012

In October 2012, VEA traded between $32.76 and $34.15. ATM implied volatility averaged 18.6%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.9% (HV 20d: 16.7%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2012-10-22: Highest Volume — 1,147 contracts
  • 2012-10-08: Largest IV spike — 23.2% change
  • 2012-10-31: Highest IV Rank — 24.4%
  • 2012-10-31: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.34$32.76$34.15$33.14$33.23
Max Pain$33.38$33.00$35.00$35.00$33.00
ATM IV18.6%14.5%22.2%17.1%22.2%
Expected Move5.4%4.8%6.4%4.9%6.4%
HV 20d16.7%14.6%19.1%19.1%14.6%
HV 60d17.3%14.7%18.2%18.2%14.7%
IV Rank18.1%11.0%24.4%15.6%24.4%
IV Percentile22.0%2.8%54.0%7.9%54.0%
Term Structure1.2%-0.0%2.7%2.2%1.3%
VWIV19.6%12.7%23.5%12.7%23.5%
Skew 25d4.2%-3.2%8.2%-3.2%-0.8%
Skew 10d5.0%1.7%9.9%1.7%2.9%
Call IV 25d15.9%11.9%20.2%17.0%20.2%
Put IV 25d20.1%13.9%23.3%13.9%19.4%
Bid-Ask Spread %80.6146.93106.30101.82106.30
Gamma HHI0.520.230.810.600.42
Net GEX452.4K102.5K1.5M361.8K342.4K
Net DEX2.8M-158.0K5.0M3.9M-78.0K
Net VEX-11.6K-13.3K-9.2K-12.9K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.005.335.332.84
Total Volume89.95201,1479773
Total OI4,274.8572,1334,7864,4913,562

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$33.14$35.0017.1%4.9%19.1%15.6%12.7%-3.2%2.2%361.8K3.9M-12.9K0.00101.82N/AN/A0972,2842,207
2012-10-02$33.26$35.0017.9%5.1%19.0%16.9%0.0%2.7%2.6%354.1K3.9M-12.9K0.00100.06N/AN/A0152,2842,271
2012-10-03$33.13$35.0017.4%5.0%19.0%16.1%0.0%3.0%2.7%344.1K4.1M-12.4K0.00100.45N/AN/A002,2842,286
2012-10-04$33.50$35.0018.0%5.2%17.4%17.1%0.0%1.0%2.1%412.2K3.7M-13.1K0.00101.35N/AN/A002,2842,286
2012-10-05$33.57$33.0014.5%4.9%16.6%11.0%19.0%3.8%1.0%475.2K3.3M-13.3K5.3394.73N/AN/A6322,2842,286
2012-10-08$33.35$33.0017.8%5.5%16.5%16.8%0.0%4.7%0.8%411.6K4.1M-12.1K0.0091.03N/AN/A002,2902,318
2012-10-09$32.87$33.0017.7%5.5%16.7%16.7%23.4%6.1%1.6%295.1K4.6M-11.0K0.0092.99N/AN/A01562,2902,318
2012-10-10$32.76$33.0018.4%5.5%16.5%17.9%17.4%5.5%1.8%178.8K5.0M-10.5K0.0091.68N/AN/A202,2902,469
2012-10-11$32.97$33.0019.0%5.5%15.3%18.9%0.0%6.0%0.6%263.2K4.7M-10.6K0.0093.97N/AN/A022,2902,468
2012-10-12$32.98$33.0018.4%5.3%14.7%17.9%0.0%2.8%2.2%196.4K4.9M-10.0K0.0098.54N/AN/A402,2902,470
2012-10-15$33.27$33.0019.0%5.4%15.2%18.9%0.0%6.6%1.5%320.1K4.6M-10.1K0.0093.42N/AN/A0142,2912,470
2012-10-16$33.83$33.0016.8%4.8%16.6%15.0%16.4%3.7%1.4%784.6K3.2M-11.1K0.0095.82N/AN/A1002,2882,484
2012-10-17$34.15$33.0018.2%5.2%17.0%17.5%19.1%5.6%0.1%1.2M2.1M-11.3K0.0057.84N/AN/A032,2982,484
2012-10-18$34.04$33.0017.3%5.0%16.9%16.0%0.0%2.8%1.4%1.5M2.5M-10.9K1.0060.05N/AN/A112,2982,487
2012-10-19$33.58$33.0018.3%5.2%17.5%17.6%19.9%4.1%0.3%724.5K4.0M-10.0K0.0054.61N/AN/A022,2992,487
2012-10-22$33.79$33.0017.7%5.1%15.7%16.7%17.9%8.2%0.7%102.5K718.7K-9.2K0.0451.04N/AN/A1,099481,225908
2012-10-23$33.09$33.0020.2%5.8%17.2%21.0%23.2%5.9%0.9%330.4K49.9K-12.0K0.0048.70N/AN/A03122,322954
2012-10-24$33.13$33.0020.9%6.0%16.9%22.1%0.0%6.1%-0.0%302.2K87.2K-12.8K0.0053.54N/AN/A002,3221,230
2012-10-25$33.32$33.0021.8%6.2%16.5%23.7%0.0%7.4%0.9%306.3K-158.0K-13.0K0.0046.93N/AN/A1002,3221,230
2012-10-26$33.28$33.0020.9%6.0%14.9%22.2%22.7%6.5%0.1%328.1K49.2K-12.8K0.0057.96N/AN/A022,3321,230
2012-10-31$33.23$33.0022.2%6.4%14.6%24.4%23.5%-0.8%1.3%342.4K-78.0K-11.9K2.84106.30N/AN/A19542,3321,230