VEA Options History — May 2009 In May 2009, VEA traded between $26.09 and $29.09. ATM implied volatility averaged 29.1%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 4.6% (HV 20d: 33.7%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.22.
Notable Days 2009-05-06 : Highest Volume — 202 contracts2009-05-06 : Largest IV drop — 14.9% change2009-05-14 : Highest IV Rank — 12.1%2009-05-13 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $27.70 $26.09 $29.09 $26.09 $29.09 Max Pain $23.95 $23.00 $24.00 $23.00 $24.00 ATM IV 29.1% 23.3% 32.6% 31.2% 23.3% Expected Move 8.6% 6.7% 9.7% 9.0% 6.7% HV 20d 33.7% 28.7% 37.7% 28.7% 33.8% HV 60d 41.4% 38.2% 43.1% 42.2% 38.2% IV Rank 9.4% 5.0% 12.1% 11.1% 5.0% IV Percentile 13.9% 11.9% 18.3% 13.5% 11.9% Term Structure 1.7% -0.2% 5.9% 2.7% 3.8% VWIV 31.3% 24.4% 38.7% 38.4% 26.2% Skew 25d 7.6% 4.3% 11.5% 6.1% 11.5% Skew 10d 15.7% 4.7% 38.8% 4.7% 38.8% Call IV 25d 25.9% 14.2% 30.0% 27.1% 14.2% Put IV 25d 33.5% 25.7% 37.5% 33.2% 25.7% Bid-Ask Spread % 44.60 34.73 88.77 54.85 49.00 Gamma HHI 0.16 0.14 0.22 0.22 0.20 Net GEX 53.2K 36.6K 62.6K 44.4K 56.8K Net DEX -2.3M -3.2M -1.2M -1.2M -3.2M Net VEX -8.7K -9.5K -7.5K -8.4K -7.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.22 0.00 1.33 0.00 0.00 Total Volume 27.95 0 202 0 0 Total OI 2,632 2,344 2,780 2,344 2,780
Daily Data (20 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 2009-05-01 $26.09 $23.00 31.2% 9.0% 28.7% 11.1% 0.0% 6.1% 2.7% 44.4K -1.2M -8.4K 0.00 54.85 N/A N/A 0 0 1,526 818 2009-05-04 $27.06 $24.00 32.5% 9.2% 31.1% 12.0% 38.4% 9.1% 1.1% 41.3K -1.6M -8.3K 0.00 46.59 N/A N/A 0 10 1,526 818 2009-05-05 $26.69 $24.00 31.7% 9.5% 30.7% 11.4% 38.7% 9.3% 0.8% 40.9K -1.6M -8.3K 0.00 49.28 N/A N/A 20 0 1,526 828 2009-05-06 $27.51 $24.00 27.0% 8.7% 30.5% 7.8% 29.0% 8.6% 1.6% 36.6K -1.8M -8.4K 0.00 46.30 N/A N/A 202 0 1,526 828 2009-05-07 $27.10 $24.00 30.8% 9.4% 31.4% 10.7% 0.0% 8.4% 1.1% 53.7K -1.9M -9.2K 0.00 44.75 N/A N/A 33 0 1,705 828 2009-05-08 $28.21 $24.00 28.9% 8.8% 33.1% 9.3% 0.0% 7.6% 1.7% 47.2K -2.4M -9.4K 0.00 43.01 N/A N/A 0 0 1,738 828 2009-05-11 $27.57 $24.00 30.0% 9.1% 34.7% 10.1% 30.5% 7.3% 0.6% 52.4K -2.2M -9.1K 0.00 43.86 N/A N/A 40 0 1,738 828 2009-05-12 $27.80 $24.00 28.4% 9.0% 34.4% 8.9% 0.0% 8.6% 0.7% 54.4K -2.3M -9.1K 0.00 88.77 N/A N/A 0 0 1,778 828 2009-05-13 $26.85 $24.00 31.4% 9.7% 37.2% 11.2% 0.0% 6.9% 0.2% 59.4K -1.9M -9.0K 1.33 42.22 N/A N/A 60 80 1,778 828 2009-05-14 $27.17 $24.00 32.6% 9.4% 37.3% 12.1% 0.0% 9.1% -0.2% 59.7K -1.9M -9.5K 0.00 40.77 N/A N/A 10 0 1,838 908 2009-05-15 $26.85 $24.00 31.1% 8.9% 37.7% 10.9% 0.0% 7.3% 1.8% 62.6K -1.8M -9.3K 0.00 37.98 N/A N/A 0 0 1,848 908 2009-05-18 $27.91 $24.00 29.3% 8.4% 35.2% 9.6% 24.4% 8.1% 0.7% 57.8K -2.4M -8.9K 0.00 43.22 N/A N/A 0 3 1,846 907 2009-05-19 $28.09 $24.00 27.1% 7.8% 34.8% 7.9% 0.0% 6.3% 3.8% 57.4K -2.5M -8.9K 0.00 38.18 N/A N/A 9 0 1,846 904 2009-05-20 $28.29 $24.00 28.1% 8.0% 34.5% 8.6% 27.9% 4.4% 1.6% 54.5K -2.6M -8.7K 1.07 42.03 N/A N/A 27 29 1,846 904 2009-05-21 $28.02 $24.00 29.2% 8.4% 34.3% 9.5% 0.0% 7.6% 0.8% 60.5K -2.6M -8.7K 0.00 39.72 N/A N/A 0 10 1,873 883 2009-05-22 $28.24 $24.00 28.3% 8.1% 34.1% 8.8% 0.0% 6.6% 1.3% 57.9K -2.7M -8.5K 0.00 34.73 N/A N/A 0 0 1,873 893 2009-05-26 $28.74 $24.00 26.2% 7.5% 33.6% 7.2% 35.6% 7.2% 2.0% 51.6K -2.9M -8.4K 0.00 35.00 N/A N/A 17 0 1,873 893 2009-05-27 $28.27 $24.00 28.4% 8.2% 34.3% 8.9% 0.0% 4.3% 1.9% 56.1K -2.8M -8.0K 0.00 35.36 N/A N/A 2 0 1,878 893 2009-05-28 $28.47 $24.00 26.5% 7.6% 33.4% 7.5% 26.2% 7.2% 5.9% 58.6K -2.9M -8.0K 0.00 36.31 N/A N/A 7 0 1,880 893 2009-05-29 $29.09 $24.00 23.3% 6.7% 33.8% 5.0% 0.0% 11.5% 3.8% 56.8K -3.2M -7.5K 0.00 49.00 N/A N/A 0 0 1,887 893
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