VEA Options History — February 2011

In February 2011, VEA traded between $37.38 and $38.49. ATM implied volatility averaged 15.2%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.7% (HV 20d: 15.9%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.19.

Notable Days

2011-02-01: Highest Volume — 70 contracts
2011-02-22: Largest IV spike — 189.7% change
2011-02-23: Highest IV Rank — 49.7%
2011-02-23: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.88	$37.38	$38.49	$37.83	$38.28
Max Pain	$34.47	$34.00	$37.00	$37.00	$34.00
ATM IV	15.2%	9.2%	27.5%	15.4%	14.4%
Expected Move	4.2%	2.6%	7.9%	4.4%	4.1%
HV 20d	15.9%	14.2%	18.3%	16.7%	16.2%
HV 60d	17.2%	14.7%	18.6%	18.6%	14.7%
IV Rank	11.2%	0.0%	49.7%	5.4%	14.1%
IV Percentile	13.7%	0.0%	77.0%	2.4%	4.0%
Term Structure	4.0%	-6.0%	11.8%	-0.3%	8.1%
VWIV	21.7%	17.1%	26.3%	17.1%	26.3%
Skew 25d	6.8%	-0.8%	13.1%	5.5%	6.9%
Skew 10d	6.7%	-1.4%	17.4%	5.2%	4.0%
Call IV 25d	13.2%	9.2%	18.0%	11.6%	11.8%
Put IV 25d	20.0%	14.0%	25.9%	17.0%	18.8%
Bid-Ask Spread %	66.92	29.91	100.83	88.52	38.05
Gamma HHI	0.22	0.19	0.25	0.25	0.23
Net GEX	84.6K	54.9K	99.3K	54.9K	97.2K
Net DEX	-1.4M	-1.6M	-1.2M	-1.2M	-1.5M
Net VEX	-6.2K	-6.5K	-5.5K	-5.5K	-6.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.00	1.60	0.00	0.00
Total Volume	14.474	0	70	70	0
Total OI	1,091.263	864	1,193	1,048	901

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
2011-02-01	$37.83	$37.00	15.4%	4.4%	16.7%	5.4%	0.0%	5.5%	-0.3%	54.9K	-1.2M	-5.5K	0.00	88.52	N/A	N/A	70	0	661	387
2011-02-02	$37.81	$37.00	15.9%	4.6%	16.6%	6.7%	0.0%	7.6%	-6.0%	60.6K	-1.2M	-6.1K	0.00	83.82	N/A	N/A	64	0	717	387
2011-02-03	$37.82	$37.00	15.4%	4.4%	16.4%	5.4%	0.0%	1.1%	-5.8%	67.4K	-1.3M	-6.4K	0.00	82.70	N/A	N/A	19	0	766	387
2011-02-04	$37.77	$34.00	16.2%	4.2%	15.9%	7.8%	0.0%	6.8%	5.4%	67.3K	-1.3M	-6.5K	0.00	69.32	N/A	N/A	1	0	777	387
2011-02-07	$37.90	$34.00	16.2%	2.9%	15.8%	7.6%	0.0%	11.0%	10.5%	77.9K	-1.4M	-6.4K	0.00	76.21	N/A	N/A	0	3	778	387
2011-02-08	$38.10	$34.00	15.0%	3.8%	15.6%	4.1%	0.0%	13.1%	10.7%	89.0K	-1.4M	-6.3K	0.00	73.06	N/A	N/A	0	0	778	390
2011-02-09	$38.02	$34.00	15.3%	3.6%	15.7%	5.1%	0.0%	5.8%	5.4%	87.1K	-1.4M	-6.2K	0.00	71.82	N/A	N/A	0	1	778	390
2011-02-10	$37.75	$34.00	13.2%	3.8%	14.6%	0.0%	0.0%	4.4%	3.1%	84.8K	-1.3M	-6.1K	0.00	64.18	N/A	N/A	18	0	778	389
2011-02-11	$37.77	$34.00	9.6%	2.7%	14.5%	0.0%	0.0%	10.5%	9.8%	85.9K	-1.3M	-6.3K	1.60	64.91	N/A	N/A	5	8	790	389
2011-02-14	$37.81	$34.00	9.8%	2.8%	14.5%	0.6%	17.1%	9.9%	9.8%	95.4K	-1.3M	-6.2K	0.00	67.23	N/A	N/A	10	0	792	397
2011-02-15	$37.71	$34.00	10.2%	2.9%	14.4%	1.9%	0.0%	9.3%	9.2%	94.4K	-1.3M	-6.1K	0.00	100.83	N/A	N/A	0	0	790	397
2011-02-16	$38.17	$34.00	9.4%	2.7%	14.7%	0.0%	0.0%	3.1%	9.3%	94.7K	-1.5M	-6.0K	0.22	71.38	N/A	N/A	23	5	790	397
2011-02-17	$38.36	$34.00	12.2%	3.5%	14.3%	7.7%	0.0%	-0.8%	5.0%	99.3K	-1.5M	-6.3K	0.00	62.24	N/A	N/A	3	0	796	395
2011-02-18	$38.49	$34.00	9.2%	2.6%	14.2%	0.0%	0.0%	5.2%	11.8%	95.3K	-1.6M	-6.2K	0.00	70.99	N/A	N/A	4	0	798	395
2011-02-22	$37.38	$34.00	26.5%	7.6%	17.8%	47.1%	26.3%	9.9%	-5.2%	89.6K	-1.2M	-6.0K	0.46	58.73	N/A	N/A	26	12	793	71
2011-02-23	$37.38	$34.00	27.5%	7.9%	17.8%	49.7%	0.0%	10.2%	-6.0%	89.0K	-1.3M	-6.3K	0.00	29.91	N/A	N/A	0	1	819	83
2011-02-24	$37.41	$34.00	25.4%	7.3%	17.7%	44.0%	0.0%	7.9%	-5.2%	91.0K	-1.3M	-6.3K	0.00	46.53	N/A	N/A	2	0	819	84
2011-02-25	$37.90	$34.00	11.5%	3.3%	18.3%	6.4%	0.0%	2.4%	6.8%	85.9K	-1.4M	-6.3K	0.00	50.97	N/A	N/A	0	0	817	84
2011-02-28	$38.28	$34.00	14.4%	4.1%	16.2%	14.1%	0.0%	6.9%	8.1%	97.2K	-1.5M	-6.5K	0.00	38.05	N/A	N/A	0	0	817	84