VEA Options History — February 2020

In February 2020, VEA traded between $38.95 and $44.32. ATM implied volatility averaged 15.1%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.3% (HV 20d: 14.9%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.37.

Notable Days

2020-02-24: Highest Volume — 563 contracts
2020-02-28: Largest IV spike — 44.7% change
2020-02-28: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.92	$38.95	$44.32	$42.90	$38.95
Max Pain	$42.26	$41.00	$44.00	$44.00	$41.00
ATM IV	15.1%	9.8%	41.9%	12.7%	41.9%
Expected Move	4.4%	2.9%	12.0%	3.6%	12.0%
HV 20d	14.9%	11.0%	21.2%	11.0%	21.2%
HV 60d	11.0%	9.1%	14.8%	9.1%	14.8%
IV Rank	25.4%	10.1%	100.0%	18.6%	100.0%
IV Percentile	67.7%	34.5%	100.0%	79.4%	100.0%
Term Structure	-1.2%	-13.7%	1.5%	0.3%	-13.7%
VWIV	15.3%	5.2%	34.6%	12.3%	34.6%
Skew 25d	6.5%	3.5%	17.3%	4.8%	17.3%
Skew 10d	10.6%	-0.2%	42.9%	-0.2%	42.9%
Call IV 25d	12.5%	7.0%	33.6%	11.6%	33.6%
Put IV 25d	18.9%	12.6%	50.9%	16.3%	50.9%
Bid-Ask Spread %	68.56	37.72	80.58	63.83	62.23
Gamma HHI	0.28	0.18	0.38	0.23	0.19
Net GEX	309.4K	19.8K	602.6K	223.3K	19.8K
Net DEX	-1.2M	-2.9M	1.9M	-876.0K	1.9M
Net VEX	-13.2K	-15.6K	-10.7K	-13.9K	-10.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.00	7.71	0.28	0.48
Total Volume	93.421	4	563	37	317
Total OI	3,068.316	2,552	3,214	2,979	3,214

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
2020-02-03	$42.90	$44.00	12.7%	3.6%	11.0%	18.6%	12.3%	4.8%	0.3%	223.3K	-876.0K	-13.9K	0.28	63.83	N/A	N/A	29	8	2,086	893
2020-02-04	$43.59	$44.00	10.5%	3.0%	12.5%	12.1%	10.6%	5.1%	0.7%	365.7K	-1.9M	-14.6K	0.38	59.98	N/A	N/A	16	6	2,101	891
2020-02-05	$44.01	$44.00	11.5%	3.3%	13.0%	15.1%	0.0%	6.3%	0.0%	488.4K	-2.5M	-15.6K	0.14	37.72	N/A	N/A	22	3	2,103	891
2020-02-06	$44.15	$42.00	10.7%	3.3%	13.0%	12.6%	11.6%	4.9%	0.4%	541.8K	-2.8M	-15.2K	2.86	76.50	N/A	N/A	7	20	2,123	890
2020-02-07	$43.75	$42.00	10.5%	3.4%	13.4%	12.2%	11.0%	4.2%	0.2%	365.8K	-2.0M	-14.8K	0.14	77.38	N/A	N/A	14	2	2,122	912
2020-02-10	$43.78	$42.00	9.9%	3.2%	13.4%	10.4%	0.0%	4.7%	0.9%	352.1K	-2.1M	-13.7K	0.11	80.58	N/A	N/A	37	4	2,132	904
2020-02-11	$44.08	$42.00	9.8%	3.2%	13.5%	10.1%	11.7%	4.2%	0.8%	479.3K	-2.6M	-14.4K	7.71	58.65	N/A	N/A	7	54	2,165	906
2020-02-12	$44.32	$42.00	11.6%	3.3%	13.6%	15.2%	5.2%	5.3%	-0.1%	602.6K	-2.9M	-14.4K	0.00	78.96	N/A	N/A	4	0	2,173	939
2020-02-13	$44.00	$42.00	11.1%	3.2%	13.8%	13.8%	0.0%	3.5%	0.5%	466.3K	-2.4M	-13.8K	0.30	77.25	N/A	N/A	33	10	2,175	939
2020-02-14	$43.94	$42.00	10.6%	3.0%	13.7%	12.3%	9.7%	3.6%	1.3%	405.1K	-2.2M	-13.9K	0.13	79.45	N/A	N/A	16	2	2,196	949
2020-02-18	$43.66	$42.00	10.5%	3.0%	13.8%	12.1%	10.4%	6.1%	1.5%	316.3K	-1.7M	-12.8K	2.00	57.97	N/A	N/A	6	12	2,212	949
2020-02-19	$43.84	$42.00	10.1%	2.9%	13.7%	11.0%	0.0%	5.6%	1.2%	356.5K	-2.0M	-12.7K	0.00	70.60	N/A	N/A	0	12	2,212	960
2020-02-20	$43.50	$42.00	12.3%	3.5%	13.9%	17.5%	11.8%	4.2%	-0.1%	282.3K	-1.3M	-12.1K	0.67	56.61	N/A	N/A	6	4	2,212	955
2020-02-21	$43.28	$42.00	12.8%	3.7%	14.0%	18.8%	11.7%	4.2%	-0.2%	233.9K	-1.2M	-12.1K	4.30	80.31	N/A	N/A	10	43	2,212	958
2020-02-24	$41.75	$42.00	18.2%	5.2%	18.7%	34.4%	17.5%	7.4%	-2.5%	86.6K	378.0K	-10.9K	0.12	67.76	N/A	N/A	504	59	1,642	910
2020-02-25	$41.05	$42.00	21.8%	6.2%	18.5%	44.8%	21.5%	8.3%	-3.5%	131.1K	651.5K	-11.8K	2.57	70.92	N/A	N/A	49	126	2,082	949
2020-02-26	$41.01	$42.00	21.9%	6.3%	18.1%	45.3%	20.0%	8.3%	-4.0%	116.6K	749.1K	-12.9K	0.73	71.47	N/A	N/A	81	59	2,118	1,055
2020-02-27	$39.95	$42.00	29.0%	8.3%	19.8%	65.8%	29.5%	14.6%	-6.8%	45.4K	1.5M	-11.5K	1.68	74.41	N/A	N/A	72	121	2,079	1,089
2020-02-28	$38.95	$41.00	41.9%	12.0%	21.2%	100.0%	34.6%	17.3%	-13.7%	19.8K	1.9M	-10.7K	0.48	62.23	N/A	N/A	214	103	2,125	1,089