VEA Options History — November 2007 In November 2007, VEA traded between $48.14 and $51.48. ATM implied volatility averaged 65.2%. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 40.8% (HV 20d: 24.4%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days.
Notable Days 2007-11-15 : Largest IV drop — 70.9% change2007-11-02 : Largest Expected Move — 17.3%Monthly Statistics Metric Avg Min Max Open Close Price $49.85 $48.14 $51.48 $51.05 $50.39 ATM IV 65.2% 40.2% 138.3% 58.8% 50.9% Expected Move 12.5% 9.9% 17.3% 16.9% 14.6% HV 20d 24.4% 19.1% 29.9% 19.3% 28.2% HV 60d 21.1% 19.8% 22.1% 21.1% 21.8% Term Structure -16.6% -26.7% -11.5% -26.1% -16.6% Skew 25d 2.8% 0.7% 13.8% 10.3% 2.6% Skew 10d 12.8% 3.2% 20.8% 10.3% 20.8% Call IV 25d 58.0% 43.4% 68.4% 67.9% 68.3% Put IV 25d 60.7% 48.2% 82.2% 78.2% 70.9% Bid-Ask Spread % 176.02 171.33 196.77 196.77 174.01 Net GEX 0 0 0 0 0 Net DEX 0 0 0 0 0 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-11-01 $51.05 $0.00 58.8% 16.9% 19.3% 0.0% 0.0% 10.3% -26.1% 0 0 0 0.00 196.77 N/A N/A 0 0 0 0 2007-11-02 $51.35 $0.00 60.5% 17.3% 19.1% 0.0% 0.0% 13.8% -26.7% 0 0 0 0.00 195.59 N/A N/A 0 0 0 0 2007-11-05 $50.76 $0.00 68.0% 9.9% 19.2% 0.0% 0.0% 3.1% -15.3% 0 0 0 0.00 172.66 N/A N/A 0 0 0 0 2007-11-06 $51.48 $0.00 70.5% 9.9% 19.4% 0.0% 0.0% 4.8% -14.5% 0 0 0 0.00 171.33 N/A N/A 0 0 0 0 2007-11-07 $50.49 $0.00 75.4% 10.2% 20.6% 0.0% 0.0% 2.5% -15.0% 0 0 0 0.00 173.23 N/A N/A 0 0 0 0 2007-11-08 $50.83 $0.00 78.5% 10.2% 20.7% 0.0% 0.0% 3.3% -16.1% 0 0 0 0.00 172.66 N/A N/A 0 0 0 0 2007-11-09 $49.64 $0.00 85.0% 10.5% 22.2% 0.0% 0.0% 0.7% -17.1% 0 0 0 0.00 174.24 N/A N/A 0 0 0 0 2007-11-12 $48.85 $0.00 109.6% 11.1% 22.6% 0.0% 0.0% 0.8% -18.2% 0 0 0 0.00 174.21 N/A N/A 0 0 0 0 2007-11-13 $50.29 $0.00 119.5% 11.0% 24.7% 0.0% 0.0% 2.1% -17.5% 0 0 0 0.00 173.66 N/A N/A 0 0 0 0 2007-11-14 $50.11 $0.00 138.3% 11.2% 24.5% 0.0% 0.0% 1.6% -18.2% 0 0 0 0.00 173.73 N/A N/A 0 0 0 0 2007-11-15 $49.20 $0.00 40.2% 11.5% 25.2% 0.0% 0.0% 0.8% -18.8% 0 0 0 0.00 174.55 N/A N/A 0 0 0 0 2007-11-16 $49.39 $0.00 40.6% 11.6% 24.2% 0.0% 0.0% 0.8% -18.9% 0 0 0 0.00 174.43 N/A N/A 0 0 0 0 2007-11-19 $48.15 $0.00 43.5% 12.5% 25.8% 0.0% 0.0% 0.9% -11.5% 0 0 0 0.00 174.28 N/A N/A 0 0 0 0 2007-11-20 $49.14 $0.00 43.2% 12.4% 26.2% 0.0% 0.0% 0.9% -11.7% 0 0 0 0.00 174.64 N/A N/A 0 0 0 0 2007-11-21 $48.14 $0.00 44.9% 12.9% 27.0% 0.0% 0.0% 1.0% -12.4% 0 0 0 0.00 174.15 N/A N/A 0 0 0 0 2007-11-23 $49.18 $0.00 45.4% 13.0% 28.3% 0.0% 0.0% 0.9% -13.0% 0 0 0 0.00 174.55 N/A N/A 0 0 0 0 2007-11-26 $48.43 $0.00 48.8% 14.0% 27.6% 0.0% 0.0% 1.0% -14.4% 0 0 0 0.00 174.83 N/A N/A 0 0 0 0 2007-11-27 $49.25 $0.00 48.8% 14.0% 28.2% 0.0% 0.0% 1.0% -15.0% 0 0 0 0.00 174.77 N/A N/A 0 0 0 0 2007-11-28 $50.53 $0.00 48.2% 13.8% 29.9% 0.0% 0.0% 2.9% -16.3% 0 0 0 0.00 174.11 N/A N/A 0 0 0 0 2007-11-29 $50.21 $0.00 49.9% 14.3% 29.4% 0.0% 0.0% 2.0% -16.2% 0 0 0 0.00 174.00 N/A N/A 0 0 0 0 2007-11-30 $50.39 $0.00 50.9% 14.6% 28.2% 0.0% 0.0% 2.6% -16.6% 0 0 0 0.00 174.01 N/A N/A 0 0 0 0
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