VEA Options History — February 2008 In February 2008, VEA traded between $41.94 and $45.40. ATM implied volatility averaged 71.3%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 46.1% (HV 20d: 25.2%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days.
Notable Days 2008-02-20 : Largest IV spike — 519.8% change2008-02-13 : Highest IV Rank — 100.0%2008-02-01 : Largest Expected Move — 17.8%Monthly Statistics Metric Avg Min Max Open Close Price $43.63 $41.94 $45.40 $45.00 $43.93 ATM IV 71.3% 8.1% 160.7% 62.2% 61.0% Expected Move 12.5% 2.3% 17.8% 17.8% 17.5% HV 20d 25.2% 21.4% 28.6% 25.3% 23.4% HV 60d 24.3% 22.6% 25.9% 24.9% 23.1% IV Rank 38.4% 0.0% 100.0% 25.9% 34.7% IV Percentile 59.7% 0.0% 100.0% 71.3% 68.2% Term Structure -13.0% -24.9% 21.1% -24.9% -10.0% Skew 25d -1.4% -15.3% 1.3% 0.9% 1.3% Skew 10d -9.4% -14.0% -1.0% -5.6% -4.7% Call IV 25d 67.3% 25.4% 138.3% 54.3% 76.3% Put IV 25d 65.9% 24.5% 123.0% 55.2% 77.7% Bid-Ask Spread % 144.06 85.49 166.20 158.47 127.11 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 GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-02-01 $45.00 $0.00 62.2% 17.8% 25.3% 25.9% 0.0% 0.0% -24.9% 0 0 0 0.00 158.47 N/A N/A 0 0 0 0 2008-02-04 $44.54 $0.00 74.2% 11.2% 25.4% 35.5% 0.0% 0.9% -17.3% 0 0 0 0.00 164.59 N/A N/A 0 0 0 0 2008-02-05 $42.76 $0.00 84.4% 11.8% 27.9% 43.8% 0.0% -2.6% -18.1% 0 0 0 0.00 160.13 N/A N/A 0 0 0 0 2008-02-06 $42.65 $0.00 88.6% 12.0% 27.9% 47.2% 0.0% -3.2% -18.7% 0 0 0 0.00 159.89 N/A N/A 0 0 0 0 2008-02-07 $42.35 $0.00 98.4% 9.2% 27.9% 55.1% 0.0% 0.0% -10.6% 0 0 0 0.00 90.37 N/A N/A 0 0 0 0 2008-02-08 $41.94 $0.00 101.2% 10.0% 27.6% 57.4% 0.0% -15.3% -13.0% 0 0 0 0.00 85.49 N/A N/A 0 0 0 0 2008-02-11 $42.09 $0.00 127.7% 12.7% 27.7% 78.8% 0.0% -0.9% -21.8% 0 0 0 0.00 116.11 N/A N/A 0 0 0 0 2008-02-12 $42.91 $0.00 139.7% 12.8% 28.6% 88.5% 0.0% -2.1% -20.7% 0 0 0 0.00 160.91 N/A N/A 0 0 0 0 2008-02-13 $43.16 $0.00 160.7% 13.0% 28.0% 100.0% 0.0% 0.2% -20.6% 0 0 0 0.00 161.99 N/A N/A 0 0 0 0 2008-02-14 $43.12 $0.00 45.9% 13.1% 25.9% 12.0% 0.0% -1.1% -21.2% 0 0 0 0.00 161.54 N/A N/A 0 0 0 0 2008-02-15 $43.18 $0.00 46.5% 13.3% 25.0% 12.5% 0.0% -0.9% -21.6% 0 0 0 0.00 161.81 N/A N/A 0 0 0 0 2008-02-19 $43.79 $0.00 8.1% 2.3% 24.8% 0.0% 0.0% 0.0% 20.5% 0 0 0 0.00 101.54 N/A N/A 0 0 0 0 2008-02-20 $43.39 $0.00 49.9% 14.3% 25.0% 27.4% 0.0% 0.2% -13.3% 0 0 0 0.00 162.62 N/A N/A 0 0 0 0 2008-02-21 $43.46 $0.00 38.3% 11.0% 22.7% 19.8% 0.0% 0.0% -4.1% 0 0 0 0.00 100.33 N/A N/A 0 0 0 0 2008-02-22 $43.92 $0.00 50.7% 14.5% 22.9% 28.0% 0.0% 1.2% -14.8% 0 0 0 0.00 163.52 N/A N/A 0 0 0 0 2008-02-25 $44.57 $0.00 52.5% 15.1% 21.4% 29.1% 0.0% 1.2% -16.9% 0 0 0 0.00 163.76 N/A N/A 0 0 0 0 2008-02-26 $45.33 $0.00 53.1% 15.2% 22.1% 29.5% 0.0% 1.3% -16.2% 0 0 0 0.00 166.20 N/A N/A 0 0 0 0 2008-02-27 $45.40 $0.00 26.4% 7.6% 22.0% 12.0% 0.0% 0.0% 21.1% 0 0 0 0.00 148.90 N/A N/A 0 0 0 0 2008-02-28 $45.04 $0.00 55.6% 15.9% 22.1% 31.2% 0.0% 1.3% -18.3% 0 0 0 0.00 165.82 N/A N/A 0 0 0 0 2008-02-29 $43.93 $0.00 61.0% 17.5% 23.4% 34.7% 0.0% 0.0% -10.0% 0 0 0 0.00 127.11 N/A N/A 0 0 0 0
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