VEA Options History — June 2013

In June 2013, VEA traded between $34.64 and $37.74. ATM implied volatility averaged 17.7%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.0% (HV 20d: 18.7%). Max pain ranged from $36.00 to $41.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.69.

Notable Days

  • 2013-06-24: Highest Volume — 1,573 contracts
  • 2013-06-20: Largest IV spike — 34.8% change
  • 2013-06-24: Highest IV Rank — 23.9%
  • 2013-06-24: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.57$34.64$37.74$37.44$35.60
Max Pain$38.55$36.00$41.00$39.00$36.00
ATM IV17.7%14.3%21.9%17.8%16.5%
Expected Move5.1%4.1%6.3%5.1%4.7%
HV 20d18.7%13.0%25.6%13.0%24.7%
HV 60d16.0%13.8%18.7%13.8%18.6%
IV Rank16.6%10.7%23.9%16.8%14.6%
IV Percentile65.2%36.5%91.3%63.9%57.9%
Term Structure-0.2%-2.3%1.2%-0.3%1.2%
VWIV18.3%14.2%23.4%16.3%16.8%
Skew 25d5.7%3.6%8.9%4.4%5.1%
Skew 10d13.6%9.5%18.2%11.8%12.1%
Call IV 25d16.4%14.5%19.6%16.7%15.8%
Put IV 25d22.0%19.5%28.5%21.1%20.9%
Bid-Ask Spread %36.1322.9848.2042.2636.58
Gamma HHI0.420.210.890.420.23
Net GEX-224.8K-728.3K-81.3K-165.5K-128.9K
Net DEX2.2M839.7K4.2M1.6M2.0M
Net VEX-5.6K-10.5K-2.6K-6.0K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.0017.6317.630.00
Total Volume226.301,57329814
Total OI2,309.21,6543,2211,8593,171

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$37.44$39.0017.8%5.1%13.0%16.8%16.3%4.4%-0.3%-165.5K1.6M-6.0K0.0042.26N/AN/A02985581,301
2013-06-04$37.52$39.0016.2%4.6%13.1%14.0%19.1%3.6%-0.8%-100.3K1.3M-5.0K17.6331.69N/AN/A162825581,150
2013-06-05$36.68$39.0018.5%5.3%15.0%18.0%0.0%4.0%-0.9%-235.9K2.5M-5.6K0.0037.02N/AN/A065741,432
2013-06-06$36.89$39.0018.2%5.2%14.5%17.4%18.3%5.2%-1.0%-229.7K2.4M-5.4K1.0028.21N/AN/A115741,438
2013-06-07$37.32$41.0016.8%4.9%15.2%15.1%0.0%5.9%0.1%-227.1K1.8M-5.2K0.0047.11N/AN/A005751,439
2013-06-10$37.34$41.0016.9%5.0%15.2%15.2%0.0%4.8%-0.1%-238.4K1.8M-4.6K0.0046.50N/AN/A405751,439
2013-06-11$36.87$41.0018.4%5.0%15.6%17.8%0.0%6.4%0.2%-277.0K2.4M-4.5K0.0022.98N/AN/A0155791,439
2013-06-12$36.85$41.0019.3%5.3%15.5%19.4%18.0%5.8%-0.6%-289.2K2.3M-4.5K0.0036.70N/AN/A5005791,439
2013-06-13$37.42$41.0017.4%5.0%16.6%16.0%15.1%5.5%0.2%-233.3K1.7M-4.4K0.0042.26N/AN/A15206051,439
2013-06-14$36.98$38.0017.0%4.9%16.9%15.4%19.5%6.6%0.8%-281.7K2.1M-4.5K0.1343.18N/AN/A1627551,439
2013-06-17$37.51$38.0014.3%4.1%17.5%10.7%14.4%6.4%0.2%-169.5K1.2M-4.5K0.0142.09N/AN/A15727631,441
2013-06-18$37.74$38.0015.7%4.5%17.5%13.2%0.0%5.7%1.2%-81.3K839.7K-4.9K0.0048.20N/AN/A4008821,443
2013-06-19$37.05$38.0015.0%4.3%18.4%11.9%14.2%6.5%-2.3%-280.9K1.8M-4.0K0.0033.07N/AN/A22008921,443
2013-06-20$35.67$38.0020.2%5.8%22.2%21.0%20.8%8.7%-0.9%-355.7K4.0M-2.9K1.4032.31N/AN/A10141,0521,443
2013-06-21$35.79$38.0018.1%5.2%22.0%17.2%17.1%3.7%0.5%-728.3K4.2M-2.6K0.0031.64N/AN/A01,5521,0491,456
2013-06-24$34.64$38.0021.9%6.3%24.3%23.9%21.3%8.9%-1.1%-99.7K2.6M-3.8K1.1526.83N/AN/A730843682972
2013-06-25$35.14$36.0019.7%5.7%25.1%20.1%22.7%5.8%-0.5%-123.8K3.1M-9.8K0.0035.46N/AN/A021,4071,812
2013-06-26$35.30$36.0019.2%5.5%25.2%19.1%23.4%5.8%-0.4%-128.3K3.0M-9.8K0.6623.10N/AN/A58381,4071,814
2013-06-27$35.68$36.0016.4%4.7%25.6%14.3%16.8%4.4%0.5%-122.2K1.9M-10.5K0.0035.42N/AN/A301,4401,728
2013-06-28$35.60$36.0016.5%4.7%24.7%14.6%0.0%5.1%1.2%-128.9K2.0M-10.2K0.0036.58N/AN/A0141,4431,728