VEA Options History — July 2008 In July 2008, VEA traded between $40.23 and $42.47. ATM implied volatility averaged 42.8%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 21.1% (HV 20d: 21.7%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 15 of 16 trading days. Term structure was in contango for 5 of 16 days. Put/call ratio averaged 0.00.
Notable Days 2008-07-02 : Highest Volume — 20,000 contracts2008-07-28 : Largest IV spike — 235.9% change2008-07-02 : Highest IV Rank — 40.3%2008-07-02 : Largest Expected Move — 19.9%Monthly Statistics Metric Avg Min Max Open Close Price $41.56 $40.23 $42.47 $41.78 $41.44 Max Pain $44.00 $44.00 $44.00 $44.00 $44.00 ATM IV 42.8% 19.7% 69.5% 69.5% 23.0% Expected Move 12.3% 5.7% 19.9% 19.9% 6.6% HV 20d 21.7% 19.6% 24.0% 19.6% 22.0% HV 60d 18.4% 17.6% 18.9% 18.3% 17.8% IV Rank 22.7% 7.6% 40.3% 40.3% 9.8% IV Percentile 33.9% 0.4% 77.1% 77.1% 2.5% Term Structure -11.9% -27.5% 1.0% -27.5% -1.6% VWIV 76.7% 76.7% 76.7% 76.7% 76.7% Skew 25d -4.6% -17.9% 8.1% -11.7% 7.0% Skew 10d -10.1% -31.2% 13.6% -24.7% 11.5% Call IV 25d 54.7% 17.3% 95.3% 95.3% 18.1% Put IV 25d 50.1% 22.9% 83.7% 83.7% 25.1% Bid-Ask Spread % 114.09 19.02 175.42 171.57 22.69 Gamma HHI 0.80 0.50 1.00 0.50 1.00 Net GEX 2.4M 0 5.6M 0 2.9M Net DEX -19.0M -31.3M 0 0 -9.4M Net VEX -58.1K -125.5K 0 0 -49.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 2,500 0 20,000 20,000 0 Total OI 17,500 0 30,000 0 20,000
Daily Data (16 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 2008-07-02 $41.78 $0.00 69.5% 19.9% 19.6% 40.3% 76.7% -11.7% -27.5% 0 0 0 0.00 171.57 N/A N/A 20,000 0 0 0 2008-07-11 $40.98 $44.00 48.9% 14.0% 20.1% 26.7% 0.0% -12.5% -14.2% 2.0M -31.2M -71.5K 0.00 166.16 N/A N/A 0 0 20,000 0 2008-07-14 $40.91 $44.00 51.1% 14.6% 19.9% 28.2% 0.0% -13.5% -15.7% 2.0M -30.8M -64.5K 0.00 165.63 N/A N/A 0 0 20,000 0 2008-07-15 $40.23 $44.00 52.9% 15.2% 20.2% 29.4% 0.0% -17.9% -16.1% 1.9M -27.2M -58.6K 0.00 161.21 N/A N/A 0 0 20,000 0 2008-07-16 $41.01 $44.00 52.6% 15.1% 21.9% 29.2% 0.0% -13.3% -16.6% 2.0M -31.3M -59.0K 0.00 166.23 N/A N/A 0 0 20,000 0 2008-07-17 $41.60 $44.00 52.4% 15.0% 23.1% 29.1% 0.0% -9.9% -17.6% 2.2M -16.8M -47.3K 0.00 170.24 N/A N/A 0 0 20,000 0 2008-07-18 $41.92 $44.00 53.2% 15.2% 23.6% 29.6% 0.0% -8.2% -17.6% 1.6M -17.2M -45.7K 0.00 172.22 N/A N/A 0 0 20,000 0 2008-07-21 $42.22 $44.00 55.9% 16.0% 24.0% 31.4% 0.0% -6.8% -19.1% 1.1M -17.8M -44.5K 0.00 174.01 N/A N/A 0 0 10,000 0 2008-07-22 $42.21 $44.00 19.8% 5.7% 22.9% 7.7% 0.0% 4.9% 1.0% 2.5M -8.4M -31.9K 0.00 19.46 N/A N/A 0 0 10,000 0 2008-07-23 $42.47 $44.00 58.0% 16.6% 21.4% 32.7% 0.0% -4.6% -20.1% 1.2M -18.3M -42.9K 0.00 175.42 N/A N/A 20,000 0 10,000 0 2008-07-24 $41.74 $44.00 19.8% 5.7% 22.0% 7.7% 0.0% 6.7% 0.8% 5.6M -25.0M -125.5K 0.00 23.13 N/A N/A 0 0 30,000 0 2008-07-25 $41.74 $44.00 20.0% 5.7% 21.4% 7.8% 0.0% 7.1% 0.9% 3.8M -14.4M -70.5K 0.00 22.78 N/A N/A 0 0 20,000 0 2008-07-28 $41.19 $44.00 67.0% 19.2% 21.4% 38.6% 0.0% -15.0% -26.9% 2.1M -29.9M -94.4K 0.00 167.65 N/A N/A 0 0 20,000 0 2008-07-29 $41.52 $44.00 20.3% 5.8% 21.7% 8.0% 0.0% 8.1% 0.4% 3.2M -11.6M -57.2K 0.00 19.02 N/A N/A 0 0 20,000 0 2008-07-30 $41.98 $44.00 19.7% 5.7% 21.9% 7.6% 0.0% 5.9% 0.1% 4.2M -14.2M -65.7K 0.00 28.07 N/A N/A 0 0 20,000 0 2008-07-31 $41.44 $44.00 23.0% 6.6% 22.0% 9.8% 0.0% 7.0% -1.6% 2.9M -9.4M -49.7K 0.00 22.69 N/A N/A 0 0 20,000 0
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