VEA Options History — November 2012

In November 2012, VEA traded between $32.19 and $34.13. ATM implied volatility averaged 16.8%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.3% (HV 20d: 15.4%). Max pain ranged from $33.00 to $38.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.39.

Notable Days

  • 2012-11-19: Highest Volume — 1,297 contracts
  • 2012-11-14: Largest IV spike — 54.4% change
  • 2012-11-05: Highest IV Rank — 23.4%
  • 2012-11-05: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.15$32.19$34.13$33.62$34.13
Max Pain$35.48$33.00$38.00$33.00$33.00
ATM IV16.8%11.3%21.6%17.2%11.8%
Expected Move4.8%3.2%6.1%4.9%3.4%
HV 20d15.4%13.5%16.3%15.2%15.4%
HV 60d15.7%14.8%16.6%14.8%16.3%
IV Rank15.0%5.6%23.4%15.7%6.4%
IV Percentile18.5%0.4%50.0%10.3%1.6%
Term Structure1.3%-0.6%4.1%1.5%1.6%
VWIV18.6%9.6%23.9%19.4%9.6%
Skew 25d6.5%2.6%10.0%2.6%7.8%
Skew 10d8.1%-0.2%16.7%2.6%5.9%
Call IV 25d14.4%8.6%17.8%15.6%8.8%
Put IV 25d20.9%15.3%24.0%18.2%16.6%
Bid-Ask Spread %61.3937.42102.81102.8178.31
Gamma HHI0.420.170.530.490.40
Net GEX234.6K-265.4K471.4K447.1K438.0K
Net DEX309.9K-2.3M2.3M-407.2K-2.2M
Net VEX-9.3K-12.1K-6.3K-12.1K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.390.0013.250.170.00
Total Volume85.8101,297790
Total OI3,620.5242,3063,8783,6313,688

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$33.62$33.0017.2%4.9%15.2%15.7%19.4%2.6%1.5%447.1K-407.2K-12.1K0.17102.81N/AN/A612,3511,280
2012-11-02$33.30$33.0020.6%5.9%15.5%21.7%15.1%5.0%0.4%404.0K-143.5K-11.8K0.00102.77N/AN/A0242,3571,281
2012-11-05$33.19$38.0021.6%6.1%15.0%23.4%22.8%7.0%0.5%365.3K371.2K-10.8K0.0064.64N/AN/A012,3571,297
2012-11-06$33.54$38.0016.8%5.3%15.5%15.0%0.0%6.9%1.2%471.4K-2.5K-10.6K12.0070.97N/AN/A1122,3571,298
2012-11-07$33.02$38.0021.2%5.8%16.3%22.6%20.3%9.1%0.8%317.4K881.6K-9.5K1.0069.52N/AN/A112,3581,310
2012-11-08$32.70$38.0019.3%5.3%15.8%19.3%0.0%6.6%1.8%203.3K1.4M-8.3K0.8060.77N/AN/A542,3581,311
2012-11-09$32.71$38.0018.4%5.4%15.8%17.9%21.5%7.2%1.3%150.5K1.5M-7.8K3.5063.38N/AN/A272,3631,315
2012-11-12$32.69$38.0017.9%5.4%15.6%16.9%22.9%5.5%2.1%44.7K1.6M-7.1K0.0056.47N/AN/A0872,3641,322
2012-11-13$32.52$38.0013.8%3.8%15.7%9.8%14.0%9.3%4.1%-79.0K1.9M-6.6K0.0058.68N/AN/A0512,3641,409
2012-11-14$32.19$38.0021.3%5.7%15.6%22.8%20.7%4.3%1.2%-177.2K2.3M-6.7K12.0057.86N/AN/A2242,3641,460
2012-11-15$32.29$37.0020.1%5.8%14.2%20.7%21.5%10.0%2.1%-210.2K2.2M-6.5K2.8157.45N/AN/A16452,3651,473
2012-11-16$32.27$37.0018.8%5.4%13.5%18.4%23.9%8.4%3.2%-265.4K2.2M-6.4K0.0057.51N/AN/A072,3731,505
2012-11-19$32.97$37.0016.9%4.8%16.0%15.2%17.2%5.8%-0.3%59.3K1.6M-6.3K0.1855.78N/AN/A1,1011961,2571,049
2012-11-20$33.01$33.0016.8%4.8%15.4%15.1%0.0%4.9%0.0%328.2K119.5K-11.1K0.0037.42N/AN/A002,3571,242
2012-11-21$33.08$33.0016.3%4.7%15.2%14.2%0.0%3.8%0.3%351.6K-126.0K-11.1K0.0049.58N/AN/A002,3571,242
2012-11-23$33.79$33.0012.4%3.6%15.3%7.5%17.0%6.6%0.4%397.3K-1.1M-11.2K13.2545.95N/AN/A4532,3571,242
2012-11-26$33.71$33.0012.7%3.6%15.3%7.9%20.2%7.1%1.0%383.2K-1.0M-11.1K2.5740.87N/AN/A7182,3601,295
2012-11-27$33.51$33.0015.0%4.3%15.4%11.9%0.0%4.2%-0.6%417.9K-1.1M-10.6K0.0055.73N/AN/A002,3671,295
2012-11-28$33.78$33.0011.7%3.4%15.6%6.3%13.6%8.3%1.0%418.6K-1.2M-10.2K0.0051.88N/AN/A702,3671,295
2012-11-29$34.08$33.0011.3%3.2%15.9%5.6%17.7%6.7%3.3%459.8K-2.3M-9.0K0.0050.80N/AN/A0292,3741,295
2012-11-30$34.13$33.0011.8%3.4%15.4%6.4%9.6%7.8%1.6%438.0K-2.2M-9.7K0.0078.31N/AN/A0902,3741,314