VEA Options History — February 2010

In February 2010, VEA traded between $31.24 and $33.60. ATM implied volatility averaged 24.3%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 2.0% (HV 20d: 26.2%). Max pain ranged from $32.00 to $37.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.64.

Notable Days

2010-02-18: Highest Volume — 596 contracts
2010-02-26: Largest IV drop — 16.5% change
2010-02-08: Highest IV Rank — 37.0%
2010-02-08: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.44	$31.24	$33.60	$32.96	$32.58
Max Pain	$36.05	$32.00	$37.00	$34.00	$37.00
ATM IV	24.3%	19.1%	27.6%	24.9%	19.1%
Expected Move	7.1%	5.5%	8.8%	7.1%	5.5%
HV 20d	26.2%	22.7%	28.7%	23.7%	24.7%
HV 60d	22.4%	21.4%	23.3%	21.4%	21.4%
IV Rank	29.3%	17.5%	37.0%	30.7%	17.5%
IV Percentile	41.3%	6.0%	66.3%	46.4%	6.0%
Term Structure	0.0%	-3.2%	2.3%	0.9%	2.3%
VWIV	23.4%	15.5%	32.2%	26.7%	17.9%
Skew 25d	8.3%	3.5%	10.8%	9.8%	10.0%
Skew 10d	14.8%	4.0%	24.9%	10.6%	6.0%
Call IV 25d	20.2%	12.8%	27.1%	16.3%	15.0%
Put IV 25d	28.5%	23.6%	33.9%	26.1%	24.9%
Bid-Ask Spread %	92.30	78.06	105.22	105.22	98.68
Gamma HHI	0.17	0.14	0.21	0.16	0.20
Net GEX	-21.5K	-68.7K	15.4K	537	-57.1K
Net DEX	1.9M	1.4M	2.2M	1.6M	2.0M
Net VEX	-4.2K	-6.3K	-2.7K	-3.8K	-5.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.00	1.15	1.15	1.00
Total Volume	47.947	0	596	43	0
Total OI	2,018.947	1,717	2,451	1,717	2,422

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
2010-02-01	$32.96	$34.00	24.9%	7.1%	23.7%	30.7%	26.7%	9.8%	0.9%	537	1.6M	-3.8K	1.15	105.22	N/A	N/A	20	23	692	1,025
2010-02-02	$33.60	$32.00	21.8%	6.2%	22.7%	23.7%	22.2%	9.8%	0.6%	15.4K	1.4M	-3.9K	0.70	81.74	N/A	N/A	61	43	712	1,044
2010-02-03	$33.09	$32.00	24.4%	7.0%	23.1%	29.6%	0.0%	6.6%	1.1%	10.9K	1.5M	-4.4K	0.00	78.06	N/A	N/A	0	0	773	1,073
2010-02-04	$31.80	$32.00	27.5%	7.9%	26.5%	36.6%	20.4%	3.5%	0.9%	-14.0K	1.9M	-3.9K	0.00	89.59	N/A	N/A	0	23	773	1,073
2010-02-05	$31.52	$37.00	26.7%	8.2%	26.5%	34.8%	29.6%	7.5%	-2.7%	-25.8K	2.0M	-3.5K	0.00	90.32	N/A	N/A	3	0	773	1,076
2010-02-08	$31.24	$37.00	27.6%	8.8%	25.8%	37.0%	0.0%	3.6%	-3.2%	-24.2K	2.0M	-3.5K	0.00	88.07	N/A	N/A	0	0	773	1,076
2010-02-09	$32.17	$37.00	25.6%	7.9%	28.5%	32.3%	15.5%	8.5%	-1.9%	-15.2K	1.9M	-3.5K	0.17	91.45	N/A	N/A	6	1	773	1,076
2010-02-10	$31.97	$37.00	25.8%	8.1%	28.4%	32.9%	0.0%	7.7%	-2.0%	-22.8K	2.0M	-3.2K	0.00	92.74	N/A	N/A	0	0	777	1,076
2010-02-11	$32.24	$37.00	27.4%	7.9%	28.3%	36.5%	24.7%	8.3%	-0.8%	-19.9K	1.9M	-3.2K	0.44	88.19	N/A	N/A	9	4	777	1,076
2010-02-12	$32.16	$37.00	27.6%	7.9%	28.1%	36.8%	32.2%	8.6%	-1.5%	-19.7K	2.0M	-3.1K	0.00	89.66	N/A	N/A	0	1	770	1,076
2010-02-16	$32.67	$37.00	23.9%	6.9%	28.7%	28.5%	23.8%	9.5%	1.1%	-12.4K	1.8M	-2.9K	0.00	92.46	N/A	N/A	0	12	770	1,077
2010-02-17	$32.71	$37.00	25.1%	7.2%	28.2%	31.3%	27.3%	9.5%	-0.5%	-11.4K	1.8M	-2.9K	0.00	91.37	N/A	N/A	0	1	770	1,085
2010-02-18	$33.01	$37.00	23.6%	6.8%	27.4%	27.7%	0.0%	8.1%	0.7%	-12.2K	1.7M	-2.7K	1.00	92.23	N/A	N/A	298	298	770	1,085
2010-02-19	$32.71	$37.00	21.8%	6.3%	26.7%	23.8%	21.3%	7.2%	1.7%	-15.5K	1.8M	-6.3K	0.00	92.48	N/A	N/A	0	32	1,068	1,383
2010-02-22	$32.76	$37.00	20.2%	5.8%	25.5%	19.9%	21.2%	10.8%	1.7%	-25.5K	1.8M	-6.1K	1.00	100.31	N/A	N/A	1	1	1,001	1,404
2010-02-23	$32.39	$37.00	22.3%	6.4%	25.1%	24.7%	21.8%	10.3%	1.4%	-48.8K	2.0M	-5.8K	0.00	95.42	N/A	N/A	0	54	1,002	1,403
2010-02-24	$32.49	$37.00	23.0%	6.6%	25.2%	26.4%	17.9%	9.7%	0.6%	-43.0K	2.0M	-6.0K	0.00	99.22	N/A	N/A	0	20	1,002	1,432
2010-02-25	$32.36	$37.00	22.8%	6.5%	25.2%	26.1%	0.0%	9.1%	0.2%	-68.7K	2.2M	-5.3K	0.00	96.44	N/A	N/A	0	0	1,002	1,420
2010-02-26	$32.58	$37.00	19.1%	5.5%	24.7%	17.5%	0.0%	10.0%	2.3%	-57.1K	2.0M	-5.5K	0.00	98.68	N/A	N/A	0	0	1,002	1,420