VEA Options History — January 2011

In January 2011, VEA traded between $35.59 and $37.45. ATM implied volatility averaged 17.3%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.6% (HV 20d: 12.7%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.20.

Notable Days

2011-01-06: Highest Volume — 81 contracts
2011-01-13: Largest IV spike — 29.2% change
2011-01-31: Highest IV Rank — 13.7%
2011-01-07: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.63	$35.59	$37.45	$36.44	$36.93
Max Pain	$37.20	$37.00	$38.00	$38.00	$37.00
ATM IV	17.3%	13.7%	18.2%	17.8%	18.1%
Expected Move	5.1%	4.7%	5.6%	5.1%	5.2%
HV 20d	12.7%	11.5%	14.7%	12.0%	14.7%
HV 60d	18.5%	18.1%	19.3%	18.9%	18.5%
IV Rank	10.9%	0.0%	13.7%	11.8%	13.7%
IV Percentile	13.6%	0.0%	23.4%	15.9%	23.4%
Term Structure	4.0%	1.3%	6.0%	2.6%	4.4%
VWIV	18.7%	16.6%	21.5%	19.2%	16.6%
Skew 25d	5.4%	3.2%	7.8%	4.8%	3.2%
Skew 10d	9.0%	2.9%	14.7%	6.0%	3.1%
Call IV 25d	15.1%	12.0%	18.0%	14.1%	16.1%
Put IV 25d	20.5%	17.0%	23.1%	18.9%	19.3%
Bid-Ask Spread %	62.53	43.37	79.81	61.06	71.06
Gamma HHI	0.21	0.18	0.24	0.21	0.19
Net GEX	-4.4K	-38.1K	40.9K	-35.8K	22.7K
Net DEX	-450.1K	-981.3K	92.9K	-53.3K	-810.1K
Net VEX	-5.1K	-5.7K	-4.0K	-4.0K	-5.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	3.00	3.00	0.00
Total Volume	20.1	0	81	4	39
Total OI	978.35	802	1,066	802	1,010

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
2011-01-03	$36.44	$38.00	17.8%	5.1%	12.0%	11.8%	19.2%	4.8%	2.6%	-35.8K	-53.3K	-4.0K	3.00	61.06	N/A	N/A	1	3	333	469
2011-01-04	$36.33	$38.00	18.2%	5.2%	11.9%	12.9%	18.4%	6.7%	2.0%	-35.3K	-7.1K	-4.0K	0.00	56.73	N/A	N/A	49	0	334	472
2011-01-05	$36.13	$38.00	17.2%	4.9%	12.0%	9.9%	0.0%	4.8%	2.0%	-34.8K	-2.5K	-4.3K	0.00	43.37	N/A	N/A	15	0	380	472
2011-01-06	$35.81	$38.00	18.0%	5.2%	12.4%	12.3%	0.0%	7.8%	1.3%	-38.1K	92.9K	-4.3K	0.01	50.58	N/A	N/A	80	1	386	472
2011-01-07	$35.69	$37.00	17.9%	5.6%	12.4%	12.1%	21.5%	5.1%	2.3%	-32.0K	42.0K	-5.0K	0.02	55.72	N/A	N/A	45	1	464	473
2011-01-10	$35.59	$37.00	17.0%	5.5%	12.3%	9.0%	0.0%	5.6%	2.5%	-31.3K	49.5K	-5.1K	0.00	61.15	N/A	N/A	28	0	509	474
2011-01-11	$35.83	$37.00	16.3%	5.4%	11.9%	7.0%	0.0%	7.3%	3.2%	-27.3K	-84.8K	-5.4K	0.08	59.99	N/A	N/A	13	1	537	474
2011-01-12	$36.59	$37.00	13.7%	5.1%	14.3%	0.0%	0.0%	3.8%	3.9%	-12.9K	-413.8K	-5.4K	0.00	64.32	N/A	N/A	50	0	550	475
2011-01-13	$36.74	$37.00	17.7%	5.1%	13.5%	12.4%	0.0%	4.8%	4.6%	-7.2K	-514.7K	-5.7K	0.00	59.23	N/A	N/A	20	0	577	475
2011-01-14	$36.94	$37.00	17.8%	5.1%	13.5%	12.5%	0.0%	6.6%	4.9%	1.0K	-564.5K	-5.6K	0.00	60.37	N/A	N/A	2	0	585	475
2011-01-18	$37.18	$37.00	17.9%	5.1%	13.5%	12.9%	0.0%	6.9%	4.9%	6.3K	-678.1K	-5.5K	0.00	61.99	N/A	N/A	2	0	587	475
2011-01-19	$36.99	$37.00	17.7%	5.1%	13.7%	12.3%	0.0%	3.6%	5.3%	2.1K	-633.7K	-5.3K	0.00	57.47	N/A	N/A	2	0	589	475
2011-01-20	$36.67	$37.00	18.1%	5.2%	13.9%	13.5%	0.0%	6.3%	5.2%	-974	-496.1K	-5.3K	0.00	65.24	N/A	N/A	1	0	591	475
2011-01-21	$36.87	$37.00	17.7%	5.1%	11.5%	12.3%	17.8%	4.8%	4.4%	5.0K	-665.8K	-5.3K	0.63	65.54	N/A	N/A	8	5	591	453
2011-01-24	$37.20	$37.00	17.6%	5.0%	11.7%	12.1%	16.6%	5.9%	5.6%	21.5K	-841.4K	-5.3K	0.00	70.75	N/A	N/A	10	0	588	386
2011-01-25	$37.18	$37.00	17.6%	5.1%	11.7%	12.2%	0.0%	5.7%	5.4%	23.3K	-818.0K	-5.3K	0.00	72.22	N/A	N/A	8	0	598	386
2011-01-26	$37.36	$37.00	16.6%	4.8%	11.7%	9.0%	0.0%	5.2%	6.0%	33.6K	-940.0K	-5.2K	0.00	79.81	N/A	N/A	0	0	606	386
2011-01-27	$37.45	$37.00	16.2%	4.7%	11.5%	7.8%	0.0%	5.0%	5.7%	40.9K	-981.3K	-5.1K	0.00	74.02	N/A	N/A	1	0	606	386
2011-01-28	$36.58	$37.00	17.4%	5.0%	14.5%	11.5%	0.0%	4.3%	4.5%	12.2K	-681.0K	-5.2K	0.06	59.90	N/A	N/A	16	1	607	386
2011-01-31	$36.93	$37.00	18.1%	5.2%	14.7%	13.7%	0.0%	3.2%	4.4%	22.7K	-810.1K	-5.2K	0.00	71.06	N/A	N/A	39	0	623	387