VEA Options History — June 2008 In June 2008, VEA traded between $43.22 and $46.90. ATM implied volatility averaged 59.4%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 43.3% (HV 20d: 16.1%). Net GEX was positive for 0 of 15 trading days. Term structure was in contango for 0 of 15 days.
Notable Days 2008-06-12 : Largest IV drop — 47.9% change2008-06-11 : Highest IV Rank — 51.2%2008-06-05 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $45.01 $43.22 $46.90 $46.57 $43.22 ATM IV 59.4% 44.9% 86.2% 58.8% 51.0% Expected Move 14.3% 11.5% 18.3% 16.9% 14.6% HV 20d 16.1% 13.6% 17.9% 13.6% 16.8% HV 60d 18.6% 16.4% 20.2% 20.2% 17.0% IV Rank 33.6% 24.1% 51.2% 33.2% 28.1% IV Percentile 54.0% 17.7% 91.3% 61.8% 41.2% Term Structure -20.4% -27.0% -15.4% -22.5% -27.0% Skew 25d -10.0% -23.3% 1.5% 1.3% -23.3% Skew 10d -8.8% -28.8% 15.1% 10.9% -28.8% Call IV 25d 68.4% 53.4% 87.8% 81.2% 70.6% Put IV 25d 58.4% 45.0% 89.3% 82.6% 47.3% Bid-Ask Spread % 177.20 169.34 188.69 169.57 169.71 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 (15 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 2008-06-02 $46.57 $0.00 58.8% 16.9% 13.6% 33.2% 0.0% 1.3% -22.5% 0 0 0 0.00 169.57 N/A N/A 0 0 0 0 2008-06-03 $46.41 $0.00 61.2% 17.5% 13.6% 34.8% 0.0% 1.4% -22.1% 0 0 0 0.00 169.59 N/A N/A 0 0 0 0 2008-06-04 $46.18 $0.00 63.1% 18.1% 13.6% 36.1% 0.0% 1.5% -24.0% 0 0 0 0.00 169.34 N/A N/A 0 0 0 0 2008-06-05 $46.90 $0.00 63.9% 18.3% 13.6% 36.6% 0.0% 1.5% -25.8% 0 0 0 0.00 169.48 N/A N/A 0 0 0 0 2008-06-06 $45.58 $0.00 67.6% 11.5% 16.9% 39.0% 0.0% -5.9% -15.4% 0 0 0 0.00 188.69 N/A N/A 0 0 0 0 2008-06-09 $45.55 $0.00 75.6% 11.9% 16.8% 44.2% 0.0% -6.4% -16.6% 0 0 0 0.00 188.21 N/A N/A 0 0 0 0 2008-06-10 $44.73 $0.00 80.6% 12.3% 17.4% 47.5% 0.0% -12.1% -17.1% 0 0 0 0.00 182.14 N/A N/A 0 0 0 0 2008-06-11 $44.12 $0.00 86.2% 12.7% 17.9% 51.2% 0.0% -15.4% -17.2% 0 0 0 0.00 176.92 N/A N/A 0 0 0 0 2008-06-12 $43.94 $0.00 44.9% 12.9% 17.8% 24.1% 0.0% -16.6% -18.0% 0 0 0 0.00 175.48 N/A N/A 0 0 0 0 2008-06-13 $44.30 $0.00 45.3% 13.0% 17.1% 24.4% 0.0% -14.9% -17.8% 0 0 0 0.00 178.32 N/A N/A 0 0 0 0 2008-06-16 $44.52 $0.00 46.7% 13.4% 16.4% 25.3% 0.0% -14.3% -20.6% 0 0 0 0.00 180.72 N/A N/A 0 0 0 0 2008-06-17 $44.68 $0.00 47.3% 13.6% 16.6% 25.7% 0.0% -13.7% -20.8% 0 0 0 0.00 182.14 N/A N/A 0 0 0 0 2008-06-18 $44.28 $0.00 48.8% 14.0% 16.6% 26.7% 0.0% -16.1% -20.5% 0 0 0 0.00 179.60 N/A N/A 0 0 0 0 2008-06-19 $44.16 $0.00 49.7% 14.3% 16.3% 27.3% 0.0% -17.1% -21.5% 0 0 0 0.00 178.06 N/A N/A 0 0 0 0 2008-06-20 $43.22 $0.00 51.0% 14.6% 16.8% 28.1% 0.0% -23.3% -27.0% 0 0 0 0.00 169.71 N/A N/A 0 0 0 0
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