VEA Options History — March 2008 In March 2008, VEA traded between $41.85 and $44.08. ATM implied volatility averaged 59.5%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 35.4% (HV 20d: 24.0%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days.
Notable Days 2008-03-17 : Largest IV spike — 115.6% change2008-03-17 : Highest IV Rank — 60.6%2008-03-17 : Largest Expected Move — 28.8%Monthly Statistics Metric Avg Min Max Open Close Price $43.30 $41.85 $44.08 $43.94 $44.08 ATM IV 59.5% 34.5% 100.6% 55.4% 62.6% Expected Move 14.9% 9.9% 28.8% 15.9% 17.9% HV 20d 24.0% 17.8% 29.3% 22.7% 27.1% HV 60d 23.8% 22.7% 25.0% 23.1% 24.8% IV Rank 33.7% 17.3% 60.6% 31.0% 35.7% IV Percentile 55.7% 1.9% 93.7% 55.0% 70.8% Term Structure -20.0% -41.4% -10.3% -33.3% -22.7% Skew 25d 9.8% -8.7% 65.8% 6.7% 15.0% Skew 10d 9.7% -26.2% 68.6% -26.2% 18.0% Call IV 25d 65.1% 14.1% 113.8% 46.3% 72.2% Put IV 25d 75.0% 53.0% 114.5% 53.0% 87.2% Bid-Ask Spread % 174.50 94.31 200.00 138.24 191.16 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 2008-03-03 $43.94 $0.00 55.4% 15.9% 22.7% 31.0% 0.0% 6.7% -33.3% 0 0 0 0.00 138.24 N/A N/A 0 0 0 0 2008-03-04 $43.37 $0.00 46.3% 13.3% 22.9% 25.1% 0.0% 0.0% -20.1% 0 0 0 0.00 115.59 N/A N/A 0 0 0 0 2008-03-05 $43.81 $0.00 50.9% 14.6% 17.8% 28.0% 0.0% 0.0% -17.2% 0 0 0 0.00 94.31 N/A N/A 0 0 0 0 2008-03-06 $43.36 $0.00 52.3% 15.0% 18.3% 29.0% 0.0% 0.0% -19.2% 0 0 0 0.00 133.84 N/A N/A 0 0 0 0 2008-03-07 $42.78 $0.00 55.9% 10.3% 18.8% 31.3% 0.0% 0.0% -12.8% 0 0 0 0.00 168.37 N/A N/A 0 0 0 0 2008-03-10 $42.36 $0.00 82.1% 9.9% 18.8% 48.5% 0.0% -8.7% -10.3% 0 0 0 0.00 168.67 N/A N/A 0 0 0 0 2008-03-11 $43.72 $0.00 82.5% 12.6% 21.8% 48.7% 0.0% 9.5% -17.4% 0 0 0 0.00 192.49 N/A N/A 0 0 0 0 2008-03-12 $43.75 $0.00 86.5% 12.7% 20.8% 51.4% 0.0% 9.7% -17.8% 0 0 0 0.00 192.99 N/A N/A 0 0 0 0 2008-03-13 $43.79 $0.00 34.5% 9.9% 20.7% 17.3% 0.0% 0.0% -13.0% 0 0 0 0.00 158.52 N/A N/A 0 0 0 0 2008-03-14 $42.83 $0.00 46.6% 13.4% 22.3% 25.3% 0.0% 3.2% -19.0% 0 0 0 0.00 194.11 N/A N/A 0 0 0 0 2008-03-17 $42.16 $0.00 100.6% 28.8% 22.9% 60.6% 0.0% 0.7% -41.4% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2008-03-18 $43.45 $0.00 49.0% 14.1% 24.9% 26.9% 0.0% 8.7% -19.9% 0 0 0 0.00 194.03 N/A N/A 0 0 0 0 2008-03-19 $41.85 $0.00 51.4% 14.8% 28.1% 28.4% 0.0% -5.5% -22.5% 0 0 0 0.00 191.16 N/A N/A 0 0 0 0 2008-03-20 $42.28 $0.00 52.0% 14.9% 28.4% 28.8% 0.0% -1.7% -22.1% 0 0 0 0.00 193.58 N/A N/A 0 0 0 0 2008-03-24 $43.13 $0.00 54.7% 15.7% 29.1% 30.5% 0.0% 6.4% -16.7% 0 0 0 0.00 194.57 N/A N/A 0 0 0 0 2008-03-25 $43.87 $0.00 54.7% 15.7% 29.3% 30.5% 0.0% 12.3% -17.4% 0 0 0 0.00 192.75 N/A N/A 0 0 0 0 2008-03-26 $43.83 $0.00 55.8% 16.0% 28.5% 31.3% 0.0% 12.4% -18.3% 0 0 0 0.00 192.34 N/A N/A 0 0 0 0 2008-03-27 $43.90 $0.00 57.0% 16.3% 28.5% 32.0% 0.0% 13.0% -19.0% 0 0 0 0.00 191.37 N/A N/A 0 0 0 0 2008-03-28 $43.81 $0.00 58.3% 16.7% 28.4% 32.9% 0.0% 65.8% -20.1% 0 0 0 0.00 191.88 N/A N/A 0 0 0 0 2008-03-31 $44.08 $0.00 62.6% 17.9% 27.1% 35.7% 0.0% 15.0% -22.7% 0 0 0 0.00 191.16 N/A N/A 0 0 0 0
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