VEA Options History — January 2013

In January 2013, VEA traded between $35.28 and $36.72. ATM implied volatility averaged 11.9%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.2% (HV 20d: 11.7%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.05.

Notable Days

  • 2013-01-22: Highest Volume — 547 contracts
  • 2013-01-28: Largest IV spike — 44.1% change
  • 2013-01-03: Highest IV Rank — 12.4%
  • 2013-01-07: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.02$35.28$36.72$35.81$36.58
Max Pain$35.19$35.00$37.00$37.00$35.00
ATM IV11.9%8.5%15.3%12.1%9.2%
Expected Move3.5%2.4%4.5%3.5%2.6%
HV 20d11.7%9.8%12.7%9.8%10.0%
HV 60d12.7%11.6%13.6%13.5%11.6%
IV Rank6.6%0.7%12.4%6.9%1.8%
IV Percentile5.3%0.4%13.5%3.6%0.8%
Term Structure1.7%0.0%4.5%2.5%1.0%
VWIV14.4%12.6%16.3%16.3%14.6%
Skew 25d3.0%-2.5%6.9%-2.5%2.1%
Skew 10d4.0%-0.3%18.0%0.4%2.6%
Call IV 25d10.5%7.9%13.7%11.4%10.2%
Put IV 25d13.5%8.0%17.7%8.9%12.3%
Bid-Ask Spread %53.3229.6895.1343.2431.50
Gamma HHI0.330.240.430.250.32
Net GEX36.4K-66.1K109.0K32.6K38.3K
Net DEX-1.5M-2.1M-980.4K-1.4M-1.9M
Net VEX-5.1K-6.3K-3.7K-5.2K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.050.0026.352.180.00
Total Volume45.190547354
Total OI1,690.5241,2621,8241,5031,824

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$35.81$37.0012.1%3.5%9.8%6.9%0.0%-2.5%2.5%32.6K-1.4M-5.2K2.1843.24N/AN/A1124828675
2013-01-03$35.45$37.0015.3%4.4%10.8%12.4%16.3%3.4%1.8%15.1K-1.1M-6.0K5.5030.52N/AN/A1688839685
2013-01-04$35.65$35.0010.9%3.8%10.9%4.8%0.0%3.3%1.0%13.9K-1.1M-5.8K0.0095.13N/AN/A00855773
2013-01-07$35.47$35.0014.9%4.5%11.1%11.8%15.4%6.9%0.0%-27.2K-1.0M-5.8K0.2873.52N/AN/A185855773
2013-01-08$35.28$35.0011.2%4.4%11.4%5.4%0.0%3.8%0.9%-1.7K-980.4K-5.9K0.0074.72N/AN/A019860778
2013-01-09$35.45$35.0012.1%4.0%11.5%7.0%16.3%4.5%1.3%41.0K-1.1M-5.4K0.0065.46N/AN/A015860778
2013-01-10$35.94$35.0013.2%3.8%12.2%8.7%0.0%5.5%0.7%94.7K-1.5M-5.2K0.0070.64N/AN/A08860793
2013-01-11$36.00$35.0013.3%3.8%12.2%8.9%13.3%3.4%1.7%63.7K-1.4M-5.3K2.7165.88N/AN/A719860801
2013-01-14$36.05$35.0012.6%3.6%12.0%7.7%0.0%3.0%2.7%89.9K-1.5M-5.1K0.0059.71N/AN/A620867815
2013-01-15$36.00$35.0012.7%3.6%12.1%8.0%12.6%1.3%1.4%92.2K-1.5M-5.2K2.1360.72N/AN/A817929815
2013-01-16$35.78$35.0012.4%3.6%12.3%7.4%13.5%2.8%4.5%69.7K-1.4M-5.4K0.5561.29N/AN/A2011937832
2013-01-17$36.08$35.0013.0%3.7%12.3%8.5%12.8%6.7%1.7%90.8K-1.5M-5.0K0.0061.75N/AN/A80904832
2013-01-18$36.06$35.0012.6%3.6%12.3%7.8%0.0%5.3%1.9%97.2K-1.6M-4.9K0.0064.17N/AN/A00909832
2013-01-22$36.08$35.0011.8%3.4%12.2%6.3%14.6%4.6%2.7%109.0K-1.6M-4.6K26.3541.92N/AN/A20527907355
2013-01-23$36.01$35.0010.8%3.1%12.0%4.7%0.0%2.8%2.0%-34.5K-1.2M-6.3K3.0044.35N/AN/A13927880
2013-01-24$36.22$35.0012.2%3.5%12.0%7.1%0.0%0.2%1.2%-66.1K-1.5M-5.5K0.0029.68N/AN/A80928877
2013-01-25$36.62$35.008.5%2.4%12.4%0.7%0.0%1.3%1.1%-10.0K-2.1M-3.7K0.0036.53N/AN/A20935877
2013-01-28$36.41$35.0012.3%3.5%12.7%7.2%0.0%3.5%1.2%-11.2K-1.8M-4.7K0.0039.05N/AN/A00937877
2013-01-29$36.68$35.0010.1%2.9%12.0%3.4%0.0%2.5%1.5%9.9K-2.1M-3.7K0.0036.93N/AN/A220937877
2013-01-30$36.72$35.009.5%2.7%11.2%2.4%0.0%-1.4%2.0%58.2K-2.1M-4.0K0.0033.07N/AN/A60941877
2013-01-31$36.58$35.009.2%2.6%10.0%1.8%0.0%2.1%1.0%38.3K-1.9M-4.5K0.0031.50N/AN/A04947877