VEA Options History — January 2008

Name: VEA Options Analytics - January 2008
Creator: Options Analysis Suite

In January 2008, VEA traded between $42.38 and $47.89. ATM implied volatility averaged 57.4%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 35.4% (HV 20d: 22.0%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

2008-01-28: Largest IV spike — 52.6% change
2008-01-31: Highest IV Rank — 30.4%
2008-01-31: Largest Expected Move — 19.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.16	$42.38	$47.89	$47.81	$44.38
ATM IV	57.4%	41.1%	80.9%	60.8%	67.8%
Expected Move	14.5%	11.2%	19.5%	17.4%	19.5%
HV 20d	22.0%	19.6%	24.6%	22.1%	24.6%
HV 60d	24.0%	23.0%	25.1%	23.0%	24.7%
IV Rank	24.7%	14.3%	30.4%	14.3%	30.4%
IV Percentile	63.1%	32.5%	78.9%	32.5%	78.9%
Term Structure	-18.2%	-29.4%	-10.4%	-24.1%	-28.9%
Skew 25d	-9.3%	-23.9%	3.5%	-16.7%	1.7%
Skew 10d	-13.6%	-35.4%	0.4%	-17.7%	0.4%
Call IV 25d	67.1%	21.1%	92.7%	83.3%	92.7%
Put IV 25d	57.7%	24.6%	94.4%	66.6%	94.4%
Bid-Ask Spread %	174.61	118.46	191.16	184.13	176.35
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 (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	Spread %	Call Wall	Put Wall
2008-01-02	$47.81	$0.00	60.8%	17.4%	22.1%	0.0%	0.0%	-16.7%	-24.1%	184.13	N/A	N/A
2008-01-03	$47.89	$0.00	62.6%	17.9%	22.1%	0.0%	0.0%	-16.6%	-25.4%	184.87	N/A	N/A
2008-01-04	$46.84	$0.00	66.0%	11.2%	22.3%	0.0%	0.0%	-3.6%	-10.4%	190.96	N/A	N/A
2008-01-07	$46.90	$0.00	73.8%	11.6%	21.9%	0.0%	0.0%	-3.4%	-11.2%	191.16	N/A	N/A
2008-01-08	$46.52	$0.00	77.3%	11.8%	21.9%	0.0%	0.0%	-6.1%	-12.0%	189.62	N/A	N/A
2008-01-09	$46.82	$0.00	80.9%	11.9%	21.7%	0.0%	0.0%	-4.1%	-12.0%	190.96	N/A	N/A
2008-01-10	$46.77	$0.00	42.1%	12.1%	20.4%	0.0%	0.0%	-4.5%	-12.4%	190.75	N/A	N/A
2008-01-11	$45.96	$0.00	43.5%	12.5%	19.6%	0.0%	0.0%	-10.9%	-12.8%	184.87	N/A	N/A
2008-01-14	$46.70	$0.00	44.6%	12.8%	20.4%	0.0%	0.0%	-5.5%	-14.2%	190.56	N/A	N/A
2008-01-15	$45.23	$0.00	47.0%	13.5%	21.2%	0.0%	0.0%	-15.6%	-14.4%	179.02	N/A	N/A
2008-01-16	$44.30	$0.00	48.2%	13.8%	21.1%	0.0%	0.0%	-21.4%	-19.4%	170.37	N/A	N/A
2008-01-17	$43.55	$0.00	50.0%	14.3%	20.9%	0.0%	0.0%	-20.6%	-17.0%	168.49	N/A	N/A
2008-01-18	$43.71	$0.00	50.8%	14.6%	21.1%	0.0%	0.0%	-14.4%	-17.3%	173.03	N/A	N/A
2008-01-22	$42.47	$0.00	56.1%	16.1%	22.5%	0.0%	0.0%	-23.9%	-21.2%	163.22	N/A	N/A
2008-01-23	$42.38	$0.00	58.1%	16.6%	21.0%	0.0%	0.0%	-18.5%	-20.4%	166.44	N/A	N/A
2008-01-24	$43.56	$0.00	41.1%	11.8%	24.0%	0.0%	0.0%	0.0%	-14.5%	127.34	N/A	N/A
2008-01-28	$43.71	$0.00	62.8%	18.0%	23.9%	0.0%	0.0%	1.5%	-26.5%	175.89	N/A	N/A
2008-01-29	$44.02	$0.00	47.9%	13.7%	24.2%	14.3%	0.0%	3.5%	-20.3%	118.46	N/A	N/A
2008-01-30	$43.73	$0.00	66.4%	19.0%	23.6%	29.2%	0.0%	1.6%	-29.4%	175.65	N/A	N/A
2008-01-31	$44.38	$0.00	67.8%	19.5%	24.6%	30.4%	0.0%	1.7%	-28.9%	176.35	N/A	N/A