VEA Options History — October 2013

In October 2013, VEA traded between $38.97 and $41.48. ATM implied volatility averaged 13.9%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.4% (HV 20d: 12.5%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 3.18.

Notable Days

  • 2013-10-30: Highest Volume — 313 contracts
  • 2013-10-07: Largest IV spike — 38.4% change
  • 2013-10-08: Highest IV Rank — 80.7%
  • 2013-10-08: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.37$38.97$41.48$39.81$40.85
Max Pain$39.96$39.00$41.00$39.00$41.00
ATM IV13.9%11.4%19.4%14.2%11.9%
Expected Move4.0%3.3%5.4%4.1%3.4%
HV 20d12.5%10.9%14.2%13.0%12.0%
HV 60d12.8%12.0%13.2%13.1%13.0%
IV Rank43.1%25.5%80.7%45.1%29.3%
IV Percentile40.7%8.7%94.4%47.2%15.5%
Term Structure0.0%-3.0%1.7%0.6%1.7%
VWIV14.3%9.5%24.7%18.8%15.6%
Skew 25d4.6%2.2%7.6%7.1%2.2%
Skew 10d9.8%0.3%17.4%8.1%0.3%
Call IV 25d12.2%9.9%16.4%10.1%12.0%
Put IV 25d16.8%13.2%22.3%17.2%14.3%
Bid-Ask Spread %24.7611.6342.5222.0012.46
Gamma HHI0.380.280.790.360.28
Net GEX217.6K92.3K597.3K190.9K92.3K
Net DEX-1.9M-3.3M-1.0M-2.1M-1.1M
Net VEX-5.6K-7.7K-4.1K-7.7K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.180.0027.451.0027.45
Total Volume33.652031300
Total OI1,446.4788201,8431,7511,336

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$39.81$39.0014.2%4.1%13.0%45.1%0.0%7.1%0.6%190.9K-2.1M-7.7K0.0022.00N/AN/A001,211540
2013-10-02$39.77$39.0014.5%4.2%12.8%47.1%0.0%7.3%0.6%182.6K-2.0M-7.6K1.0022.05N/AN/A331,211540
2013-10-03$39.52$39.0014.4%4.1%13.2%46.3%18.8%7.6%1.1%182.2K-1.7M-7.6K2.8023.08N/AN/A5141,214543
2013-10-04$39.63$40.0013.8%4.3%13.1%42.2%0.0%5.6%1.2%188.5K-1.8M-7.4K2.5038.44N/AN/A251,219548
2013-10-07$39.23$40.0019.1%5.2%13.0%78.7%0.0%5.7%-1.3%178.4K-1.3M-7.2K0.0042.16N/AN/A081,221550
2013-10-08$38.97$40.0019.4%5.4%12.7%80.7%0.0%5.9%-1.0%164.4K-1.0M-7.0K0.0033.62N/AN/A021,221546
2013-10-09$39.10$40.0018.3%5.3%12.7%73.4%9.5%6.1%0.3%179.5K-1.1M-6.8K0.8024.26N/AN/A20161,221548
2013-10-10$39.83$40.0015.5%4.4%14.1%53.6%15.4%5.8%-0.2%208.6K-2.2M-6.6K0.0042.52N/AN/A801,241564
2013-10-11$40.05$40.0014.4%4.1%14.2%46.4%14.4%4.2%-0.6%222.6K-2.6M-6.1K0.0034.50N/AN/A2001,249564
2013-10-14$40.17$40.0015.0%4.3%13.9%50.5%0.0%5.2%-0.5%241.0K-2.9M-5.5K0.0035.22N/AN/A1201,269564
2013-10-15$39.96$40.0015.3%4.4%14.1%52.6%24.7%5.7%-0.9%228.5K-2.5M-5.7K0.4231.78N/AN/A1251,279564
2013-10-16$40.30$40.0013.7%3.9%10.9%41.5%0.0%5.0%-0.6%180.1K-3.3M-4.6K0.0032.43N/AN/A041,277566
2013-10-17$40.79$40.0011.6%3.3%11.6%26.6%11.5%3.7%0.4%333.2K-2.2M-4.5K1.0026.08N/AN/A55904537
2013-10-18$41.03$40.0011.9%3.4%11.3%29.0%0.0%2.6%0.2%597.3K-2.5M-4.4K3.3316.57N/AN/A310908537
2013-10-21$41.09$40.0011.4%3.3%11.2%25.5%12.2%2.2%1.1%169.4K-1.6M-4.1K2.3614.70N/AN/A1126651169
2013-10-22$41.48$40.0012.6%3.6%11.4%33.5%11.4%4.4%0.3%150.0K-1.8M-4.1K0.0314.98N/AN/A1595662192
2013-10-23$41.03$40.0012.8%3.7%12.3%35.2%0.0%3.3%-3.0%197.3K-1.8M-4.2K0.3024.68N/AN/A103766191
2013-10-24$41.31$40.0012.1%3.5%12.4%30.1%0.0%4.7%0.4%219.7K-1.8M-4.5K14.0011.63N/AN/A114776194
2013-10-25$41.20$40.0012.3%3.5%12.5%31.6%0.0%2.7%-0.4%215.8K-1.7M-4.4K0.0017.73N/AN/A40777206
2013-10-28$41.14$40.0012.3%3.5%12.0%31.7%12.4%3.0%-0.1%224.2K-1.8M-4.1K0.2212.79N/AN/A235777206
2013-10-29$41.21$40.0011.8%3.4%12.0%28.4%11.6%2.7%1.1%240.1K-1.8M-4.1K1.1119.15N/AN/A1820776211
2013-10-30$41.12$41.0012.3%3.5%12.0%31.7%15.6%3.5%0.0%218.4K-1.6M-4.3K27.4516.60N/AN/A11302792231
2013-10-31$40.85$41.0011.9%3.4%12.0%29.3%0.0%2.2%1.7%92.3K-1.1M-5.2K0.0012.46N/AN/A00803533