VEA Options History — February 2009 In February 2009, VEA traded between $21.17 and $24.87. ATM implied volatility averaged 42.2%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 2.8% (HV 20d: 44.9%). Max pain ranged from $23.00 to $32.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.10.
Notable Days 2009-02-20 : Highest Volume — 399 contracts2009-02-17 : Largest IV spike — 21.9% change2009-02-23 : Highest IV Rank — 26.0%2009-02-23 : Largest Expected Move — 13.7%Monthly Statistics Metric Avg Min Max Open Close Price $22.96 $21.17 $24.87 $23.45 $21.24 Max Pain $30.11 $23.00 $32.00 $23.00 $32.00 ATM IV 42.2% 33.9% 47.7% 47.2% 46.2% Expected Move 12.2% 10.6% 13.7% 13.5% 13.2% HV 20d 44.9% 37.0% 50.7% 46.3% 37.0% HV 60d 49.9% 41.8% 57.4% 57.4% 41.8% IV Rank 22.3% 16.9% 26.0% 25.7% 25.0% IV Percentile 28.4% 15.9% 42.1% 36.1% 37.7% Term Structure -1.1% -3.5% 0.9% -0.5% -1.1% VWIV 41.7% 35.3% 47.7% 47.7% 42.1% Skew 25d 13.3% 10.2% 19.6% 12.6% 10.2% Skew 10d 23.9% 9.7% 41.5% 33.4% 13.0% Call IV 25d 34.9% 27.4% 42.2% 39.5% 40.2% Put IV 25d 48.2% 42.6% 53.7% 52.1% 50.4% Bid-Ask Spread % 76.25 34.63 92.11 84.41 92.11 Gamma HHI 0.43 0.24 0.73 0.30 0.73 Net GEX 1.8K -6.2K 15.1K -2.4K 13.9K Net DEX 348.1K 106.7K 512.1K 424.6K 165.9K Net VEX -1.1K -2.2K -394 -898 -2.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.10 0.00 0.50 0.00 0.50 Total Volume 24.684 0 399 1 30 Total OI 695.211 618 865 627 865
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 2009-02-02 $23.45 $23.00 47.2% 13.5% 46.3% 25.7% 47.7% 12.6% -0.5% -2.4K 424.6K -898 0.00 84.41 N/A N/A 0 1 307 320 2009-02-03 $24.06 $23.00 41.6% 11.9% 47.7% 22.0% 0.0% 18.0% -0.0% -1.6K 390.1K -910 0.00 83.59 N/A N/A 0 0 307 321 2009-02-04 $23.96 $23.00 40.5% 11.6% 47.4% 21.3% 0.0% 16.8% 0.5% -2.3K 393.6K -863 0.00 52.10 N/A N/A 0 0 307 321 2009-02-05 $24.25 $23.00 38.0% 10.9% 47.8% 19.6% 0.0% 15.2% 0.9% -1.7K 380.3K -829 0.00 55.02 N/A N/A 0 0 307 321 2009-02-06 $24.82 $32.00 33.9% 10.6% 48.5% 16.9% 0.0% 11.9% 0.2% -797 332.0K -817 0.00 86.70 N/A N/A 0 0 307 321 2009-02-09 $24.87 $32.00 36.6% 10.9% 47.6% 18.7% 0.0% 11.5% -0.5% -636 332.8K -800 0.00 87.02 N/A N/A 0 0 307 321 2009-02-10 $23.64 $32.00 41.7% 11.7% 50.0% 22.0% 0.0% 13.2% -0.9% -3.9K 408.1K -752 0.00 83.56 N/A N/A 21 0 307 321 2009-02-11 $23.86 $32.00 39.3% 11.5% 50.0% 20.4% 40.5% 13.2% -0.9% -3.3K 388.6K -801 0.00 86.73 N/A N/A 0 1 328 321 2009-02-12 $23.82 $32.00 39.4% 11.3% 47.5% 20.5% 0.0% 13.0% -1.2% -4.1K 390.9K -762 0.00 87.98 N/A N/A 0 0 328 321 2009-02-13 $23.57 $32.00 37.3% 10.7% 47.4% 19.1% 0.0% 12.7% -0.3% -5.6K 409.3K -694 0.00 90.18 N/A N/A 0 0 328 321 2009-02-17 $22.31 $32.00 45.4% 13.0% 50.7% 24.5% 0.0% 13.1% -3.1% -6.2K 498.4K -549 0.00 88.44 N/A N/A 0 0 328 321 2009-02-18 $22.28 $32.00 45.0% 12.9% 42.9% 24.2% 0.0% 11.2% -3.5% -4.6K 497.2K -519 0.00 88.80 N/A N/A 15 0 328 310 2009-02-19 $22.25 $32.00 42.8% 12.3% 39.1% 22.8% 35.3% 12.0% -1.7% -2.3K 504.4K -482 0.00 90.35 N/A N/A 0 1 328 310 2009-02-20 $22.00 $32.00 43.0% 12.3% 38.7% 22.9% 43.0% 13.1% -1.2% 2.3K 512.1K -394 0.00 91.01 N/A N/A 398 1 313 305 2009-02-23 $21.17 $32.00 47.7% 13.7% 40.6% 26.0% 42.1% 11.6% -1.6% 13.4K 166.7K -2.0K 0.00 88.71 N/A N/A 1 0 638 226 2009-02-24 $21.99 $32.00 42.5% 12.2% 42.3% 22.5% 0.0% 19.6% -2.4% 15.1K 106.7K -2.2K 0.00 38.21 N/A N/A 0 0 639 226 2009-02-25 $21.48 $32.00 46.2% 13.2% 42.2% 25.0% 0.0% 12.9% -1.5% 14.2K 146.3K -2.0K 0.00 39.27 N/A N/A 0 0 639 226 2009-02-26 $21.29 $32.00 46.9% 13.4% 39.7% 25.4% 0.0% 10.6% -1.5% 13.9K 165.8K -2.0K 0.00 34.63 N/A N/A 0 0 639 226 2009-02-27 $21.24 $32.00 46.2% 13.2% 37.0% 25.0% 0.0% 10.2% -1.1% 13.9K 165.9K -2.0K 0.50 92.11 N/A N/A 20 10 639 226
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