VEA Options History — April 2011

In April 2011, VEA traded between $37.07 and $39.62. ATM implied volatility averaged 15.4%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 3.3% (HV 20d: 18.7%). Max pain ranged from $36.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.47.

Notable Days

2011-04-18: Highest Volume — 74 contracts
2011-04-14: Largest IV spike — 53.0% change
2011-04-18: Highest IV Rank — 27.7%
2011-04-18: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.14	$37.07	$39.62	$37.69	$39.62
Max Pain	$36.55	$36.00	$41.00	$41.00	$37.00
ATM IV	15.4%	11.2%	19.4%	14.8%	14.3%
Expected Move	4.7%	3.9%	5.6%	4.2%	4.1%
HV 20d	18.7%	13.3%	25.8%	25.8%	14.8%
HV 60d	19.6%	19.1%	20.3%	19.7%	19.2%
IV Rank	17.0%	5.4%	27.7%	15.2%	13.9%
IV Percentile	11.8%	2.4%	36.1%	6.3%	6.7%
Term Structure	1.7%	-0.0%	3.0%	3.0%	1.8%
VWIV	17.4%	13.4%	21.5%	18.5%	15.9%
Skew 25d	5.9%	2.7%	8.3%	5.3%	2.7%
Skew 10d	10.1%	2.8%	16.2%	8.6%	3.6%
Call IV 25d	13.9%	11.1%	16.9%	12.9%	13.7%
Put IV 25d	19.8%	15.9%	22.7%	18.1%	16.4%
Bid-Ask Spread %	38.95	18.57	59.08	32.21	19.60
Gamma HHI	0.27	0.25	0.30	0.25	0.28
Net GEX	132.0K	101.6K	162.3K	101.6K	159.3K
Net DEX	-1.4M	-2.2M	-980.4K	-1.0M	-2.2M
Net VEX	-6.5K	-7.0K	-5.8K	-6.2K	-6.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.00	5.00	0.00	0.63
Total Volume	16.1	0	74	17	13
Total OI	1,039.95	936	1,117	936	1,117

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
2011-04-01	$37.69	$41.00	14.8%	4.2%	25.8%	15.2%	0.0%	5.3%	3.0%	101.6K	-1.0M	-6.2K	0.00	32.21	N/A	N/A	17	0	827	109
2011-04-04	$37.68	$36.00	14.6%	5.1%	25.5%	14.8%	0.0%	6.6%	1.3%	104.8K	-1.0M	-6.3K	0.00	59.08	N/A	N/A	2	0	844	109
2011-04-05	$37.58	$36.00	15.4%	4.8%	25.4%	17.0%	18.5%	6.6%	2.0%	108.2K	-1.0M	-6.2K	5.00	44.92	N/A	N/A	2	10	846	109
2011-04-06	$37.91	$36.00	14.7%	5.1%	25.6%	15.1%	21.5%	7.4%	-0.0%	111.6K	-1.1M	-6.4K	0.00	50.63	N/A	N/A	47	0	848	119
2011-04-07	$37.74	$36.00	15.9%	5.0%	24.0%	18.4%	17.3%	6.5%	1.4%	110.2K	-1.1M	-6.5K	0.00	42.11	N/A	N/A	21	0	886	119
2011-04-08	$38.03	$36.00	16.1%	5.2%	24.1%	18.9%	18.3%	8.3%	0.9%	120.6K	-1.3M	-6.8K	0.00	46.00	N/A	N/A	13	0	907	119
2011-04-11	$37.95	$36.00	16.8%	5.4%	23.0%	20.8%	0.0%	8.1%	1.4%	118.1K	-1.3M	-6.7K	0.00	50.01	N/A	N/A	0	0	900	119
2011-04-12	$37.60	$36.00	17.2%	5.2%	21.6%	21.7%	0.0%	6.3%	1.7%	115.9K	-1.1M	-6.5K	0.00	49.95	N/A	N/A	12	0	900	119
2011-04-13	$37.73	$36.00	11.2%	5.1%	17.5%	5.4%	0.0%	7.1%	1.0%	121.8K	-1.2M	-6.5K	0.00	49.83	N/A	N/A	0	0	910	119
2011-04-14	$37.89	$36.00	17.1%	4.9%	14.3%	21.5%	19.0%	6.0%	1.7%	130.0K	-1.2M	-6.5K	0.00	47.72	N/A	N/A	17	0	910	119
2011-04-15	$37.84	$36.00	16.7%	4.8%	13.6%	20.5%	0.0%	6.7%	1.8%	135.2K	-1.2M	-6.4K	0.00	53.00	N/A	N/A	3	0	927	119
2011-04-18	$37.07	$36.00	19.4%	5.6%	13.3%	27.7%	21.1%	5.3%	1.1%	115.5K	-980.8K	-5.8K	0.68	29.53	N/A	N/A	44	30	926	85
2011-04-19	$37.34	$36.00	18.0%	5.1%	13.5%	23.9%	16.6%	7.5%	1.7%	126.9K	-980.4K	-6.2K	0.00	36.08	N/A	N/A	22	0	942	115
2011-04-20	$38.33	$36.00	15.2%	4.4%	16.2%	16.5%	14.8%	6.2%	2.4%	158.4K	-1.5M	-6.8K	2.09	50.12	N/A	N/A	11	23	964	115
2011-04-21	$38.56	$37.00	13.5%	3.9%	15.7%	11.9%	13.4%	2.7%	2.8%	159.0K	-1.6M	-7.0K	0.00	22.21	N/A	N/A	3	0	969	138
2011-04-25	$38.54	$37.00	14.4%	4.1%	14.8%	14.3%	0.0%	5.0%	2.3%	158.3K	-1.6M	-6.9K	0.00	28.95	N/A	N/A	1	0	972	138
2011-04-26	$38.84	$37.00	14.3%	4.1%	15.0%	14.0%	0.0%	4.6%	2.0%	161.9K	-1.7M	-6.8K	0.00	22.57	N/A	N/A	1	0	971	138
2011-04-27	$39.32	$37.00	15.3%	4.4%	15.3%	16.6%	15.3%	5.2%	2.3%	162.3K	-2.0M	-6.8K	0.00	18.57	N/A	N/A	24	0	970	138
2011-04-28	$39.59	$37.00	13.6%	3.9%	15.1%	12.0%	0.0%	3.4%	1.8%	160.6K	-2.1M	-6.8K	0.00	25.86	N/A	N/A	6	0	979	138
2011-04-29	$39.62	$37.00	14.3%	4.1%	14.8%	13.9%	15.9%	2.7%	1.8%	159.3K	-2.2M	-6.7K	0.63	19.60	N/A	N/A	8	5	979	138