ESGV Options History — October 2024

In October 2024, ESGV traded between $100.00 and $103.55. ATM implied volatility averaged 17.2%. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 6.0% (HV 20d: 11.2%). Max pain ranged from $98.00 to $105.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2024-10-25: Highest Volume — 2 contracts
  • 2024-10-31: Largest IV spike — 16.5% change
  • 2024-10-31: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.21$100.00$103.55$100.56$101.21
Max Pain$101.50$98.00$105.00$98.00$105.00
ATM IV17.2%15.2%22.3%15.9%22.3%
Expected Move4.9%4.4%6.4%4.6%6.4%
HV 20d11.2%10.2%12.7%11.7%12.7%
HV 60d12.1%11.8%12.5%12.1%12.5%
Term Structure-1.4%-6.0%0.8%0.1%-6.0%
VWIV15.9%15.9%15.9%15.9%15.9%
Skew 25d3.6%2.1%6.2%2.1%5.3%
Skew 10d5.1%2.2%8.5%2.2%5.1%
Call IV 25d13.4%10.8%16.9%14.1%16.9%
Put IV 25d17.0%15.5%22.2%16.2%22.2%
Bid-Ask Spread %130.17126.07141.50137.69129.00
Gamma HHI0.270.190.410.270.25
Net GEX7.4K3.1K11.7K10.8K4.9K
Net DEX-86.8K-131.6K-41.9K-92.7K-48.2K
Net VEX-189-237-156-213-194
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.1740210
Total OI12.877161510

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-10-01$100.56$98.0015.9%4.6%11.7%0.0%0.0%2.1%0.1%10.8K-92.7K-2130.00137.6910150
2024-10-02$100.56$98.0017.6%5.1%11.7%0.0%0.0%4.3%0.8%10.7K-94.7K-2370.00141.5000160
2024-10-03$100.00$0.0017.6%4.9%11.8%0.0%0.0%4.0%-1.0%11.4K-89.9K-2350.00127.1700160
2024-10-04$101.09$0.0017.5%4.9%10.5%0.0%0.0%3.7%-1.0%10.7K-101.8K-2270.00127.4800160
2024-10-07$100.11$0.0019.8%5.1%11.2%0.0%0.0%2.8%-1.5%11.7K-92.3K-2250.00126.2200160
2024-10-08$101.38$0.0019.7%5.0%11.7%0.0%0.0%4.1%-1.7%10.7K-104.5K-2140.00127.7800160
2024-10-09$102.04$0.0016.6%4.8%11.5%0.0%0.0%4.1%-1.3%10.0K-113.2K-2030.00128.0600160
2024-10-10$101.81$0.0016.2%4.6%10.9%0.0%0.0%3.4%-0.9%10.3K-112.0K-2020.00129.9400160
2024-10-11$102.69$0.0015.8%4.5%11.1%0.0%0.0%3.9%-0.8%9.0K-120.8K-1910.00128.9300160
2024-10-14$103.53$0.0015.3%4.4%11.4%0.0%0.0%3.0%-1.3%7.4K-129.5K-1760.00129.2800160
2024-10-15$102.63$0.0015.5%4.4%11.9%0.0%0.0%3.3%-1.2%9.1K-125.4K-1750.00126.0700160
2024-10-16$103.17$0.0016.5%4.7%12.0%0.0%0.0%3.1%-1.4%7.9K-127.1K-1710.00130.1900160
2024-10-17$103.20$0.0016.0%4.6%10.4%0.0%0.0%2.5%-1.9%7.7K-130.2K-1640.00130.8400160
2024-10-18$103.55$0.0015.2%4.4%10.2%0.0%0.0%2.9%-0.5%7.3K-131.6K-1600.00132.7000160
2024-10-21$103.15$0.0015.7%4.5%10.3%0.0%0.0%2.8%-1.0%3.2K-44.4K-1580.00130.520070
2024-10-22$103.34$0.0016.2%4.7%10.3%0.0%0.0%4.1%-0.2%3.1K-44.2K-1580.00130.850070
2024-10-23$102.15$0.0016.4%4.7%11.2%0.0%0.0%2.8%-0.0%3.2K-41.9K-1580.00127.090070
2024-10-24$102.50$0.0017.8%5.1%11.1%0.0%0.0%3.8%-1.3%3.2K-42.4K-1580.00132.690070
2024-10-25$102.57$0.0016.4%4.7%11.1%0.0%0.0%6.2%-1.2%3.1K-44.2K-1560.00128.932070
2024-10-28$103.09$0.0018.6%5.3%11.2%0.0%0.0%3.0%-4.2%4.5K-54.0K-1900.00129.730090
2024-10-29$103.45$0.0018.7%5.4%10.7%0.0%15.9%5.6%-1.3%4.3K-53.2K-1910.00130.541090
2024-10-30$103.10$105.0019.1%5.5%10.9%0.0%0.0%2.5%-3.1%5.3K-57.1K-1970.00130.6900100
2024-10-31$101.21$105.0022.3%6.4%12.7%0.0%0.0%5.3%-6.0%4.9K-48.2K-1940.00129.0000100