VEA Options History — May 2013

In May 2013, VEA traded between $37.19 and $39.27. ATM implied volatility averaged 13.4%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.3% (HV 20d: 13.1%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 5.99.

Notable Days

  • 2013-05-21: Highest Volume — 266 contracts
  • 2013-05-03: Largest IV drop — 21.0% change
  • 2013-05-31: Highest IV Rank — 16.7%
  • 2013-05-31: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.53$37.19$39.27$38.04$37.19
Max Pain$38.18$37.00$39.00$37.00$39.00
ATM IV13.4%11.0%17.7%14.5%17.7%
Expected Move3.9%3.1%5.1%4.2%5.1%
HV 20d13.1%9.7%16.1%15.9%13.6%
HV 60d13.8%12.6%14.5%14.2%13.7%
IV Rank9.1%5.0%16.7%11.0%16.7%
IV Percentile26.6%4.8%62.3%31.3%62.3%
Term Structure0.3%-1.8%2.6%-0.2%-0.4%
VWIV14.7%12.3%20.9%13.3%20.9%
Skew 25d3.6%2.8%5.1%4.0%5.1%
Skew 10d9.9%1.7%16.4%8.9%16.4%
Call IV 25d12.6%10.5%15.1%13.6%14.3%
Put IV 25d16.2%13.3%19.4%17.5%19.4%
Bid-Ask Spread %38.7214.6158.9918.5235.57
Gamma HHI0.280.200.500.250.50
Net GEX-36.5K-172.7K34.6K18.3K-172.7K
Net DEX-998.5K-2.9M2.0M-1.4M2.0M
Net VEX-6.5K-8.9K-4.8K-8.6K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.990.0065.500.250.13
Total Volume27.1360266518
Total OI2,070.2271,4712,3512,2361,852

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$38.04$37.0014.5%4.2%15.9%11.0%13.3%4.0%-0.2%18.3K-1.4M-8.6K0.2518.52N/AN/A411,0841,152
2013-05-02$38.16$37.0013.9%4.0%15.8%10.0%0.0%4.2%0.5%20.7K-1.5M-8.9K0.0317.85N/AN/A6021,0881,152
2013-05-03$38.62$37.0011.0%3.1%15.9%5.0%0.0%2.8%1.5%23.1K-2.3M-7.3K0.1014.61N/AN/A1011,1481,154
2013-05-06$38.59$38.0011.5%3.6%16.0%5.8%0.0%4.0%1.4%31.6K-2.2M-7.4K0.0051.46N/AN/A071,1581,155
2013-05-07$38.69$38.0011.3%3.5%16.0%5.5%0.0%3.3%-1.0%34.6K-2.5M-6.8K0.0044.33N/AN/A001,1581,162
2013-05-08$39.09$38.0011.5%3.7%15.7%5.9%14.2%3.0%1.2%10.5K-2.9M-5.8K5.0042.04N/AN/A2101,1581,162
2013-05-09$38.72$38.0012.6%3.7%16.1%7.7%15.9%3.9%1.6%19.4K-2.3M-7.0K8.3347.85N/AN/A3251,1401,172
2013-05-10$38.74$38.0011.7%3.8%16.1%6.2%0.0%4.2%-1.3%11.6K-2.4M-7.1K0.0047.85N/AN/A0201,1391,192
2013-05-13$38.74$38.0013.3%3.9%13.6%9.0%0.0%3.5%-1.7%4.5K-2.4M-6.6K0.0058.99N/AN/A001,1391,212
2013-05-14$38.88$38.0012.6%3.9%13.0%7.8%0.0%3.6%-1.6%-6.4K-2.5M-6.5K0.0042.28N/AN/A001,1391,212
2013-05-15$39.01$38.0013.2%3.7%9.7%8.9%0.0%3.7%-1.8%-3.3K-2.7M-5.9K0.0046.90N/AN/A401,1391,212
2013-05-16$38.69$38.0012.9%3.7%10.4%8.4%14.3%3.2%1.7%-13.7K-1.8M-5.7K1.5031.30N/AN/A10159721,210
2013-05-17$39.01$38.0012.3%3.5%10.4%7.2%12.3%3.6%2.6%225-2.0M-5.5K0.0038.70N/AN/A309821,225
2013-05-20$39.21$38.0012.7%3.6%10.4%7.9%14.2%3.0%1.2%4.1K-501.3K-4.8K0.0031.84N/AN/A059534937
2013-05-21$39.27$38.0012.7%3.6%9.7%8.0%14.2%3.5%1.3%-4.4K-491.8K-4.8K65.5046.73N/AN/A4262534996
2013-05-22$38.92$39.0013.2%3.8%10.3%8.8%12.8%2.8%0.7%-95.8K244.9K-6.4K0.0030.95N/AN/A2105351,258
2013-05-23$38.33$39.0014.9%4.3%11.8%11.7%0.0%3.2%0.3%-121.2K720.9K-6.4K0.5053.49N/AN/A215411,258
2013-05-24$38.03$39.0015.5%4.4%12.2%12.8%0.0%4.1%-0.1%-128.7K1.1M-6.7K0.0035.72N/AN/A0205401,259
2013-05-28$38.10$39.0015.0%4.3%11.4%12.0%0.0%4.2%0.4%-138.9K1.1M-6.2K0.0038.50N/AN/A005401,279
2013-05-29$37.77$39.0015.3%4.4%11.8%12.4%0.0%3.6%-0.1%-147.3K1.4M-6.2K2.5033.21N/AN/A8205401,279
2013-05-30$37.95$39.0015.1%4.3%11.6%12.1%0.0%3.8%0.0%-148.5K1.2M-6.2K0.0043.21N/AN/A505481,299
2013-05-31$37.19$39.0017.7%5.1%13.6%16.7%20.9%5.1%-0.4%-172.7K2.0M-5.6K0.1335.57N/AN/A1625531,299