VEA Options History — September 2013

In September 2013, VEA traded between $37.54 and $40.52. ATM implied volatility averaged 13.2%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 1.8% (HV 20d: 15.0%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 6.86.

Notable Days

2013-09-20: Highest Volume — 651 contracts
2013-09-20: Largest IV spike — 60.2% change
2013-09-30: Highest IV Rank — 55.5%
2013-09-03: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.25	$37.54	$40.52	$37.54	$39.58
Max Pain	$38.70	$38.00	$39.00	$38.00	$39.00
ATM IV	13.2%	7.7%	15.8%	15.8%	15.7%
Expected Move	3.6%	2.0%	4.5%	4.5%	4.5%
HV 20d	15.0%	13.8%	16.9%	13.8%	14.1%
HV 60d	14.9%	12.9%	17.2%	17.2%	13.1%
IV Rank	35.4%	0.0%	55.5%	47.0%	55.5%
IV Percentile	36.2%	0.0%	70.6%	66.7%	70.6%
Term Structure	0.8%	-3.7%	6.6%	-0.5%	-0.3%
VWIV	14.1%	6.0%	20.6%	20.6%	14.3%
Skew 25d	4.5%	2.1%	7.0%	6.0%	7.0%
Skew 10d	10.0%	4.7%	15.2%	15.2%	13.9%
Call IV 25d	11.7%	8.0%	14.3%	13.6%	12.6%
Put IV 25d	16.2%	11.2%	19.7%	19.7%	19.6%
Bid-Ask Spread %	39.66	27.18	87.81	87.81	30.14
Gamma HHI	0.53	0.34	0.77	0.34	0.35
Net GEX	206.6K	13.2K	337.5K	13.2K	175.4K
Net DEX	-2.1M	-3.8M	-29.9K	-29.9K	-1.7M
Net VEX	-6.7K	-8.0K	-4.8K	-7.7K	-8.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.86	0.00	64.60	55.67	0.00
Total Volume	86.25	1	651	170	2
Total OI	1,917.25	1,178	2,163	2,043	1,749

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
2013-09-03	$37.54	$38.00	15.8%	4.5%	13.8%	47.0%	20.6%	6.0%	-0.5%	13.2K	-29.9K	-7.7K	55.67	87.81	N/A	N/A	3	167	1,145	898
2013-09-04	$37.88	$38.00	15.6%	4.5%	14.2%	45.9%	17.5%	4.7%	-0.0%	48.2K	-428.4K	-8.0K	2.00	27.18	N/A	N/A	2	4	1,148	938
2013-09-05	$37.87	$38.00	14.5%	4.2%	14.0%	39.2%	16.8%	5.9%	-2.1%	96.8K	-743.9K	-8.0K	0.25	31.38	N/A	N/A	20	5	1,148	938
2013-09-06	$38.09	$38.00	15.4%	4.4%	13.8%	44.5%	0.0%	6.2%	2.2%	91.4K	-926.8K	-7.8K	0.00	49.40	N/A	N/A	0	4	1,148	943
2013-09-09	$38.63	$38.00	14.0%	3.6%	14.7%	36.0%	12.5%	4.8%	1.2%	230.9K	-1.6M	-7.2K	0.00	28.27	N/A	N/A	1	0	1,148	943
2013-09-10	$39.05	$38.00	13.4%	3.1%	15.2%	37.3%	0.0%	6.0%	0.6%	289.6K	-2.4M	-6.6K	5.00	49.57	N/A	N/A	2	10	1,149	943
2013-09-11	$39.16	$39.00	13.3%	2.0%	15.0%	37.0%	0.0%	3.9%	2.7%	337.5K	-2.7M	-6.1K	0.11	36.02	N/A	N/A	28	3	1,150	953
2013-09-12	$38.97	$39.00	12.1%	3.5%	15.1%	28.3%	12.1%	3.7%	-0.3%	321.4K	-2.3M	-6.6K	0.00	36.07	N/A	N/A	49	0	1,178	954
2013-09-13	$39.11	$39.00	8.6%	2.5%	14.7%	3.5%	0.0%	5.6%	0.0%	334.4K	-2.6M	-6.2K	0.00	39.59	N/A	N/A	16	0	1,177	954
2013-09-16	$39.46	$39.00	12.8%	3.7%	15.0%	33.1%	11.9%	5.5%	-3.7%	337.1K	-3.0M	-5.5K	0.19	52.48	N/A	N/A	21	4	1,181	954
2013-09-17	$39.48	$39.00	14.8%	4.2%	14.7%	47.7%	13.8%	5.1%	1.4%	304.2K	-2.7M	-6.1K	0.00	32.40	N/A	N/A	22	0	1,189	958
2013-09-18	$40.52	$39.00	11.7%	3.3%	16.9%	25.3%	16.0%	4.8%	0.3%	218.8K	-3.8M	-5.2K	0.75	38.73	N/A	N/A	4	3	1,205	958
2013-09-19	$40.34	$39.00	7.7%	2.2%	16.2%	0.0%	6.0%	2.1%	6.6%	238.4K	-3.8M	-4.8K	0.50	41.79	N/A	N/A	40	20	1,195	827
2013-09-20	$40.01	$39.00	12.3%	3.5%	16.5%	31.9%	13.4%	2.7%	2.1%	323.7K	-3.4M	-5.9K	0.02	45.58	N/A	N/A	639	12	1,222	837
2013-09-23	$39.87	$39.00	13.4%	3.8%	16.5%	39.2%	14.9%	2.6%	1.5%	239.1K	-2.2M	-5.9K	64.60	32.31	N/A	N/A	5	323	985	193
2013-09-24	$39.79	$39.00	13.3%	3.8%	16.3%	38.6%	13.2%	4.0%	0.7%	134.2K	-1.8M	-7.0K	0.75	38.57	N/A	N/A	8	6	982	503
2013-09-25	$39.81	$39.00	12.7%	3.6%	14.6%	34.4%	0.0%	3.5%	1.7%	134.8K	-1.9M	-7.0K	0.50	27.96	N/A	N/A	50	25	990	507
2013-09-26	$39.96	$39.00	13.1%	3.7%	14.5%	37.1%	0.0%	3.0%	0.6%	132.1K	-1.9M	-6.8K	0.00	34.27	N/A	N/A	11	0	990	532
2013-09-27	$39.88	$39.00	14.3%	4.1%	14.6%	45.7%	14.3%	2.4%	0.6%	130.1K	-1.9M	-6.9K	0.04	33.66	N/A	N/A	208	8	1,001	532
2013-09-30	$39.58	$39.00	15.7%	4.5%	14.1%	55.5%	0.0%	7.0%	-0.3%	175.4K	-1.7M	-8.0K	0.00	30.14	N/A	N/A	2	0	1,209	540