VEA Options History — February 2013

In February 2013, VEA traded between $35.47 and $36.87. ATM implied volatility averaged 14.4%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.9% (HV 20d: 12.5%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.06.

Notable Days

2013-02-22: Highest Volume — 761 contracts
2013-02-04: Largest IV spike — 65.5% change
2013-02-25: Highest IV Rank — 23.7%
2013-02-25: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.25	$35.47	$36.87	$36.87	$36.16
Max Pain	$33.00	$33.00	$33.00	$33.00	$33.00
ATM IV	14.4%	9.1%	21.8%	9.1%	15.2%
Expected Move	4.2%	3.0%	6.2%	3.6%	4.4%
HV 20d	12.5%	9.3%	16.6%	9.3%	16.6%
HV 60d	11.6%	10.8%	12.4%	11.7%	12.4%
IV Rank	10.8%	1.7%	23.7%	1.7%	12.3%
IV Percentile	21.2%	0.8%	73.4%	0.8%	26.2%
Term Structure	0.5%	-2.2%	2.4%	1.8%	-0.5%
VWIV	14.1%	9.3%	18.4%	12.5%	18.4%
Skew 25d	4.8%	1.8%	9.5%	1.8%	5.5%
Skew 10d	5.4%	1.2%	12.6%	1.4%	12.6%
Call IV 25d	11.2%	7.8%	14.9%	10.9%	13.1%
Put IV 25d	16.0%	12.2%	22.0%	12.6%	18.5%
Bid-Ask Spread %	59.53	25.40	99.05	99.05	25.40
Gamma HHI	0.45	0.31	0.67	0.44	0.52
Net GEX	154.9K	-48.6K	479.3K	114.6K	472.8K
Net DEX	-1.8M	-2.5M	-683.0K	-2.2M	-2.5M
Net VEX	-5.6K	-10.1K	-2.8K	-3.5K	-9.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.00	7.00	0.18	0.00
Total Volume	96.316	0	761	0	67
Total OI	1,983.737	1,122	2,688	1,828	2,674

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
2013-02-01	$36.87	$33.00	9.1%	3.6%	9.3%	1.7%	0.0%	1.8%	1.8%	114.6K	-2.2M	-3.5K	0.00	99.05	N/A	N/A	0	0	947	881
2013-02-04	$36.20	$33.00	15.0%	4.3%	11.7%	12.0%	12.5%	4.8%	0.9%	-48.6K	-1.6M	-4.7K	0.18	92.72	N/A	N/A	33	6	947	881
2013-02-05	$36.36	$33.00	14.2%	4.1%	11.5%	10.6%	0.0%	5.5%	0.7%	-6.1K	-1.8M	-4.3K	0.00	83.90	N/A	N/A	0	0	947	885
2013-02-06	$36.36	$33.00	10.7%	4.4%	11.3%	4.5%	0.0%	5.8%	1.3%	43.4K	-1.8M	-3.9K	7.00	79.41	N/A	N/A	1	7	947	885
2013-02-07	$36.08	$33.00	15.5%	4.4%	11.7%	12.8%	0.0%	4.5%	0.5%	39.6K	-1.7M	-3.8K	0.00	73.93	N/A	N/A	0	0	946	891
2013-02-08	$36.33	$33.00	14.9%	4.3%	10.9%	11.8%	0.0%	4.0%	0.8%	12.2K	-1.8M	-3.7K	0.00	73.61	N/A	N/A	15	0	946	891
2013-02-11	$36.30	$33.00	15.0%	4.3%	10.9%	12.0%	0.0%	4.6%	0.6%	35.4K	-1.8M	-3.6K	0.00	63.12	N/A	N/A	0	0	939	891
2013-02-12	$36.45	$33.00	14.6%	4.2%	11.0%	11.3%	14.8%	4.7%	0.8%	91.2K	-1.9M	-3.4K	0.00	62.82	N/A	N/A	0	1	939	891
2013-02-13	$36.58	$33.00	12.5%	3.6%	11.0%	7.7%	0.0%	4.2%	0.7%	102.2K	-2.1M	-3.3K	0.00	54.12	N/A	N/A	0	0	939	892
2013-02-14	$36.37	$33.00	14.1%	4.0%	11.0%	10.4%	14.0%	4.2%	1.4%	119.9K	-1.9M	-3.0K	0.50	58.52	N/A	N/A	20	10	937	886
2013-02-15	$36.24	$33.00	13.0%	3.7%	10.7%	8.5%	0.0%	3.4%	2.4%	127.8K	-1.9M	-3.2K	1.38	58.37	N/A	N/A	8	11	938	885
2013-02-19	$36.69	$33.00	10.4%	3.0%	11.5%	4.0%	10.2%	2.5%	1.7%	135.7K	-2.0M	-2.8K	2.46	51.75	N/A	N/A	210	516	897	225
2013-02-20	$36.35	$33.00	15.6%	4.5%	12.1%	13.0%	9.3%	2.9%	-1.3%	141.7K	-1.3M	-7.9K	0.00	45.37	N/A	N/A	100	0	1,107	741
2013-02-21	$35.79	$33.00	13.5%	3.9%	13.3%	9.3%	13.5%	4.5%	1.2%	150.4K	-683.0K	-7.7K	0.24	40.77	N/A	N/A	21	5	1,207	741
2013-02-22	$36.32	$33.00	15.2%	4.3%	14.2%	12.2%	15.0%	8.3%	-1.0%	159.9K	-1.1M	-7.9K	0.00	42.42	N/A	N/A	761	0	1,207	745
2013-02-25	$35.47	$33.00	21.8%	6.2%	15.9%	23.7%	0.0%	7.1%	-2.2%	349.5K	-1.5M	-10.1K	0.00	44.16	N/A	N/A	0	0	1,950	738
2013-02-26	$35.73	$33.00	16.9%	4.9%	16.1%	15.3%	16.8%	3.9%	-0.1%	422.3K	-1.7M	-9.8K	0.00	34.73	N/A	N/A	18	0	1,931	738
2013-02-27	$36.18	$33.00	15.5%	4.4%	16.6%	12.8%	16.4%	9.5%	-0.6%	479.3K	-2.4M	-9.6K	1.00	46.97	N/A	N/A	10	10	1,921	738
2013-02-28	$36.16	$33.00	15.2%	4.4%	16.6%	12.3%	18.4%	5.5%	-0.5%	472.8K	-2.5M	-9.8K	0.00	25.40	N/A	N/A	67	0	1,926	748