VEA Options History — January 2010

In January 2010, VEA traded between $32.34 and $35.80. ATM implied volatility averaged 20.4%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.2% (HV 20d: 19.3%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 3.69.

Notable Days

2010-01-20: Highest Volume — 344 contracts
2010-01-20: Largest IV spike — 20.6% change
2010-01-27: Highest IV Rank — 31.4%
2010-01-22: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.58	$32.34	$35.80	$35.12	$32.34
Max Pain	$34.00	$34.00	$34.00	$34.00	$34.00
ATM IV	20.4%	15.7%	25.6%	18.9%	24.1%
Expected Move	6.1%	4.8%	7.3%	5.7%	6.9%
HV 20d	19.3%	16.4%	22.5%	18.3%	22.5%
HV 60d	22.3%	20.8%	23.3%	22.8%	21.0%
IV Rank	18.5%	8.3%	31.4%	14.4%	29.0%
IV Percentile	17.5%	0.8%	48.4%	2.4%	42.5%
Term Structure	2.2%	-2.7%	5.6%	0.6%	3.6%
VWIV	19.4%	19.4%	19.4%	19.4%	19.4%
Skew 25d	6.8%	0.3%	12.9%	7.5%	10.2%
Skew 10d	10.6%	1.9%	21.8%	5.7%	7.1%
Call IV 25d	17.7%	12.0%	24.2%	13.7%	17.6%
Put IV 25d	24.5%	16.0%	32.3%	21.1%	27.8%
Bid-Ask Spread %	68.27	38.23	101.93	61.33	101.24
Gamma HHI	0.18	0.15	0.24	0.21	0.15
Net GEX	19.6K	-6.0K	31.3K	28.4K	-6.0K
Net DEX	1.1M	788.4K	1.6M	984.6K	1.6M
Net VEX	-4.6K	-5.2K	-3.9K	-4.6K	-4.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.69	0.00	20.00	20.00	0.00
Total Volume	21.368	0	344	42	0
Total OI	1,537.316	1,394	1,717	1,417	1,717

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
2010-01-04	$35.12	$34.00	18.9%	5.7%	18.3%	14.4%	0.0%	7.5%	0.6%	28.4K	984.6K	-4.6K	20.00	61.33	N/A	N/A	2	40	538	879
2010-01-05	$35.14	$34.00	20.4%	5.8%	18.2%	17.3%	0.0%	1.9%	2.2%	22.1K	935.6K	-5.0K	0.00	52.45	N/A	N/A	0	0	540	909
2010-01-06	$35.15	$34.00	20.3%	5.9%	18.1%	16.9%	0.0%	2.2%	2.3%	23.0K	887.9K	-4.9K	0.00	57.90	N/A	N/A	0	0	540	909
2010-01-07	$35.08	$34.00	19.1%	6.1%	17.0%	14.6%	0.0%	0.3%	1.4%	22.0K	1.0M	-5.0K	0.00	41.72	N/A	N/A	3	0	540	909
2010-01-08	$35.46	$34.00	16.1%	5.7%	17.4%	8.9%	0.0%	7.5%	2.4%	27.9K	975.4K	-4.8K	0.00	40.07	N/A	N/A	0	0	537	909
2010-01-11	$35.68	$34.00	16.4%	5.6%	17.5%	9.5%	0.0%	5.3%	2.5%	26.9K	840.0K	-4.8K	0.00	38.23	N/A	N/A	0	0	537	909
2010-01-12	$35.27	$34.00	15.7%	5.9%	18.1%	8.3%	0.0%	4.5%	1.1%	31.3K	990.6K	-4.4K	0.00	45.70	N/A	N/A	0	4	537	909
2010-01-13	$35.60	$34.00	17.2%	5.6%	18.1%	11.1%	0.0%	4.6%	1.6%	29.8K	871.4K	-4.6K	0.00	50.17	N/A	N/A	0	0	537	913
2010-01-14	$35.80	$34.00	18.2%	5.2%	17.8%	13.1%	0.0%	7.4%	5.1%	30.5K	788.4K	-4.3K	0.00	48.77	N/A	N/A	0	0	537	904
2010-01-15	$35.22	$34.00	18.9%	5.4%	18.5%	14.4%	0.0%	5.9%	5.6%	31.0K	935.3K	-4.5K	0.00	53.92	N/A	N/A	0	0	534	904
2010-01-19	$35.61	$34.00	16.9%	4.8%	16.4%	10.4%	0.0%	11.7%	3.2%	22.9K	898.2K	-4.1K	0.00	97.08	N/A	N/A	0	0	491	903
2010-01-20	$34.70	$34.00	20.3%	5.8%	19.1%	17.0%	0.0%	6.4%	2.2%	13.8K	1.2M	-3.9K	0.79	67.25	N/A	N/A	192	152	491	903
2010-01-21	$33.98	$34.00	22.5%	6.4%	20.5%	21.2%	19.4%	4.5%	-2.7%	18.3K	1.1M	-5.2K	0.00	84.77	N/A	N/A	3	0	683	1,021
2010-01-22	$33.22	$34.00	25.6%	7.3%	21.7%	27.1%	0.0%	8.2%	3.8%	9.5K	1.4M	-5.1K	1.33	87.33	N/A	N/A	3	4	686	1,021
2010-01-25	$33.71	$34.00	23.7%	6.8%	22.2%	28.0%	0.0%	10.8%	1.6%	16.5K	1.3M	-4.8K	0.00	101.93	N/A	N/A	0	0	689	1,025
2010-01-26	$33.53	$34.00	24.0%	6.9%	21.3%	28.8%	0.0%	8.8%	3.0%	12.6K	1.4M	-4.9K	0.00	76.02	N/A	N/A	3	0	689	1,025
2010-01-27	$33.46	$34.00	25.2%	7.2%	21.2%	31.4%	0.0%	12.9%	0.7%	9.2K	1.4M	-4.5K	0.00	100.79	N/A	N/A	0	0	692	1,025
2010-01-28	$32.91	$34.00	24.9%	7.2%	21.9%	30.9%	0.0%	8.4%	1.5%	2.4K	1.6M	-4.2K	0.00	90.52	N/A	N/A	0	0	692	1,025
2010-01-29	$32.34	$34.00	24.1%	6.9%	22.5%	29.0%	0.0%	10.2%	3.6%	-6.0K	1.6M	-4.0K	0.00	101.24	N/A	N/A	0	0	692	1,025