VEA Options History — April 2013

In April 2013, VEA traded between $36.00 and $38.33. ATM implied volatility averaged 14.4%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.2% (HV 20d: 14.2%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.39.

Notable Days

  • 2013-04-22: Highest Volume — 499 contracts
  • 2013-04-19: Largest IV drop — 23.2% change
  • 2013-04-18: Highest IV Rank — 18.0%
  • 2013-04-18: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.97$36.00$38.33$36.00$38.33
Max Pain$36.18$36.00$37.00$36.00$37.00
ATM IV14.4%12.4%18.5%15.3%14.3%
Expected Move4.2%3.7%5.3%4.4%4.1%
HV 20d14.2%11.1%16.8%11.1%15.7%
HV 60d13.6%12.5%14.7%12.7%14.7%
IV Rank11.0%7.4%18.0%12.4%10.7%
IV Percentile29.4%13.5%58.3%33.7%30.6%
Term Structure0.2%-0.9%1.1%0.2%0.3%
VWIV14.9%11.7%21.9%15.5%14.2%
Skew 25d4.6%2.8%5.9%2.8%5.1%
Skew 10d10.7%5.6%15.4%9.3%6.0%
Call IV 25d12.9%10.6%15.9%14.6%11.9%
Put IV 25d17.5%15.4%21.8%17.4%17.0%
Bid-Ask Spread %28.3716.0750.2124.7722.35
Gamma HHI0.450.230.710.420.24
Net GEX306.3K-65.0K579.9K300.1K12.7K
Net DEX-1.7M-3.7M65.8K-694.1K-1.7M
Net VEX-10.1K-12.1K-8.0K-11.9K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.0019.0019.000.08
Total Volume60.318049940
Total OI2,522.7271,6142,7642,6642,236

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$36.00$36.0015.3%4.4%11.1%12.4%0.0%2.8%0.2%300.1K-694.1K-11.9K0.0024.77N/AN/A041,763901
2013-04-02$36.38$36.0014.7%4.2%11.7%11.5%0.0%4.2%0.1%378.2K-1.4M-12.0K0.0024.35N/AN/A051,763905
2013-04-03$36.21$36.0015.4%4.4%11.2%12.6%15.5%3.1%-0.4%333.9K-1.1M-12.1K19.0023.02N/AN/A1191,763910
2013-04-04$36.53$36.0013.1%3.8%11.7%8.7%0.0%5.8%0.2%397.3K-1.5M-12.0K0.0016.07N/AN/A501,764929
2013-04-05$36.37$36.0015.4%4.6%11.7%12.7%0.0%4.9%0.2%374.4K-1.3M-11.9K0.0035.36N/AN/A001,769929
2013-04-08$36.49$36.0015.1%4.5%11.7%12.2%0.0%5.2%0.2%450.6K-1.5M-11.3K0.0039.69N/AN/A901,769929
2013-04-09$36.64$36.0012.4%3.8%11.8%7.4%13.2%4.7%1.1%480.6K-1.8M-11.1K0.1743.41N/AN/A611,771929
2013-04-10$37.16$36.0013.0%4.0%12.8%8.5%11.7%5.1%0.4%440.5K-3.1M-9.2K0.0043.08N/AN/A601,777930
2013-04-11$37.45$36.0014.0%4.0%13.0%10.1%21.9%3.2%0.7%327.9K-3.7M-10.1K0.0424.18N/AN/A5121,783930
2013-04-12$37.40$36.0013.8%4.0%12.5%9.9%0.0%3.3%1.0%465.1K-3.7M-10.1K0.0050.21N/AN/A001,834930
2013-04-15$36.62$36.0015.5%4.4%14.6%12.8%0.0%5.1%-0.4%505.9K-1.8M-10.5K0.0023.35N/AN/A201,834930
2013-04-16$37.15$36.0014.8%4.2%15.0%11.5%0.0%4.8%-0.1%579.9K-3.2M-9.7K0.0024.92N/AN/A001,836910
2013-04-17$36.39$36.0018.0%5.2%16.8%17.1%0.0%5.7%-0.4%504.5K-1.3M-9.8K0.0229.34N/AN/A6511,836910
2013-04-18$36.30$36.0018.5%5.3%16.6%18.0%0.0%5.9%-0.9%503.9K-1.1M-9.3K0.0031.25N/AN/A1101,831911
2013-04-19$36.55$36.0014.2%4.1%16.5%10.6%0.0%5.4%0.7%489.3K-1.6M-8.9K0.0027.60N/AN/A001,827910
2013-04-22$36.73$36.0013.7%3.9%16.5%9.8%13.8%4.9%0.3%-65.0K65.8K-8.1K0.0822.01N/AN/A46336743871
2013-04-23$37.24$36.0014.0%4.0%16.4%10.1%14.0%4.8%0.5%114.3K-1.2M-8.7K0.0725.86N/AN/A1511,191900
2013-04-24$37.56$36.0012.8%3.7%16.6%8.1%14.2%4.9%-0.7%113.5K-1.6M-9.5K0.0027.72N/AN/A02481,206901
2013-04-25$37.77$37.0012.9%3.7%16.5%8.3%0.0%3.8%0.7%21.0K-1.5M-10.3K0.0021.15N/AN/A33001,2061,149
2013-04-26$37.79$37.0012.9%3.7%16.5%8.3%0.0%5.7%0.8%10.5K-961.4K-8.8K0.0025.07N/AN/A401,0411,149
2013-04-29$38.23$37.0013.8%3.9%16.0%9.8%0.0%3.7%0.8%-253-1.6M-8.1K0.0819.50N/AN/A3931,0451,149
2013-04-30$38.33$37.0014.3%4.1%15.7%10.7%0.0%5.1%0.3%12.7K-1.7M-8.0K0.0022.35N/AN/A001,0841,152