VEA Options History — September 2012

In September 2012, VEA traded between $32.42 and $34.90. ATM implied volatility averaged 16.3%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.3% (HV 20d: 15.0%). Max pain ranged from $32.00 to $43.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 19.42.

Notable Days

2012-09-21: Highest Volume — 2,225 contracts
2012-09-24: Largest IV spike — 92.6% change
2012-09-05: Highest IV Rank — 22.9%
2012-09-05: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.80	$32.42	$34.90	$32.49	$32.88
Max Pain	$39.79	$32.00	$43.00	$32.00	$36.00
ATM IV	16.3%	8.1%	24.4%	24.0%	18.5%
Expected Move	4.7%	2.3%	7.0%	6.9%	5.3%
HV 20d	15.0%	8.9%	19.2%	9.4%	19.2%
HV 60d	19.2%	18.0%	20.1%	19.8%	18.3%
IV Rank	9.9%	0.0%	22.9%	22.1%	18.0%
IV Percentile	11.2%	0.0%	51.2%	47.2%	17.5%
Term Structure	2.6%	-3.1%	10.4%	-0.0%	1.2%
VWIV	18.2%	11.2%	27.0%	11.6%	18.3%
Skew 25d	6.7%	1.8%	10.0%	7.9%	1.8%
Skew 10d	8.3%	0.3%	19.2%	5.7%	1.5%
Call IV 25d	14.0%	7.4%	17.3%	17.3%	16.5%
Put IV 25d	20.7%	14.4%	26.6%	25.1%	18.2%
Bid-Ask Spread %	67.00	25.72	103.65	98.41	99.83
Gamma HHI	0.56	0.24	0.77	0.72	0.55
Net GEX	384.8K	52.8K	795.3K	545.5K	296.6K
Net DEX	-926.0K	-4.9M	4.3M	112.0K	4.3M
Net VEX	-8.0K	-14.5K	-2.9K	-10.4K	-12.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	19.42	0.00	186.00	3.40	0.00
Total Volume	256.526	0	2,225	240	14
Total OI	4,820.053	3,048	5,403	4,542	4,499

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
2012-09-04	$32.49	$32.00	24.0%	6.9%	9.4%	22.1%	0.0%	7.9%	-0.0%	545.5K	112.0K	-10.4K	0.00	98.41	N/A	N/A	0	240	2,854	1,688
2012-09-05	$32.42	$32.00	24.4%	7.0%	8.9%	22.9%	11.6%	10.0%	-3.1%	532.6K	912.1K	-10.2K	3.40	97.89	N/A	N/A	5	17	2,854	1,920
2012-09-06	$33.22	$32.00	18.7%	5.4%	12.5%	12.2%	20.0%	9.6%	0.3%	755.2K	-1.1M	-10.3K	5.91	103.65	N/A	N/A	11	65	2,849	1,937
2012-09-07	$33.71	$43.00	15.3%	5.1%	13.5%	6.0%	0.0%	5.4%	2.9%	748.9K	-2.4M	-8.9K	0.00	90.58	N/A	N/A	5	0	2,860	2,002
2012-09-10	$33.44	$43.00	20.3%	5.9%	13.9%	15.2%	16.7%	6.7%	2.2%	759.6K	-1.8M	-8.6K	0.00	94.63	N/A	N/A	0	40	2,862	2,002
2012-09-11	$33.83	$43.00	16.6%	5.2%	14.2%	8.4%	27.0%	5.4%	3.4%	795.3K	-2.9M	-7.1K	25.00	40.37	N/A	N/A	2	50	2,862	2,021
2012-09-12	$34.01	$43.00	17.8%	5.2%	14.3%	10.5%	0.0%	7.8%	2.3%	625.9K	-3.2M	-6.9K	11.71	30.04	N/A	N/A	7	82	2,860	2,071
2012-09-13	$34.59	$43.00	12.2%	3.5%	15.1%	0.2%	0.0%	9.2%	4.2%	371.7K	-4.3M	-4.7K	0.00	25.72	N/A	N/A	0	0	2,858	2,153
2012-09-14	$34.90	$43.00	13.7%	3.9%	14.9%	2.9%	22.3%	5.0%	2.7%	132.0K	-4.9M	-4.1K	186.00	27.56	N/A	N/A	2	372	2,858	2,153
2012-09-17	$34.70	$43.00	12.0%	3.4%	15.2%	0.0%	0.0%	7.9%	4.6%	113.8K	-3.6M	-3.7K	0.63	37.07	N/A	N/A	16	10	2,860	2,525
2012-09-18	$34.59	$43.00	12.6%	3.6%	15.2%	1.1%	20.9%	7.4%	3.5%	171.2K	-3.4M	-3.5K	0.00	37.25	N/A	N/A	0	15	2,868	2,535
2012-09-19	$34.67	$43.00	11.6%	3.3%	15.1%	0.0%	0.0%	8.0%	5.3%	108.8K	-3.5M	-3.3K	0.00	39.39	N/A	N/A	32	0	2,868	2,535
2012-09-20	$34.45	$43.00	16.9%	4.8%	15.4%	9.7%	0.0%	7.7%	3.2%	136.7K	-3.4M	-3.1K	0.00	33.65	N/A	N/A	66	0	2,868	2,535
2012-09-21	$34.51	$43.00	8.1%	2.3%	15.2%	0.0%	11.2%	8.5%	10.4%	52.8K	-3.5M	-2.9K	0.09	38.81	N/A	N/A	2,044	181	2,847	2,535
2012-09-24	$33.74	$43.00	15.6%	4.5%	17.5%	13.0%	15.7%	5.8%	1.7%	66.1K	4.0M	-10.4K	0.33	88.73	N/A	N/A	1,099	366	1,182	1,866
2012-09-25	$33.48	$36.00	18.1%	5.2%	17.8%	17.3%	18.6%	1.9%	0.8%	379.3K	3.4M	-14.5K	0.00	97.06	N/A	N/A	0	83	2,281	2,165
2012-09-26	$33.14	$36.00	18.4%	5.3%	18.2%	17.8%	18.3%	3.0%	1.3%	316.1K	4.0M	-13.1K	0.00	98.66	N/A	N/A	0	47	2,281	2,171
2012-09-27	$33.52	$36.00	14.8%	4.2%	18.6%	11.5%	0.0%	8.5%	3.0%	403.3K	3.6M	-14.0K	0.00	93.67	N/A	N/A	3	0	2,281	2,215
2012-09-28	$32.88	$36.00	18.5%	5.3%	19.2%	18.0%	0.0%	1.8%	1.2%	296.6K	4.3M	-12.4K	0.00	99.83	N/A	N/A	0	14	2,284	2,215