VEA Options History — December 2012

In December 2012, VEA traded between $34.17 and $35.32. ATM implied volatility averaged 14.1%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.7% (HV 20d: 10.4%). Max pain ranged from $33.00 to $39.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 8.67.

Notable Days

  • 2012-12-19: Highest Volume — 7,217 contracts
  • 2012-12-13: Largest IV drop — 26.2% change
  • 2012-12-10: Highest IV Rank — 14.4%
  • 2012-12-10: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.77$34.17$35.32$34.17$35.23
Max Pain$34.75$33.00$39.00$33.00$37.00
ATM IV14.1%11.2%16.4%12.9%15.4%
Expected Move4.0%3.1%4.6%3.7%4.4%
HV 20d10.4%6.0%14.9%14.9%8.3%
HV 60d14.4%12.7%16.3%16.3%13.2%
IV Rank10.4%5.4%14.4%8.3%12.6%
IV Percentile7.9%0.4%15.5%4.4%13.5%
Term Structure0.1%-7.4%3.4%-0.9%0.1%
VWIV14.6%8.0%18.1%12.9%18.1%
Skew 25d5.4%-3.8%9.0%9.0%8.9%
Skew 10d4.3%0.6%8.1%5.6%5.8%
Call IV 25d11.6%8.5%18.9%9.7%8.5%
Put IV 25d16.9%13.5%18.8%18.7%17.4%
Bid-Ask Spread %55.2836.4970.2447.1436.49
Gamma HHI0.340.250.570.410.26
Net GEX248.7K-13.7K429.6K404.2K-13.7K
Net DEX-1.6M-4.7M998.8K-2.2M-768.0K
Net VEX-7.9K-10.6K-5.6K-10.2K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.670.0089.330.436.00
Total Volume418.2507,217507
Total OI3,203.91,2714,1933,7681,496

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$34.17$33.0012.9%3.7%14.9%8.3%12.9%9.0%-0.9%404.2K-2.2M-10.2K0.0047.14N/AN/A0502,3741,394
2012-12-04$34.26$33.0014.8%4.2%14.8%11.6%8.0%1.9%-5.7%388.4K-1.7M-10.6K0.0043.65N/AN/A0262,3741,444
2012-12-05$34.33$33.0012.6%3.6%14.4%7.7%9.0%0.4%-0.7%425.8K-2.4M-9.5K0.0040.25N/AN/A0522,3741,470
2012-12-06$34.38$33.0015.2%4.3%13.0%12.2%0.0%-3.8%-7.4%349.1K-1.5M-10.6K0.0036.96N/AN/A0222,3741,522
2012-12-07$34.38$34.0014.0%4.5%12.3%10.2%0.0%6.5%0.7%377.3K-1.8M-10.1K0.4368.92N/AN/A732,3741,544
2012-12-10$34.40$34.0016.4%4.6%12.3%14.4%0.0%5.8%-0.2%286.8K-1.2M-10.2K0.0061.30N/AN/A002,3791,547
2012-12-11$34.59$34.0013.5%3.1%12.2%9.4%0.0%7.4%1.0%393.9K-1.7M-9.2K1.2262.52N/AN/A18222,3791,547
2012-12-12$34.72$34.0015.2%3.2%11.9%12.2%0.0%7.2%1.9%416.6K-2.9M-7.9K4.0064.91N/AN/A142,3881,547
2012-12-13$34.61$34.0011.2%3.2%11.0%5.4%0.0%7.1%0.5%414.9K-2.0M-8.6K89.3359.47N/AN/A32682,3871,551
2012-12-14$34.74$34.0011.3%3.2%11.0%5.5%0.0%8.0%1.5%320.4K-2.0M-8.7K0.0056.87N/AN/A1002,3841,771
2012-12-17$34.91$34.0011.6%3.3%10.9%6.1%0.0%5.0%1.0%304.2K-2.4M-8.1K0.0070.24N/AN/A1502,3941,771
2012-12-18$35.23$34.0012.8%3.7%9.0%8.1%0.0%8.2%-1.1%429.6K-4.3M-6.1K0.0068.98N/AN/A1702,4091,771
2012-12-19$35.32$34.0014.3%4.1%9.0%10.7%14.3%2.9%2.8%409.7K-4.7M-5.7K0.0162.42N/AN/A7,1171002,4221,771
2012-12-20$35.28$35.0015.0%4.3%9.1%11.9%17.5%3.5%2.2%40.8K998.8K-5.6K1.8961.76N/AN/A531007901,871
2012-12-21$35.06$35.0013.7%3.9%6.9%9.7%15.9%3.7%3.4%-3.1K868.6K-6.0K1.9666.93N/AN/A801578421,918
2012-12-24$34.96$39.0014.7%4.2%6.9%11.5%0.0%7.5%0.8%24.1K-561.6K-6.1K0.0056.45N/AN/A01786524
2012-12-26$34.94$37.0015.7%4.5%6.3%13.1%16.9%6.3%1.3%23.6K-712.9K-5.9K3.7950.13N/AN/A39148786485
2012-12-27$35.07$37.0015.6%4.5%6.0%13.0%17.2%7.4%0.7%-5.4K-707.6K-6.5K0.0042.09N/AN/A04825632
2012-12-28$34.72$37.0016.2%4.6%6.8%14.0%16.2%4.3%0.6%-13.5K-501.2K-6.6K4.1348.15N/AN/A833825636
2012-12-31$35.23$37.0015.4%4.4%8.3%12.6%18.1%8.9%0.1%-13.7K-768.0K-6.3K6.0036.49N/AN/A16827669