VEA Options History — March 2013

In March 2013, VEA traded between $36.08 and $37.16. ATM implied volatility averaged 12.8%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 1.5% (HV 20d: 14.3%). Max pain ranged from $33.00 to $37.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.71.

Notable Days

2013-03-14: Highest Volume — 668 contracts
2013-03-13: Largest IV drop — 39.2% change
2013-03-25: Highest IV Rank — 13.0%
2013-03-25: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.66	$36.08	$37.16	$36.08	$36.43
Max Pain	$35.95	$33.00	$37.00	$33.00	$36.00
ATM IV	12.8%	8.4%	15.6%	15.3%	13.9%
Expected Move	3.7%	3.2%	4.5%	4.4%	4.0%
HV 20d	14.3%	10.2%	16.5%	16.5%	10.3%
HV 60d	12.8%	12.5%	13.3%	12.5%	12.9%
IV Rank	8.1%	0.5%	13.0%	12.5%	10.0%
IV Percentile	15.6%	0.4%	35.7%	27.0%	23.8%
Term Structure	1.1%	-1.0%	2.4%	-0.2%	1.2%
VWIV	13.0%	9.2%	17.2%	15.4%	11.2%
Skew 25d	4.9%	3.1%	6.3%	4.2%	5.9%
Skew 10d	10.8%	5.0%	15.5%	11.7%	5.0%
Call IV 25d	11.4%	9.8%	14.5%	14.5%	10.5%
Put IV 25d	16.3%	13.8%	19.1%	18.7%	16.4%
Bid-Ask Spread %	46.29	14.00	90.32	32.69	14.00
Gamma HHI	0.49	0.30	0.76	0.57	0.49
Net GEX	338.2K	-2.3K	595.9K	507.7K	380.1K
Net DEX	-2.5M	-5.5M	-180.1K	-2.5M	-1.5M
Net VEX	-9.5K	-13.1K	-7.1K	-10.0K	-13.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.71	0.00	54.33	0.00	0.00
Total Volume	125.95	0	668	7	10
Total OI	2,506.7	1,394	3,117	2,693	2,670

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
2013-03-01	$36.08	$33.00	15.3%	4.4%	16.5%	12.5%	15.4%	4.2%	-0.2%	507.7K	-2.5M	-10.0K	0.00	32.69	N/A	N/A	7	0	1,945	748
2013-03-04	$36.24	$35.00	14.9%	4.3%	16.4%	11.8%	0.0%	6.3%	0.2%	575.6K	-2.8M	-9.3K	0.00	82.71	N/A	N/A	24	0	1,943	748
2013-03-05	$36.59	$35.00	12.6%	3.6%	15.4%	7.8%	12.1%	5.0%	1.6%	572.2K	-3.6M	-9.0K	11.04	83.62	N/A	N/A	26	287	1,967	748
2013-03-06	$36.68	$35.00	12.1%	3.7%	15.3%	6.9%	0.0%	4.8%	1.2%	453.0K	-3.5M	-9.4K	0.00	84.05	N/A	N/A	12	0	1,993	1,035
2013-03-07	$36.79	$35.00	11.7%	3.6%	15.3%	6.2%	0.0%	5.3%	1.3%	471.9K	-3.9M	-9.1K	0.00	86.41	N/A	N/A	0	0	2,005	1,035
2013-03-08	$36.87	$35.00	10.6%	3.4%	15.0%	4.3%	0.0%	3.6%	1.9%	467.9K	-4.3M	-8.3K	0.00	90.32	N/A	N/A	0	0	2,005	1,035
2013-03-11	$36.97	$35.00	11.5%	3.3%	14.9%	5.9%	11.0%	4.3%	2.0%	437.7K	-4.8M	-7.4K	0.00	74.87	N/A	N/A	100	0	2,005	1,035
2013-03-12	$36.81	$35.00	13.8%	3.4%	15.0%	9.8%	17.2%	3.1%	2.1%	529.8K	-4.7M	-7.9K	0.67	74.43	N/A	N/A	3	2	2,100	994
2013-03-13	$36.73	$35.00	8.4%	3.3%	15.0%	0.5%	9.2%	5.3%	1.4%	554.6K	-4.7M	-7.4K	1.75	42.02	N/A	N/A	12	21	2,100	996
2013-03-14	$37.13	$37.00	11.0%	3.2%	15.4%	5.0%	0.0%	4.4%	2.4%	527.4K	-5.5M	-7.1K	0.00	25.64	N/A	N/A	668	0	2,103	1,014
2013-03-15	$37.16	$37.00	11.1%	3.2%	15.2%	5.2%	10.8%	3.5%	2.2%	595.9K	-5.4M	-9.3K	0.00	26.39	N/A	N/A	49	0	2,103	1,014
2013-03-18	$36.75	$37.00	12.4%	3.6%	15.7%	7.5%	0.0%	6.0%	1.5%	30.8K	-783.5K	-8.9K	54.33	22.03	N/A	N/A	3	163	816	578
2013-03-19	$36.64	$37.00	12.8%	3.7%	15.2%	8.0%	15.3%	6.1%	1.3%	10.8K	-270.8K	-9.7K	0.00	23.01	N/A	N/A	0	4	819	741
2013-03-20	$36.89	$37.00	12.3%	3.5%	14.9%	7.2%	0.0%	4.2%	-1.0%	12.9K	-699.3K	-9.1K	6.67	36.86	N/A	N/A	3	20	819	745
2013-03-21	$36.58	$37.00	13.0%	3.7%	14.1%	8.4%	13.4%	5.4%	0.1%	-2.3K	-273.5K	-9.4K	0.32	32.49	N/A	N/A	455	144	822	765
2013-03-22	$36.75	$37.00	13.4%	3.8%	13.2%	9.1%	0.0%	5.3%	0.9%	144.9K	-738.2K	-12.3K	0.00	19.29	N/A	N/A	2	0	1,275	909
2013-03-25	$36.27	$37.00	15.6%	4.5%	11.0%	13.0%	0.0%	5.9%	0.2%	147.5K	-203.3K	-11.5K	0.50	26.50	N/A	N/A	2	1	1,277	889
2013-03-26	$36.48	$37.00	14.7%	4.2%	10.9%	11.4%	0.0%	5.3%	0.1%	185.7K	-353.2K	-11.3K	0.00	30.35	N/A	N/A	0	0	1,279	890
2013-03-27	$36.30	$37.00	14.5%	4.2%	10.2%	11.0%	14.4%	4.4%	0.9%	159.3K	-180.1K	-11.2K	0.02	18.18	N/A	N/A	489	12	1,279	890
2013-03-28	$36.43	$36.00	13.9%	4.0%	10.3%	10.0%	11.2%	5.9%	1.2%	380.1K	-1.5M	-13.1K	0.00	14.00	N/A	N/A	10	0	1,768	902