VEA Options History — February 2017

In February 2017, VEA traded between $37.89 and $38.68. ATM implied volatility averaged 9.5%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 2.4% (HV 20d: 7.0%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 2.70.

Notable Days

2017-02-17: Highest Volume — 1,777 contracts
2017-02-06: Largest IV spike — 54.0% change
2017-02-27: Highest IV Rank — 17.1%
2017-02-27: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.30	$37.89	$38.68	$38.07	$38.25
Max Pain	$37.00	$37.00	$37.00	$37.00	$37.00
ATM IV	9.5%	7.0%	11.3%	9.0%	9.9%
Expected Move	2.8%	2.2%	3.2%	2.6%	2.8%
HV 20d	7.0%	5.8%	8.5%	8.5%	5.9%
HV 60d	8.8%	8.4%	9.6%	9.6%	8.5%
IV Rank	9.3%	0.0%	17.1%	3.6%	11.5%
IV Percentile	10.2%	0.0%	23.8%	4.8%	15.1%
Term Structure	2.5%	-0.8%	5.0%	2.1%	-0.2%
VWIV	10.1%	8.2%	13.7%	8.6%	13.7%
Skew 25d	3.1%	0.9%	6.1%	1.6%	3.6%
Skew 10d	7.0%	2.0%	28.5%	2.5%	8.0%
Call IV 25d	8.4%	5.4%	11.5%	7.4%	8.8%
Put IV 25d	11.5%	9.0%	13.3%	9.0%	12.5%
Bid-Ask Spread %	46.58	24.08	99.92	28.79	75.79
Gamma HHI	0.49	0.40	0.64	0.41	0.53
Net GEX	740.5K	567.8K	1.0M	577.9K	732.4K
Net DEX	-2.3M	-3.6M	-852.0K	-1.2M	-2.1M
Net VEX	-20.4K	-22.2K	-17.9K	-19.1K	-20.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.70	0.93	4.69	4.69	3.19
Total Volume	1,149.316	717	1,777	995	717
Total OI	4,040.105	3,678	4,227	3,678	4,203

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
2017-02-01	$38.07	$37.00	9.0%	2.6%	8.5%	3.6%	8.6%	1.6%	2.1%	577.9K	-1.2M	-19.1K	4.69	28.79	N/A	N/A	175	820	2,216	1,462
2017-02-02	$38.05	$37.00	9.6%	3.0%	7.6%	6.1%	10.8%	2.5%	2.8%	602.8K	-1.5M	-18.9K	4.66	40.99	N/A	N/A	178	830	2,217	1,463
2017-02-03	$38.21	$37.00	7.0%	2.8%	7.1%	0.0%	9.7%	3.1%	3.3%	712.8K	-1.8M	-18.8K	4.37	41.92	N/A	N/A	190	830	2,221	1,473
2017-02-06	$37.94	$37.00	10.9%	2.7%	7.5%	15.3%	9.8%	2.5%	3.7%	588.1K	-1.0M	-17.9K	3.75	40.68	N/A	N/A	248	931	2,286	1,473
2017-02-07	$37.89	$37.00	9.8%	2.9%	7.4%	11.1%	10.5%	3.1%	2.7%	593.5K	-852.0K	-19.4K	3.78	38.72	N/A	N/A	246	931	2,302	1,574
2017-02-08	$38.01	$37.00	9.7%	2.8%	7.5%	10.7%	9.9%	4.9%	3.3%	630.2K	-904.6K	-19.0K	2.03	24.08	N/A	N/A	458	931	2,303	1,584
2017-02-09	$38.12	$37.00	9.7%	2.8%	7.3%	10.4%	9.6%	6.1%	3.5%	767.7K	-2.0M	-21.3K	2.21	24.57	N/A	N/A	443	979	2,526	1,584
2017-02-10	$38.26	$37.00	9.3%	2.7%	7.4%	9.1%	9.2%	4.4%	4.1%	1.0M	-2.4M	-21.1K	1.87	40.26	N/A	N/A	523	979	2,526	1,563
2017-02-13	$38.41	$37.00	10.7%	3.1%	7.3%	14.7%	10.4%	4.1%	2.4%	816.7K	-2.9M	-21.8K	2.70	30.24	N/A	N/A	362	977	2,626	1,563
2017-02-14	$38.37	$37.00	9.9%	2.8%	7.2%	11.5%	9.9%	1.9%	4.2%	812.2K	-2.7M	-21.2K	2.52	40.61	N/A	N/A	386	971	2,639	1,572
2017-02-15	$38.52	$37.00	8.7%	2.5%	6.9%	6.8%	10.3%	2.9%	3.5%	833.9K	-2.8M	-20.9K	2.42	31.76	N/A	N/A	395	956	2,632	1,576
2017-02-16	$38.56	$37.00	7.9%	2.3%	6.8%	3.4%	9.7%	2.2%	5.0%	838.6K	-3.4M	-21.1K	2.16	31.93	N/A	N/A	397	857	2,644	1,577
2017-02-17	$38.48	$37.00	10.4%	3.0%	6.8%	13.3%	10.3%	2.9%	3.5%	567.8K	-3.4M	-20.7K	0.93	28.36	N/A	N/A	920	857	2,649	1,578
2017-02-21	$38.63	$37.00	8.3%	2.4%	6.9%	5.2%	8.2%	3.7%	2.6%	897.9K	-2.9M	-20.8K	1.95	78.77	N/A	N/A	375	732	2,588	1,518
2017-02-22	$38.63	$37.00	7.8%	2.2%	6.8%	2.9%	8.3%	1.8%	1.2%	876.5K	-3.0M	-20.0K	1.37	99.92	N/A	N/A	377	517	2,569	1,519
2017-02-23	$38.68	$37.00	9.7%	2.8%	5.8%	10.5%	9.6%	3.6%	0.4%	781.9K	-3.6M	-21.2K	1.83	42.34	N/A	N/A	287	525	2,571	1,544
2017-02-24	$38.35	$37.00	10.6%	3.0%	6.6%	14.2%	11.8%	0.9%	-0.8%	692.0K	-2.5M	-22.2K	2.38	93.75	N/A	N/A	226	539	2,646	1,580
2017-02-27	$38.34	$37.00	11.3%	3.2%	6.5%	17.1%	11.2%	3.1%	0.8%	733.6K	-2.1M	-21.2K	2.42	51.55	N/A	N/A	226	546	2,597	1,598
2017-02-28	$38.25	$37.00	9.9%	2.8%	5.9%	11.5%	13.7%	3.6%	-0.2%	732.4K	-2.1M	-20.2K	3.19	75.79	N/A	N/A	171	546	2,597	1,606