VEA Options History — May 2008 In May 2008, VEA traded between $46.44 and $48.13. ATM implied volatility averaged 69.1%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 54.3% (HV 20d: 14.8%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days.
Notable Days 2008-05-15 : Largest IV drop — 72.0% change2008-05-14 : Highest IV Rank — 91.3%2008-05-02 : Largest Expected Move — 18.9%Monthly Statistics Metric Avg Min Max Open Close Price $47.08 $46.44 $48.13 $46.82 $47.01 ATM IV 69.1% 41.3% 147.5% 63.9% 54.5% Expected Move 13.2% 10.7% 18.9% 18.3% 15.6% HV 20d 14.8% 12.2% 17.5% 17.0% 13.2% HV 60d 21.0% 20.2% 21.4% 21.3% 20.2% IV Rank 40.0% 21.7% 91.3% 36.6% 30.4% IV Percentile 56.6% 7.0% 99.0% 73.8% 51.2% Term Structure -17.6% -30.2% -11.6% -28.8% -18.4% Skew 25d 3.2% 0.6% 26.0% 24.5% 1.2% Skew 10d 14.8% 6.6% 48.7% 45.9% 14.0% Call IV 25d 61.4% 51.7% 76.6% 65.0% 74.9% Put IV 25d 64.6% 52.4% 92.2% 89.5% 76.1% Bid-Ask Spread % 168.86 167.69 173.38 173.38 169.34 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 2008-05-01 $46.82 $0.00 63.9% 18.3% 17.0% 36.6% 0.0% 24.5% -28.8% 0 0 0 0.00 173.38 N/A N/A 0 0 0 0 2008-05-02 $46.94 $0.00 66.0% 18.9% 17.0% 37.9% 0.0% 26.0% -30.2% 0 0 0 0.00 171.17 N/A N/A 0 0 0 0 2008-05-05 $47.01 $0.00 73.7% 10.7% 16.9% 43.0% 0.0% 0.6% -14.9% 0 0 0 0.00 167.82 N/A N/A 0 0 0 0 2008-05-06 $47.19 $0.00 76.8% 10.8% 16.6% 45.0% 0.0% 0.6% -14.5% 0 0 0 0.00 167.74 N/A N/A 0 0 0 0 2008-05-07 $46.44 $0.00 82.0% 11.1% 17.5% 48.4% 0.0% 0.7% -14.2% 0 0 0 0.00 167.69 N/A N/A 0 0 0 0 2008-05-08 $46.72 $0.00 85.3% 11.1% 17.5% 50.6% 0.0% 0.7% -17.3% 0 0 0 0.00 168.13 N/A N/A 0 0 0 0 2008-05-09 $46.56 $0.00 90.6% 11.2% 16.7% 54.0% 0.0% 0.7% -18.0% 0 0 0 0.00 167.85 N/A N/A 0 0 0 0 2008-05-12 $47.00 $0.00 114.2% 11.6% 16.9% 69.5% 0.0% 0.7% -17.9% 0 0 0 0.00 168.54 N/A N/A 0 0 0 0 2008-05-13 $46.83 $0.00 127.8% 11.7% 17.0% 78.4% 0.0% 0.7% -19.1% 0 0 0 0.00 168.35 N/A N/A 0 0 0 0 2008-05-14 $46.86 $0.00 147.5% 11.9% 12.2% 91.3% 0.0% 0.8% -19.5% 0 0 0 0.00 168.34 N/A N/A 0 0 0 0 2008-05-15 $47.56 $0.00 41.3% 11.8% 12.5% 21.7% 0.0% 0.8% -20.2% 0 0 0 0.00 168.26 N/A N/A 0 0 0 0 2008-05-16 $48.13 $0.00 41.6% 11.9% 12.9% 22.0% 0.0% 0.8% -19.1% 0 0 0 0.00 168.29 N/A N/A 0 0 0 0 2008-05-19 $48.05 $0.00 43.5% 12.5% 12.8% 23.2% 0.0% 0.9% -11.6% 0 0 0 0.00 168.53 N/A N/A 0 0 0 0 2008-05-20 $47.61 $0.00 44.4% 12.7% 12.5% 23.8% 0.0% 0.9% -12.5% 0 0 0 0.00 168.61 N/A N/A 0 0 0 0 2008-05-21 $47.08 $0.00 45.8% 13.1% 13.3% 24.7% 0.0% 1.0% -12.6% 0 0 0 0.00 168.91 N/A N/A 0 0 0 0 2008-05-22 $47.53 $0.00 45.8% 13.1% 13.4% 24.7% 0.0% 1.0% -13.6% 0 0 0 0.00 168.86 N/A N/A 0 0 0 0 2008-05-23 $46.90 $0.00 47.5% 13.6% 13.9% 25.8% 0.0% 1.1% -13.9% 0 0 0 0.00 169.04 N/A N/A 0 0 0 0 2008-05-27 $46.85 $0.00 51.2% 14.7% 13.9% 28.2% 0.0% 1.1% -16.4% 0 0 0 0.00 169.08 N/A N/A 0 0 0 0 2008-05-28 $46.92 $0.00 52.2% 15.0% 13.4% 28.9% 0.0% 1.2% -17.0% 0 0 0 0.00 169.17 N/A N/A 0 0 0 0 2008-05-29 $46.77 $0.00 54.8% 15.7% 13.4% 30.6% 0.0% 1.1% -19.1% 0 0 0 0.00 169.07 N/A N/A 0 0 0 0 2008-05-30 $47.01 $0.00 54.5% 15.6% 13.2% 30.4% 0.0% 1.2% -18.4% 0 0 0 0.00 169.34 N/A N/A 0 0 0 0
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