VEA Options History — December 2013

In December 2013, VEA traded between $39.76 and $41.68. ATM implied volatility averaged 11.6%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.6% (HV 20d: 9.9%). Max pain ranged from $40.00 to $51.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2013-12-30: Highest Volume — 609 contracts
  • 2013-12-11: Largest IV spike — 137.6% change
  • 2013-12-09: Highest IV Rank — 61.4%
  • 2013-12-05: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.57$39.76$41.68$40.84$41.68
Max Pain$43.19$40.00$51.00$40.00$41.00
ATM IV11.6%6.1%16.4%12.0%11.3%
Expected Move3.2%2.2%4.4%3.4%3.2%
HV 20d9.9%8.6%11.1%10.3%10.7%
HV 60d11.2%10.5%11.8%11.8%10.9%
IV Rank32.8%0.0%61.4%30.3%32.9%
IV Percentile25.0%0.0%87.3%20.6%14.7%
Term Structure0.2%-8.1%4.6%-1.5%0.9%
VWIV10.7%6.8%14.9%12.5%10.4%
Skew 25d4.2%-0.6%7.4%3.9%5.4%
Skew 10d8.0%2.9%12.0%6.0%7.3%
Call IV 25d10.2%6.5%14.6%9.3%9.6%
Put IV 25d14.5%11.6%18.0%13.2%15.0%
Bid-Ask Spread %23.1411.6632.8520.2114.69
Gamma HHI0.460.270.780.410.78
Net GEX-26.8K-227.0K415.7K-36.5K415.7K
Net DEX-459.7K-2.4M724.2K-915.5K-2.4M
Net VEX-5.1K-6.9K-3.6K-5.2K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.005.950.500.05
Total Volume75.5244609945
Total OI1,353.1436401,7061,4001,417

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$40.84$40.0012.0%3.4%10.3%30.3%12.5%3.9%-1.5%-36.5K-915.5K-5.2K0.5020.21N/AN/A63702698
2013-12-03$40.51$40.0012.3%3.5%10.6%32.5%0.0%2.9%-1.2%-53.3K-528.8K-5.5K0.4018.31N/AN/A4217699698
2013-12-04$40.28$40.007.7%2.2%10.3%0.0%0.0%7.4%4.6%-111.2K-795.3K-5.1K1.5422.46N/AN/A1320741715
2013-12-05$40.06$40.0015.4%4.4%9.8%53.9%0.0%2.7%-1.7%-89.6K-40.3K-5.6K0.0023.89N/AN/A40754735
2013-12-06$40.55$40.0015.6%3.1%8.9%55.8%0.0%4.4%0.9%-42.7K-292.7K-6.1K0.0032.41N/AN/A010758735
2013-12-09$40.56$40.0016.4%3.0%8.6%61.4%0.0%5.7%1.6%-44.4K-317.7K-5.7K0.0029.26N/AN/A130758745
2013-12-10$40.43$40.006.1%3.3%8.7%0.0%0.0%5.3%-2.1%-117.4K-933.9K-4.5K0.2032.85N/AN/A102771745
2013-12-11$40.10$40.0014.6%2.6%9.2%53.6%6.8%5.1%-0.3%-116.5K-235.0K-5.2K1.3531.45N/AN/A2027781745
2013-12-12$39.80$40.0011.6%3.3%9.4%34.6%0.0%3.7%2.6%-110.4K332.8K-5.3K5.9525.64N/AN/A21125801772
2013-12-13$39.76$51.0012.2%3.5%9.2%38.2%0.0%4.7%2.5%-103.8K724.2K-5.2K0.0025.79N/AN/A170811895
2013-12-16$40.05$51.0011.7%3.4%8.9%35.2%0.0%5.4%-1.9%-95.3K383.3K-4.8K2.7028.67N/AN/A37100811895
2013-12-17$39.90$51.0011.9%3.4%9.0%36.4%14.9%4.0%-0.0%-92.8K661.6K-4.6K0.0026.79N/AN/A012806845
2013-12-18$40.49$51.0011.9%3.4%10.6%36.7%8.2%-0.6%-8.1%-14.2K394.9K-4.8K1.1531.01N/AN/A2023806857
2013-12-19$40.47$51.0011.3%3.2%10.3%32.9%11.3%3.0%2.3%-94.9K-14.1K-4.6K0.0520.92N/AN/A1106779864
2013-12-20$40.47$47.0011.7%3.4%10.1%35.5%12.1%4.4%-1.2%-227.0K243.4K-4.6K3.0026.52N/AN/A13623867
2013-12-23$40.87$40.009.6%2.8%10.7%22.1%9.6%4.4%1.6%42.2K-833.7K-4.2K0.1115.34N/AN/A12313433207
2013-12-24$40.94$41.009.6%2.8%10.6%21.9%0.0%4.4%1.9%80.2K-1.1M-5.2K0.0014.05N/AN/A40556220
2013-12-26$41.18$41.009.6%2.7%10.8%21.8%0.0%6.0%1.7%85.7K-1.2M-4.9K0.0311.66N/AN/A1003560220
2013-12-27$41.39$41.0010.4%3.0%10.9%27.1%10.1%3.1%1.2%83.4K-1.4M-3.6K5.7517.25N/AN/A423560223
2013-12-30$41.61$41.0010.2%2.9%11.1%25.9%10.4%3.9%1.0%80.5K-1.4M-4.8K0.0916.86N/AN/A55950564244
2013-12-31$41.68$41.0011.3%3.2%10.7%32.9%0.0%5.4%0.9%415.7K-2.4M-6.9K0.0514.69N/AN/A4321,123294