VEA Options History — November 2008 In November 2008, VEA traded between $22.49 and $29.91. ATM implied volatility averaged 63.4%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded below realized volatility by 23.9% (HV 20d: 87.3%). Max pain ranged from $28.00 to $37.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2008-11-05 : Highest Volume — 6 contracts2008-11-19 : Largest IV spike — 23.9% change2008-11-19 : Highest IV Rank — 54.4%2008-11-19 : Largest Expected Move — 26.1%Monthly Statistics Metric Avg Min Max Open Close Price $26.14 $22.49 $29.91 $27.93 $26.09 Max Pain $35.53 $28.00 $37.00 $28.00 $37.00 ATM IV 63.4% 43.6% 91.1% 51.5% 53.4% Expected Move 17.9% 12.5% 26.1% 14.8% 15.3% HV 20d 87.3% 77.2% 103.0% 96.5% 77.2% HV 60d 73.5% 66.0% 78.7% 66.0% 78.3% IV Rank 36.2% 23.3% 54.4% 28.5% 29.7% IV Percentile 66.0% 23.0% 93.7% 47.2% 50.4% Term Structure -9.1% -43.0% 14.6% 5.0% 14.6% VWIV 54.3% 43.8% 66.1% 51.5% 55.9% Skew 25d 13.5% -17.4% 26.3% 17.5% 23.0% Skew 10d 25.8% -6.8% 42.2% 37.0% 23.2% Call IV 25d 61.4% 37.9% 99.0% 43.1% 39.6% Put IV 25d 74.9% 52.1% 105.6% 60.6% 62.5% Bid-Ask Spread % 91.78 34.02 137.61 48.15 101.61 Gamma HHI 0.16 0.13 0.18 0.16 0.17 Net GEX 6.4K -1.6K 19.2K 12.6K -1.6K Net DEX 307.7K 161.0K 437.2K 215.8K 419.2K Net VEX -1.9K -3.2K -886 -2.8K -1.2K 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 0.789 0 6 1 0 Total OI 1,261 1,206 1,278 1,270 1,208
Daily Data (19 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 2008-11-03 $27.93 $28.00 51.5% 14.8% 96.5% 28.5% 51.5% 17.5% 5.0% 12.6K 215.8K -2.8K 0.00 48.15 N/A N/A 1 0 1,043 227 2008-11-04 $29.91 $32.00 43.6% 12.5% 98.8% 23.3% 43.8% 14.2% 10.3% 19.2K 161.0K -3.2K 0.00 62.60 N/A N/A 1 0 1,042 227 2008-11-05 $28.41 $30.00 52.6% 15.1% 100.0% 29.2% 0.0% 15.4% -10.6% 16.1K 179.4K -2.8K 0.00 54.27 N/A N/A 6 0 1,043 227 2008-11-06 $26.35 $30.00 64.8% 18.6% 101.4% 37.2% 0.0% 17.3% 0.6% 10.2K 225.7K -2.4K 0.00 47.92 N/A N/A 0 0 1,049 227 2008-11-07 $27.96 $37.00 54.1% 16.6% 103.0% 30.1% 0.0% 14.4% -16.5% 13.2K 220.2K -2.7K 0.00 116.93 N/A N/A 0 0 1,049 227 2008-11-10 $27.59 $37.00 54.3% 14.8% 88.7% 30.3% 0.0% 17.0% -10.7% 11.6K 237.8K -2.5K 0.00 121.05 N/A N/A 0 0 1,049 227 2008-11-11 $26.55 $37.00 60.5% 16.8% 89.4% 34.3% 0.0% 25.6% -13.7% 8.9K 241.5K -2.4K 0.00 122.48 N/A N/A 0 0 1,049 227 2008-11-12 $25.16 $37.00 69.9% 16.1% 81.5% 40.5% 0.0% 3.2% -4.4% 2.6K 376.9K -1.5K 0.00 121.84 N/A N/A 0 0 1,049 227 2008-11-13 $27.06 $37.00 73.5% 21.1% 83.8% 42.8% 0.0% 6.9% -24.3% 12.3K 205.0K -2.5K 0.00 137.61 N/A N/A 0 0 1,049 227 2008-11-14 $25.68 $37.00 66.4% 19.0% 85.6% 38.2% 0.0% 26.3% -12.1% 4.7K 340.1K -1.7K 0.00 115.65 N/A N/A 0 0 1,049 227 2008-11-17 $25.27 $37.00 74.3% 21.3% 83.4% 43.4% 0.0% 4.3% -16.8% 4.1K 336.6K -1.7K 0.00 118.38 N/A N/A 0 2 1,049 227 2008-11-18 $25.33 $37.00 73.6% 21.1% 82.4% 42.9% 0.0% 6.7% -9.4% 4.0K 353.7K -1.6K 0.00 116.74 N/A N/A 0 0 1,049 229 2008-11-19 $23.70 $37.00 91.1% 26.1% 80.1% 54.4% 0.0% 12.8% -43.0% 6.3K 274.8K -1.8K 0.00 121.72 N/A N/A 0 0 1,049 229 2008-11-20 $22.49 $37.00 81.1% 23.3% 81.4% 47.9% 0.0% -17.4% -22.7% 2.6K 383.3K -1.1K 0.00 118.59 N/A N/A 0 0 1,049 229 2008-11-21 $23.72 $37.00 69.8% 20.0% 82.0% 40.4% 66.1% 13.6% -23.7% -577 437.2K -886 0.00 42.62 N/A N/A 3 0 1,049 229 2008-11-24 $25.51 $37.00 58.8% 16.9% 84.3% 33.2% 55.9% 18.3% 0.6% -1.3K 428.5K -1.1K 0.00 34.02 N/A N/A 2 0 979 227 2008-11-25 $25.85 $37.00 55.8% 16.0% 80.5% 31.3% 0.0% 21.3% 4.4% -941 386.0K -1.3K 0.00 44.32 N/A N/A 0 0 981 227 2008-11-26 $26.18 $37.00 55.2% 15.8% 78.1% 30.9% 0.0% 16.7% -0.6% -1.4K 423.5K -1.2K 0.00 97.30 N/A N/A 0 0 981 227 2008-11-28 $26.09 $37.00 53.4% 15.3% 77.2% 29.7% 0.0% 23.0% 14.6% -1.6K 419.2K -1.2K 0.00 101.61 N/A N/A 0 0 981 227
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