VEA Options History — August 2013

In August 2013, VEA traded between $36.85 and $38.53. ATM implied volatility averaged 13.9%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.2% (HV 20d: 10.7%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 15.01.

Notable Days

  • 2013-08-20: Highest Volume — 605 contracts
  • 2013-08-15: Largest IV spike — 30.2% change
  • 2013-08-29: Highest IV Rank — 53.6%
  • 2013-08-29: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.96$36.85$38.53$37.97$36.85
Max Pain$37.59$37.00$38.00$38.00$38.00
ATM IV13.9%10.8%16.9%13.4%16.5%
Expected Move4.1%3.3%4.8%3.8%4.7%
HV 20d10.7%8.5%12.7%12.0%11.7%
HV 60d17.5%16.8%17.7%17.7%16.9%
IV Rank35.2%16.9%53.6%32.1%51.4%
IV Percentile38.7%4.4%75.0%31.3%71.4%
Term Structure0.3%-3.5%2.2%0.5%-1.1%
VWIV15.0%11.4%18.5%13.4%16.3%
Skew 25d4.6%2.6%6.3%5.7%3.4%
Skew 10d10.5%4.5%13.8%4.5%11.4%
Call IV 25d12.1%9.4%15.6%10.3%15.6%
Put IV 25d16.7%14.6%19.2%16.0%19.0%
Bid-Ask Spread %44.9322.9397.1334.0622.93
Gamma HHI0.310.220.540.240.30
Net GEX12.5K-61.9K183.6K-57.0K-42.6K
Net DEX-451.8K-1.2M532.1K-262.8K532.1K
Net VEX-6.6K-8.8K-5.1K-6.8K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.010.00183.336.670.75
Total Volume66.6360605237
Total OI1,580.6361,0682,0421,4232,042

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$37.97$38.0013.4%3.8%12.0%32.1%13.4%5.7%0.5%-57.0K-262.8K-6.8K6.6734.06N/AN/A320582841
2013-08-02$38.27$38.0011.6%3.3%12.2%21.7%11.4%2.6%2.2%-31.6K-514.8K-6.4K0.0025.50N/AN/A40582828
2013-08-05$38.23$37.0011.8%3.8%12.2%22.7%13.9%4.1%1.7%-61.9K-584.9K-5.6K0.5053.53N/AN/A2010583828
2013-08-06$38.15$37.0012.6%4.0%12.3%27.4%15.1%4.3%1.5%-52.7K-514.6K-6.0K0.0047.73N/AN/A07599834
2013-08-07$37.93$37.0013.4%3.9%12.6%32.3%14.1%4.8%-1.9%-54.7K-378.0K-6.2K0.0048.84N/AN/A30599839
2013-08-08$38.27$37.0013.2%4.2%9.0%31.4%0.0%5.3%1.1%-24.5K-584.5K-5.9K0.0049.05N/AN/A10602839
2013-08-09$38.29$37.0010.8%3.8%8.6%16.9%16.3%5.5%1.6%-10.1K-676.7K-5.7K0.0047.80N/AN/A08603839
2013-08-12$38.23$37.0012.9%4.1%8.5%29.5%14.3%5.2%1.7%-2.5K-638.5K-5.5K0.0051.67N/AN/A033603836
2013-08-13$38.52$37.0013.2%3.6%8.7%31.1%0.0%6.3%2.1%952-826.5K-5.3K0.0044.19N/AN/A00603869
2013-08-14$38.53$37.0011.4%3.5%8.7%20.3%0.0%3.4%2.1%12.7K-896.8K-5.3K0.0024.04N/AN/A00603869
2013-08-15$38.20$37.0014.9%4.3%9.2%41.4%14.5%5.5%-3.5%-15.8K-694.8K-5.1K0.8343.62N/AN/A2420580858
2013-08-16$38.27$38.0013.9%4.0%9.2%35.3%0.0%4.8%1.1%-13.7K-625.1K-5.4K0.0039.93N/AN/A10603878
2013-08-19$38.00$38.0014.2%4.1%9.4%37.5%0.0%3.8%0.6%19.0K-397.9K-5.1K0.0041.22N/AN/A039538530
2013-08-20$37.94$38.0014.2%4.1%9.5%37.2%14.3%4.8%-0.2%8.9K-295.1K-5.3K0.0097.13N/AN/A6050538569
2013-08-21$37.49$38.0016.0%4.6%10.4%48.4%18.5%4.6%-1.5%145.7K-570.9K-7.7K2.0025.90N/AN/A5101,143569
2013-08-22$37.88$38.0013.2%3.8%11.1%31.2%15.8%4.0%0.7%172.8K-804.5K-7.9K0.6778.28N/AN/A961,143579
2013-08-23$38.21$38.0013.6%3.9%11.3%33.5%17.9%4.6%0.6%183.6K-1.2M-8.5K183.3324.13N/AN/A35501,143581
2013-08-26$37.96$38.0013.9%4.0%11.0%35.4%14.0%3.6%-0.1%93.9K-703.6K-8.8K0.0034.10N/AN/A0301,146854
2013-08-27$37.32$38.0016.7%4.8%12.7%52.7%0.0%4.1%-1.0%13.3K95.7K-8.2K0.0033.45N/AN/A001,146884
2013-08-28$37.28$38.0016.5%4.7%12.7%51.4%14.5%5.6%-0.9%-8.8K342.0K-7.4K0.3238.99N/AN/A2581,146884
2013-08-29$37.28$38.0016.9%4.8%11.6%53.6%15.7%6.0%-1.0%-946221.9K-8.2K0.0082.46N/AN/A0151,147892
2013-08-30$36.85$38.0016.5%4.7%11.7%51.4%16.3%3.4%-1.1%-42.6K532.1K-7.9K0.7522.93N/AN/A431,147895