VEA Options History — April 2008 In April 2008, VEA traded between $44.55 and $46.66. ATM implied volatility averaged 57.9%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 35.1% (HV 20d: 22.8%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.
Notable Days 2008-04-10 : Largest IV drop — 47.8% change2008-04-09 : Highest IV Rank — 49.7%2008-04-03 : Largest Expected Move — 18.8%Monthly Statistics Metric Avg Min Max Open Close Price $45.79 $44.55 $46.66 $45.36 $46.45 ATM IV 57.9% 43.8% 84.0% 62.6% 62.9% Expected Move 14.7% 11.6% 18.8% 17.9% 18.0% HV 20d 22.8% 16.8% 28.9% 28.9% 16.8% HV 60d 24.2% 22.9% 25.6% 25.5% 22.9% IV Rank 32.6% 23.4% 49.7% 35.7% 35.9% IV Percentile 53.7% 13.1% 89.7% 71.6% 73.2% Term Structure -17.9% -27.0% -10.9% -22.7% -25.9% Skew 25d 16.7% 9.2% 24.2% 21.6% 22.0% Skew 10d 28.4% 13.6% 40.5% 32.9% 40.5% Call IV 25d 55.4% 40.8% 67.7% 65.6% 65.5% Put IV 25d 72.1% 57.4% 91.9% 87.2% 87.5% Bid-Ask Spread % 179.06 173.66 187.22 181.40 176.43 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 (22 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 2008-04-01 $45.36 $0.00 62.6% 17.9% 28.9% 35.7% 0.0% 21.6% -22.7% 0 0 0 0.00 181.40 N/A N/A 0 0 0 0 2008-04-02 $45.51 $0.00 63.5% 18.2% 28.4% 36.3% 0.0% 22.9% -25.8% 0 0 0 0.00 180.15 N/A N/A 0 0 0 0 2008-04-03 $45.63 $0.00 65.4% 18.8% 28.3% 37.6% 0.0% 24.2% -27.0% 0 0 0 0.00 178.44 N/A N/A 0 0 0 0 2008-04-04 $45.84 $0.00 70.4% 11.6% 27.9% 40.8% 0.0% 16.5% -10.9% 0 0 0 0.00 175.24 N/A N/A 0 0 0 0 2008-04-07 $46.02 $0.00 75.3% 11.8% 27.2% 44.1% 0.0% 17.2% -11.2% 0 0 0 0.00 173.93 N/A N/A 0 0 0 0 2008-04-08 $45.62 $0.00 78.9% 12.0% 27.2% 46.4% 0.0% 12.3% -12.0% 0 0 0 0.00 179.86 N/A N/A 0 0 0 0 2008-04-09 $45.33 $0.00 84.0% 12.4% 25.3% 49.7% 0.0% 11.5% -11.7% 0 0 0 0.00 182.24 N/A N/A 0 0 0 0 2008-04-10 $45.14 $0.00 43.8% 12.6% 25.4% 23.4% 0.0% 11.1% -12.3% 0 0 0 0.00 183.67 N/A N/A 0 0 0 0 2008-04-11 $44.55 $0.00 44.6% 12.8% 25.9% 24.0% 0.0% 9.2% -13.5% 0 0 0 0.00 186.81 N/A N/A 0 0 0 0 2008-04-14 $44.58 $0.00 46.6% 13.4% 24.4% 25.3% 0.0% 9.7% -14.8% 0 0 0 0.00 187.22 N/A N/A 0 0 0 0 2008-04-15 $44.84 $0.00 47.3% 13.5% 23.5% 25.7% 0.0% 10.7% -14.9% 0 0 0 0.00 186.77 N/A N/A 0 0 0 0 2008-04-16 $46.38 $0.00 46.6% 13.4% 24.1% 25.3% 0.0% 16.6% -14.2% 0 0 0 0.00 174.29 N/A N/A 0 0 0 0 2008-04-17 $45.89 $0.00 47.7% 13.7% 19.5% 26.0% 0.0% 14.8% -15.6% 0 0 0 0.00 179.04 N/A N/A 0 0 0 0 2008-04-18 $46.17 $0.00 48.4% 13.9% 19.4% 26.4% 0.0% 16.2% -15.6% 0 0 0 0.00 177.75 N/A N/A 0 0 0 0 2008-04-21 $46.53 $0.00 50.3% 14.4% 18.6% 27.7% 0.0% 18.4% -18.4% 0 0 0 0.00 174.45 N/A N/A 0 0 0 0 2008-04-22 $46.01 $0.00 52.2% 15.0% 18.7% 28.9% 0.0% 16.6% -18.7% 0 0 0 0.00 177.96 N/A N/A 0 0 0 0 2008-04-23 $46.18 $0.00 53.1% 15.2% 18.6% 29.5% 0.0% 17.6% -19.1% 0 0 0 0.00 177.75 N/A N/A 0 0 0 0 2008-04-24 $45.95 $0.00 54.5% 15.6% 18.8% 30.4% 0.0% 17.0% -20.4% 0 0 0 0.00 179.13 N/A N/A 0 0 0 0 2008-04-25 $46.47 $0.00 55.3% 15.8% 19.0% 30.9% 0.0% 19.6% -20.1% 0 0 0 0.00 175.64 N/A N/A 0 0 0 0 2008-04-28 $46.66 $0.00 58.8% 16.8% 19.0% 33.2% 0.0% 21.9% -24.9% 0 0 0 0.00 173.66 N/A N/A 0 0 0 0 2008-04-29 $46.22 $0.00 61.3% 17.6% 16.8% 34.9% 0.0% 20.4% -25.2% 0 0 0 0.00 177.59 N/A N/A 0 0 0 0 2008-04-30 $46.45 $0.00 62.9% 18.0% 16.8% 35.9% 0.0% 22.0% -25.9% 0 0 0 0.00 176.43 N/A N/A 0 0 0 0
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