VEA Options History — February 2015

In February 2015, VEA traded between $38.65 and $40.56. ATM implied volatility averaged 13.7%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 1.3% (HV 20d: 15.1%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.46.

Notable Days

2015-02-24: Highest Volume — 1,794 contracts
2015-02-24: Largest IV drop — 29.5% change
2015-02-10: Highest IV Rank — 41.2%
2015-02-09: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.64	$38.65	$40.56	$38.65	$40.49
Max Pain	$39.68	$38.00	$40.00	$38.00	$40.00
ATM IV	13.7%	9.6%	16.0%	14.2%	12.1%
Expected Move	3.9%	2.8%	4.6%	4.1%	3.5%
HV 20d	15.1%	14.0%	16.6%	16.6%	14.1%
HV 60d	14.1%	13.2%	14.4%	13.2%	14.2%
IV Rank	31.4%	13.7%	41.2%	33.4%	24.3%
IV Percentile	67.4%	16.3%	88.1%	75.0%	50.4%
Term Structure	0.7%	-0.1%	1.7%	0.4%	0.7%
VWIV	14.5%	9.8%	17.2%	17.2%	12.0%
Skew 25d	5.3%	3.9%	7.9%	7.9%	3.9%
Skew 10d	11.3%	6.2%	16.0%	10.7%	6.2%
Call IV 25d	11.7%	9.0%	14.6%	11.1%	9.6%
Put IV 25d	17.0%	13.2%	19.5%	19.0%	13.5%
Bid-Ask Spread %	71.38	29.51	95.04	93.42	32.84
Gamma HHI	0.32	0.22	0.67	0.26	0.67
Net GEX	363.1K	185.0K	706.0K	310.6K	689.4K
Net DEX	-3.3M	-5.1M	-1.9M	-2.0M	-4.0M
Net VEX	-16.5K	-19.4K	-14.9K	-16.3K	-19.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.14	3.57	0.24	0.42
Total Volume	1,101.579	62	1,794	62	1,262
Total OI	3,204	2,887	3,897	2,900	3,897

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
2015-02-02	$38.65	$38.00	14.2%	4.1%	16.6%	33.4%	17.2%	7.9%	0.4%	310.6K	-2.0M	-16.3K	0.24	93.42	N/A	N/A	50	12	2,133	767
2015-02-03	$39.24	$38.00	13.8%	4.0%	14.4%	32.0%	14.4%	4.7%	0.5%	340.0K	-3.0M	-16.9K	0.32	95.04	N/A	N/A	1,063	344	2,183	766
2015-02-04	$38.93	$38.00	14.1%	4.1%	14.0%	33.2%	15.1%	4.0%	1.3%	348.8K	-2.8M	-17.6K	0.32	70.48	N/A	N/A	1,113	356	2,268	784
2015-02-05	$39.34	$40.00	14.0%	4.3%	14.0%	32.7%	14.4%	4.7%	0.7%	352.7K	-3.1M	-16.2K	0.33	77.08	N/A	N/A	921	304	2,178	810
2015-02-06	$38.84	$40.00	15.4%	4.5%	14.5%	38.7%	15.6%	5.2%	0.4%	324.4K	-2.3M	-16.8K	0.24	38.48	N/A	N/A	932	227	2,178	813
2015-02-09	$38.67	$40.00	15.9%	4.6%	14.5%	40.8%	16.2%	4.8%	0.3%	316.6K	-1.9M	-16.2K	0.28	75.14	N/A	N/A	938	264	2,176	887
2015-02-10	$39.02	$40.00	16.0%	4.5%	14.7%	41.2%	14.5%	6.5%	-0.1%	332.9K	-2.5M	-16.4K	0.28	77.15	N/A	N/A	943	264	2,182	926
2015-02-11	$38.79	$40.00	15.8%	4.5%	15.0%	40.7%	15.1%	5.8%	0.5%	331.7K	-2.1M	-16.3K	0.22	78.67	N/A	N/A	948	212	2,182	926
2015-02-12	$39.39	$40.00	15.5%	4.4%	15.7%	39.1%	15.9%	6.0%	0.5%	342.7K	-3.0M	-16.1K	0.22	71.99	N/A	N/A	950	212	2,194	930
2015-02-13	$39.69	$40.00	13.3%	3.8%	15.8%	29.6%	15.7%	4.7%	1.4%	356.7K	-3.8M	-15.9K	0.28	76.96	N/A	N/A	970	268	2,207	929
2015-02-17	$39.78	$40.00	13.9%	4.0%	15.4%	32.1%	16.1%	5.4%	0.7%	326.2K	-4.1M	-15.8K	0.26	74.14	N/A	N/A	1,000	262	2,279	997
2015-02-18	$40.03	$40.00	13.9%	4.0%	15.5%	32.3%	15.0%	5.6%	0.7%	304.0K	-4.5M	-15.4K	0.20	76.35	N/A	N/A	998	198	2,309	997
2015-02-19	$40.06	$40.00	13.3%	3.8%	15.4%	29.5%	13.8%	6.2%	1.2%	315.1K	-4.6M	-14.9K	0.65	82.93	N/A	N/A	49	32	2,341	998
2015-02-20	$40.46	$40.00	14.2%	4.1%	15.6%	33.6%	16.7%	6.6%	0.5%	205.6K	-5.1M	-15.6K	3.57	92.37	N/A	N/A	47	168	2,376	1,029
2015-02-23	$40.28	$40.00	13.8%	3.9%	15.7%	31.7%	14.2%	5.2%	0.1%	185.0K	-2.7M	-16.4K	0.21	91.69	N/A	N/A	952	197	1,898	989
2015-02-24	$40.53	$40.00	9.7%	2.8%	15.4%	14.0%	9.8%	5.4%	1.7%	200.9K	-3.0M	-16.2K	0.14	86.18	N/A	N/A	1,569	225	1,898	1,013
2015-02-25	$40.56	$40.00	9.6%	2.8%	15.4%	13.7%	10.6%	4.1%	1.4%	609.1K	-3.9M	-16.7K	0.23	29.51	N/A	N/A	1,136	257	2,521	1,044
2015-02-26	$40.50	$40.00	12.1%	3.5%	14.5%	24.3%	13.0%	4.5%	0.6%	706.0K	-3.7M	-19.2K	0.35	35.74	N/A	N/A	954	333	2,801	1,070
2015-02-27	$40.49	$40.00	12.1%	3.5%	14.1%	24.3%	12.0%	3.9%	0.7%	689.4K	-4.0M	-19.4K	0.42	32.84	N/A	N/A	890	372	2,791	1,106