VEA Options History — February 2014

In February 2014, VEA traded between $38.75 and $41.86. ATM implied volatility averaged 13.1%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 4.6% (HV 20d: 17.6%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 41.93.

Notable Days

2014-02-04: Highest Volume — 741 contracts
2014-02-14: Largest IV spike — 70.5% change
2014-02-03: Highest IV Rank — 85.1%
2014-02-03: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.87	$38.75	$41.86	$38.75	$41.86
Max Pain	$40.37	$40.00	$41.00	$41.00	$41.00
ATM IV	13.1%	7.1%	19.6%	19.6%	11.8%
Expected Move	3.7%	2.0%	5.6%	5.6%	3.4%
HV 20d	17.6%	15.1%	19.3%	15.9%	15.1%
HV 60d	13.5%	12.5%	13.8%	12.9%	13.7%
IV Rank	44.0%	5.9%	85.1%	85.1%	36.2%
IV Percentile	42.0%	0.4%	98.4%	98.4%	25.4%
Term Structure	-1.2%	-7.2%	1.2%	-5.9%	0.3%
VWIV	13.6%	8.3%	19.4%	18.4%	11.5%
Skew 25d	3.2%	-3.5%	7.9%	6.7%	4.7%
Skew 10d	10.0%	1.7%	17.9%	17.0%	11.5%
Call IV 25d	11.6%	7.6%	17.3%	17.3%	10.9%
Put IV 25d	14.8%	5.9%	23.9%	23.9%	15.5%
Bid-Ask Spread %	21.51	13.76	54.99	17.80	19.90
Gamma HHI	0.45	0.24	0.80	0.35	0.51
Net GEX	349.2K	-173.1K	1.3M	-19.1K	440.2K
Net DEX	-573.3K	-2.9M	2.2M	2.2M	-2.6M
Net VEX	-10.0K	-13.1K	-6.8K	-6.8K	-13.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	41.93	0.00	369.50	0.14	11.00
Total Volume	201	0	741	135	0
Total OI	3,264.895	1,997	3,982	2,852	3,032

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
2014-02-03	$38.75	$41.00	19.6%	5.6%	15.9%	85.1%	0.0%	6.7%	-5.9%	-19.1K	2.2M	-6.8K	0.14	17.80	N/A	N/A	118	17	1,859	993
2014-02-04	$39.15	$41.00	17.6%	5.0%	16.6%	72.7%	18.4%	6.0%	-0.1%	-24.0K	1.7M	-8.6K	369.50	17.02	N/A	N/A	2	739	1,971	1,010
2014-02-05	$39.19	$41.00	17.6%	5.0%	16.3%	72.5%	0.0%	6.4%	-2.9%	-142.8K	1.9M	-11.1K	5.00	16.89	N/A	N/A	1	5	1,973	1,388
2014-02-06	$39.96	$41.00	14.7%	4.2%	18.1%	54.5%	19.4%	7.9%	-3.6%	-173.1K	1.3M	-11.1K	235.33	15.67	N/A	N/A	3	706	1,973	1,393
2014-02-07	$40.40	$40.00	14.2%	3.6%	18.6%	51.2%	15.9%	4.5%	-2.5%	40.8K	534.8K	-10.9K	4.62	19.32	N/A	N/A	13	60	1,976	1,527
2014-02-10	$40.22	$40.00	14.3%	2.6%	18.3%	51.8%	16.8%	2.9%	-1.0%	-66.1K	876.8K	-9.4K	0.20	21.06	N/A	N/A	10	2	1,975	1,537
2014-02-11	$40.88	$40.00	11.3%	3.2%	19.1%	33.0%	10.2%	3.4%	-0.2%	339.0K	-581.6K	-10.9K	0.02	18.41	N/A	N/A	182	4	1,978	1,539
2014-02-12	$40.98	$40.00	11.0%	3.7%	18.9%	30.8%	0.0%	4.3%	1.0%	394.7K	-487.3K	-10.2K	0.00	18.17	N/A	N/A	0	0	2,096	1,543
2014-02-13	$41.05	$40.00	9.7%	2.8%	18.9%	22.4%	0.0%	6.7%	0.7%	558.1K	-989.4K	-9.9K	0.00	20.09	N/A	N/A	0	10	2,096	1,543
2014-02-14	$41.23	$40.00	16.5%	4.7%	18.9%	65.7%	16.0%	-1.8%	-7.2%	729.4K	-862.4K	-9.4K	0.75	17.06	N/A	N/A	8	6	2,096	1,553
2014-02-18	$41.57	$40.00	11.9%	3.4%	19.2%	36.4%	0.0%	-2.4%	-0.7%	1.3M	-1.5M	-9.4K	0.00	16.91	N/A	N/A	0	0	2,096	1,556
2014-02-19	$41.25	$40.00	13.7%	3.9%	19.3%	47.7%	12.0%	3.5%	1.0%	666.5K	-812.7K	-8.9K	0.00	16.74	N/A	N/A	56	0	2,096	1,556
2014-02-20	$41.40	$40.00	13.3%	3.8%	19.3%	45.3%	15.5%	5.1%	1.2%	502.5K	-724.1K	-8.3K	0.01	15.70	N/A	N/A	370	5	2,089	1,523
2014-02-21	$41.50	$40.00	7.1%	2.0%	19.2%	5.9%	8.3%	-3.5%	-2.3%	618.8K	-2.0M	-8.2K	0.00	17.35	N/A	N/A	228	0	2,459	1,523
2014-02-24	$41.85	$40.00	10.3%	2.9%	16.2%	26.1%	10.3%	2.8%	-0.0%	262.4K	-2.0M	-8.8K	0.01	52.08	N/A	N/A	382	3	1,360	637
2014-02-25	$41.77	$40.00	10.9%	3.1%	16.1%	30.2%	10.4%	-0.6%	-0.2%	445.4K	-2.4M	-9.8K	2.40	54.99	N/A	N/A	149	357	1,687	640
2014-02-26	$41.64	$41.00	11.2%	3.2%	15.9%	31.9%	11.8%	5.6%	0.2%	286.0K	-1.5M	-11.8K	0.02	13.76	N/A	N/A	365	6	1,734	996
2014-02-27	$41.81	$41.00	12.0%	3.4%	15.1%	36.9%	11.5%	-1.0%	-1.4%	471.0K	-2.9M	-12.9K	11.00	19.69	N/A	N/A	1	11	2,028	1,002
2014-02-28	$41.86	$41.00	11.8%	3.4%	15.1%	36.2%	0.0%	4.7%	0.3%	440.2K	-2.6M	-13.1K	0.00	19.90	N/A	N/A	0	0	2,029	1,003