VEA Options History — July 2013

In July 2013, VEA traded between $35.77 and $37.93. ATM implied volatility averaged 14.8%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 4.6% (HV 20d: 19.4%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 9.23.

Notable Days

  • 2013-07-29: Highest Volume — 271 contracts
  • 2013-07-29: Largest IV spike — 22.2% change
  • 2013-07-30: Highest IV Rank — 44.0%
  • 2013-07-08: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.10$35.77$37.93$35.96$37.45
Max Pain$37.14$36.00$38.00$36.00$38.00
ATM IV14.8%11.9%17.1%16.0%15.0%
Expected Move4.3%3.4%5.0%4.6%4.3%
HV 20d19.4%11.2%25.1%24.9%11.4%
HV 60d18.1%17.5%18.7%18.7%17.5%
IV Rank17.7%6.8%44.0%13.7%42.1%
IV Percentile44.0%11.9%63.1%56.0%47.2%
Term Structure1.1%0.1%2.2%1.1%0.5%
VWIV15.5%11.9%19.8%17.5%14.7%
Skew 25d4.1%2.1%5.8%3.1%4.4%
Skew 10d10.0%5.3%14.4%14.3%7.5%
Call IV 25d13.7%10.5%16.5%16.2%12.1%
Put IV 25d17.8%14.1%21.5%19.3%16.6%
Bid-Ask Spread %30.7519.6142.9731.5428.45
Gamma HHI0.330.230.590.240.26
Net GEX-27.0K-165.7K393.0K-116.9K-83.9K
Net DEX-415.5K-2.8M1.9M1.4M203.5K
Net VEX-7.0K-10.3K-5.0K-10.3K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.230.0053.201.8910.33
Total Volume40.90902714234
Total OI2,491.3189183,3253,1851,400

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$35.96$36.0016.0%4.6%24.9%13.7%17.5%3.1%1.1%-116.9K1.4M-10.3K0.0031.54N/AN/A0421,4431,742
2013-07-02$35.78$36.0017.1%4.9%24.9%15.5%0.0%5.1%0.6%-149.3K1.9M-9.8K0.0025.87N/AN/A011,4431,784
2013-07-03$35.77$36.0016.7%4.8%23.7%14.9%0.0%5.1%1.2%-142.6K1.9M-9.8K0.0032.47N/AN/A001,4431,785
2013-07-05$35.92$37.0016.3%4.9%23.7%14.1%19.8%5.8%0.8%-146.3K1.5M-9.3K0.0027.69N/AN/A051,4431,785
2013-07-08$36.11$37.0016.6%5.0%23.3%14.8%17.0%5.6%0.7%-143.6K1.1M-8.7K1.8940.29N/AN/A9171,4431,786
2013-07-09$36.33$37.0016.0%4.9%23.5%13.7%0.0%4.4%0.1%-134.1K491.5K-8.6K9.5040.33N/AN/A2191,4481,789
2013-07-10$36.40$37.0015.4%4.7%23.1%12.7%15.5%4.8%0.9%-165.7K344.0K-8.0K9.0036.25N/AN/A4361,4501,808
2013-07-11$37.40$37.0015.5%4.4%25.1%12.8%0.0%3.9%0.9%29.4K-2.0M-7.0K30.0035.80N/AN/A1301,4541,823
2013-07-12$37.19$37.0015.8%4.5%24.6%13.3%0.0%3.9%0.8%-48.3K-1.6M-7.3K0.3324.98N/AN/A311,4551,832
2013-07-15$37.41$37.0015.3%4.4%24.3%12.4%15.4%3.5%0.8%-33.9K-2.3M-5.4K0.0030.98N/AN/A2501,4551,832
2013-07-16$37.36$37.0016.1%4.6%23.8%13.9%18.8%3.1%0.9%-19.4K-2.1M-5.7K0.0019.61N/AN/A0161,4801,832
2013-07-17$37.50$37.0015.5%4.4%23.7%12.7%0.0%3.0%1.4%32.4K-2.4M-5.2K0.0020.17N/AN/A3001,4801,845
2013-07-18$37.72$37.0013.6%3.9%22.8%9.4%0.0%2.9%1.2%393.0K-2.8M-5.0K0.0023.87N/AN/A1701,4541,823
2013-07-19$37.68$37.0012.8%3.7%17.6%8.2%14.8%3.5%2.1%289.4K-2.8M-5.0K0.2025.41N/AN/A64131,4641,823
2013-07-22$37.88$37.0012.6%3.6%17.6%7.8%0.0%3.4%1.5%-5.3K-416.3K-5.1K0.2329.75N/AN/A7818475443
2013-07-23$37.93$37.0011.9%3.4%11.7%6.8%11.9%3.0%2.2%829-516.8K-5.5K1.0429.34N/AN/A5456525461
2013-07-24$37.89$38.0012.8%3.7%11.2%11.3%12.8%2.1%1.1%-1.0K-506.7K-5.9K18.0036.91N/AN/A236571517
2013-07-25$37.93$38.0012.4%3.6%11.3%25.8%12.3%2.7%2.2%-10.5K-453.4K-6.0K6.0038.98N/AN/A16573545
2013-07-26$37.72$38.0012.5%3.6%11.4%26.8%0.0%5.5%1.4%-20.6K-278.8K-6.0K8.0042.97N/AN/A18574551
2013-07-29$37.39$38.0015.2%4.4%12.0%43.7%0.0%5.3%0.5%-36.3K-52.9K-5.8K53.2026.81N/AN/A5266575555
2013-07-30$37.38$38.0015.3%4.4%11.7%44.0%0.0%5.2%0.2%-82.0K247.6K-6.9K0.0028.01N/AN/A00579821
2013-07-31$37.45$38.0015.0%4.3%11.4%42.1%14.7%4.4%0.5%-83.9K203.5K-6.9K10.3328.45N/AN/A331579821