VEA Options History — November 2013

In November 2013, VEA traded between $40.18 and $41.12. ATM implied volatility averaged 11.8%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.6% (HV 20d: 11.2%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 7.64.

Notable Days

2013-11-27: Highest Volume — 295 contracts
2013-11-29: Largest IV spike — 115.2% change
2013-11-29: Highest IV Rank — 79.7%
2013-11-29: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.76	$40.18	$41.12	$40.65	$41.12
Max Pain	$38.80	$38.00	$41.00	$41.00	$40.00
ATM IV	11.8%	8.8%	19.0%	11.5%	19.0%
Expected Move	3.4%	2.5%	5.5%	3.3%	5.5%
HV 20d	11.2%	10.1%	12.3%	12.2%	10.1%
HV 60d	12.9%	11.7%	13.7%	12.9%	11.7%
IV Rank	29.2%	8.1%	79.7%	26.8%	79.7%
IV Percentile	21.7%	1.6%	96.8%	9.9%	96.8%
Term Structure	-0.8%	-11.6%	2.2%	-0.4%	-11.6%
VWIV	11.8%	6.6%	15.9%	10.9%	12.8%
Skew 25d	2.6%	-9.0%	5.8%	2.6%	-9.0%
Skew 10d	7.1%	-2.5%	11.9%	2.2%	-2.5%
Call IV 25d	11.3%	9.1%	17.3%	10.4%	17.3%
Put IV 25d	14.0%	8.3%	16.5%	13.0%	8.3%
Bid-Ask Spread %	27.29	12.28	61.45	12.28	61.45
Gamma HHI	0.40	0.23	0.86	0.31	0.37
Net GEX	64.2K	-125.4K	749.8K	54.2K	-23.0K
Net DEX	-999.5K	-1.6M	-403.0K	-972.8K	-745.3K
Net VEX	-4.4K	-5.7K	-3.2K	-5.1K	-5.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.64	0.00	58.00	19.50	58.00
Total Volume	54.65	0	295	41	0
Total OI	1,269.9	797	1,444	1,336	1,400

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
2013-11-01	$40.65	$41.00	11.5%	3.3%	12.2%	26.8%	10.9%	2.6%	-0.4%	54.2K	-972.8K	-5.1K	19.50	12.28	N/A	N/A	2	39	803	533
2013-11-04	$40.83	$38.00	10.9%	2.5%	11.5%	22.5%	0.0%	5.8%	0.4%	74.8K	-1.2M	-4.6K	0.00	22.59	N/A	N/A	0	3	803	572
2013-11-05	$40.48	$38.00	13.2%	3.9%	11.7%	39.0%	7.6%	3.5%	-3.4%	19.4K	-731.2K	-5.0K	0.40	28.79	N/A	N/A	5	2	803	575
2013-11-06	$40.87	$38.00	11.8%	2.5%	12.0%	28.8%	6.6%	5.4%	0.7%	92.9K	-1.2M	-4.6K	0.00	27.77	N/A	N/A	0	11	803	577
2013-11-07	$40.18	$38.00	13.7%	3.8%	12.3%	41.9%	0.0%	4.0%	-6.2%	-72.4K	-403.0K	-4.6K	0.00	35.25	N/A	N/A	0	14	803	587
2013-11-08	$40.42	$38.00	13.2%	3.7%	12.3%	39.0%	12.5%	3.5%	0.2%	-34.9K	-629.4K	-4.7K	0.00	35.83	N/A	N/A	8	0	803	601
2013-11-11	$40.47	$38.00	12.8%	3.6%	12.2%	35.9%	14.8%	2.7%	-0.6%	-16.4K	-718.8K	-4.1K	11.00	21.70	N/A	N/A	1	11	808	601
2013-11-12	$40.38	$38.00	14.1%	4.2%	12.1%	44.8%	15.9%	2.8%	0.7%	-125.4K	-494.6K	-4.2K	1.17	28.90	N/A	N/A	18	21	809	612
2013-11-13	$40.49	$39.00	9.8%	3.7%	11.8%	15.2%	0.0%	1.6%	-1.5%	-82.8K	-716.7K	-3.8K	19.00	31.11	N/A	N/A	1	19	808	631
2013-11-14	$40.68	$39.00	10.5%	3.0%	11.1%	19.9%	11.9%	2.9%	1.7%	127.9K	-935.3K	-3.5K	3.00	23.48	N/A	N/A	5	15	779	645
2013-11-15	$41.05	$39.00	10.2%	2.9%	11.3%	17.6%	10.2%	3.4%	0.9%	749.8K	-1.6M	-3.3K	0.01	25.19	N/A	N/A	204	3	784	660
2013-11-18	$41.08	$39.00	9.6%	2.8%	11.3%	13.4%	12.2%	4.7%	2.2%	49.5K	-1.1M	-3.2K	1.06	23.15	N/A	N/A	123	130	486	311
2013-11-19	$40.96	$39.00	10.9%	3.1%	10.8%	22.6%	11.3%	2.9%	-0.1%	65.9K	-1.1M	-4.2K	0.45	22.69	N/A	N/A	56	25	609	422
2013-11-20	$40.68	$39.00	13.0%	3.7%	10.4%	37.1%	14.7%	2.7%	0.4%	47.1K	-885.9K	-5.2K	0.00	24.49	N/A	N/A	10	0	660	447
2013-11-21	$40.92	$39.00	11.0%	3.1%	10.3%	23.2%	0.0%	2.4%	0.6%	63.7K	-1.2M	-5.0K	0.00	23.55	N/A	N/A	0	2	669	447
2013-11-22	$41.04	$39.00	10.1%	2.9%	10.3%	17.2%	12.0%	2.1%	0.7%	73.7K	-1.3M	-4.5K	0.00	26.87	N/A	N/A	3	0	669	449
2013-11-25	$40.92	$39.00	11.3%	3.2%	10.4%	25.6%	11.3%	1.7%	-1.3%	65.8K	-1.3M	-3.7K	0.00	23.59	N/A	N/A	28	0	669	449
2013-11-26	$40.91	$39.00	11.2%	3.2%	10.3%	24.8%	0.0%	3.4%	-1.2%	78.0K	-1.3M	-4.7K	0.95	22.72	N/A	N/A	20	19	697	449
2013-11-27	$41.05	$39.00	8.8%	2.5%	10.4%	8.1%	12.8%	3.7%	1.4%	75.9K	-1.4M	-4.4K	58.00	24.36	N/A	N/A	5	290	697	468
2013-11-29	$41.12	$40.00	19.0%	5.5%	10.1%	79.7%	0.0%	-9.0%	-11.6%	-23.0K	-745.3K	-5.7K	0.00	61.45	N/A	N/A	0	0	702	698