VEA Options History — April 2017

In April 2017, VEA traded between $38.78 and $40.30. ATM implied volatility averaged 12.0%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 4.8% (HV 20d: 7.2%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 2.37.

Notable Days

2017-04-28: Highest Volume — 1,369 contracts
2017-04-12: Largest IV spike — 60.5% change
2017-04-21: Highest IV Rank — 41.2%
2017-04-21: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.36	$38.78	$40.30	$39.23	$40.17
Max Pain	$38.89	$38.00	$39.00	$39.00	$39.00
ATM IV	12.0%	8.6%	17.3%	9.0%	10.4%
Expected Move	3.7%	2.5%	5.0%	2.6%	3.0%
HV 20d	7.2%	4.2%	10.0%	8.2%	9.9%
HV 60d	7.9%	7.5%	8.8%	7.6%	8.6%
IV Rank	19.9%	6.2%	41.2%	7.7%	13.6%
IV Percentile	40.0%	6.0%	82.9%	8.7%	29.8%
Term Structure	0.4%	-2.5%	4.6%	3.5%	0.7%
VWIV	12.8%	7.1%	18.5%	9.0%	10.0%
Skew 25d	6.0%	3.2%	16.0%	15.0%	3.5%
Skew 10d	11.3%	1.3%	26.9%	25.8%	1.3%
Call IV 25d	9.9%	4.7%	14.3%	5.4%	5.8%
Put IV 25d	15.8%	8.6%	22.0%	20.5%	9.4%
Bid-Ask Spread %	54.87	19.03	94.77	43.47	19.03
Gamma HHI	0.35	0.22	0.50	0.35	0.41
Net GEX	367.8K	232.2K	594.7K	337.4K	446.1K
Net DEX	-2.1M	-3.5M	-1.4M	-1.8M	-3.5M
Net VEX	-17.4K	-18.5K	-13.1K	-18.4K	-18.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.37	1.34	3.15	1.98	1.37
Total Volume	930.579	744	1,369	980	1,369
Total OI	3,014.421	2,770	3,459	2,868	3,457

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
2017-04-03	$39.23	$39.00	9.0%	2.6%	8.2%	7.7%	9.0%	15.0%	3.5%	337.4K	-1.8M	-18.4K	1.98	43.47	N/A	N/A	329	651	1,705	1,163
2017-04-04	$39.22	$39.00	9.6%	2.7%	8.0%	10.2%	9.6%	16.0%	2.9%	323.0K	-1.7M	-18.4K	2.33	25.58	N/A	N/A	280	651	1,726	1,212
2017-04-05	$39.09	$39.00	8.6%	2.5%	7.9%	6.2%	8.7%	3.3%	4.6%	324.0K	-1.9M	-18.3K	2.18	24.59	N/A	N/A	280	611	1,726	1,197
2017-04-06	$39.02	$39.00	9.4%	3.6%	8.0%	9.7%	11.4%	3.2%	1.4%	304.6K	-1.6M	-18.3K	2.07	79.85	N/A	N/A	280	579	1,726	1,198
2017-04-07	$39.01	$39.00	8.6%	4.0%	7.5%	6.2%	11.2%	6.5%	0.3%	312.9K	-1.5M	-18.4K	2.06	94.77	N/A	N/A	281	579	1,726	1,203
2017-04-10	$39.00	$39.00	9.1%	4.1%	7.4%	8.4%	12.6%	4.0%	0.1%	332.5K	-1.5M	-18.1K	2.06	86.03	N/A	N/A	281	579	1,727	1,203
2017-04-11	$39.12	$39.00	10.0%	4.3%	6.8%	11.9%	14.5%	4.1%	-0.7%	321.0K	-1.7M	-18.1K	2.56	87.30	N/A	N/A	227	580	1,727	1,213
2017-04-12	$39.15	$39.00	16.1%	4.6%	4.2%	36.3%	14.8%	4.0%	-1.3%	347.4K	-1.7M	-18.0K	2.97	85.20	N/A	N/A	195	580	1,734	1,214
2017-04-13	$38.93	$39.00	15.3%	4.4%	4.2%	33.0%	15.6%	4.4%	-0.8%	370.6K	-1.6M	-17.9K	3.15	44.54	N/A	N/A	191	602	1,759	1,214
2017-04-17	$39.10	$39.00	15.3%	4.4%	4.4%	33.3%	15.9%	5.3%	0.2%	351.2K	-1.7M	-17.5K	3.15	88.47	N/A	N/A	191	602	1,760	1,238
2017-04-18	$38.96	$38.00	16.5%	4.7%	4.6%	38.1%	16.8%	5.6%	-2.5%	391.6K	-1.4M	-17.3K	2.60	68.66	N/A	N/A	234	609	1,807	1,258
2017-04-19	$38.78	$38.00	15.9%	4.5%	4.5%	35.4%	18.0%	5.7%	-0.2%	469.5K	-1.6M	-17.3K	2.50	55.72	N/A	N/A	235	587	1,805	1,258
2017-04-20	$39.16	$39.00	16.4%	4.7%	5.7%	37.5%	17.7%	6.8%	-1.3%	589.4K	-1.9M	-17.0K	2.77	23.53	N/A	N/A	212	587	1,813	1,268
2017-04-21	$39.16	$39.00	17.3%	5.0%	5.7%	41.2%	18.5%	5.2%	-1.7%	594.7K	-2.1M	-16.9K	2.72	57.97	N/A	N/A	214	583	1,817	1,268
2017-04-24	$40.05	$39.00	10.1%	2.9%	9.8%	12.1%	11.8%	5.5%	1.8%	240.3K	-3.0M	-14.2K	2.78	77.38	N/A	N/A	197	547	1,594	1,176
2017-04-25	$40.30	$39.00	9.3%	2.7%	10.0%	9.0%	7.1%	5.1%	1.0%	283.4K	-3.5M	-13.1K	3.07	24.59	N/A	N/A	255	783	1,612	1,192
2017-04-26	$40.19	$39.00	10.2%	2.9%	10.0%	12.8%	9.9%	5.5%	-0.1%	232.2K	-2.7M	-17.2K	1.34	33.63	N/A	N/A	578	776	1,672	1,447
2017-04-27	$40.21	$39.00	10.9%	3.1%	10.0%	15.4%	10.3%	4.6%	0.5%	415.9K	-3.4M	-18.5K	1.36	22.22	N/A	N/A	578	788	2,007	1,452
2017-04-28	$40.17	$39.00	10.4%	3.0%	9.9%	13.6%	10.0%	3.5%	0.7%	446.1K	-3.5M	-18.3K	1.37	19.03	N/A	N/A	578	791	2,007	1,450