VEA Options History — November 2020

In November 2020, VEA traded between $39.88 and $45.94. ATM implied volatility averaged 19.0%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.6% (HV 20d: 20.7%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2020-11-04: Highest Volume — 2,203 contracts
  • 2020-11-09: Largest IV drop — 19.8% change
  • 2020-11-02: Highest IV Rank — 31.8%
  • 2020-11-02: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.96$39.88$45.94$39.88$45.22
Max Pain$40.90$40.00$42.00$42.00$41.00
ATM IV19.0%16.0%27.1%27.1%18.4%
Expected Move5.3%4.6%7.8%7.8%5.3%
HV 20d20.7%15.9%22.7%15.9%17.9%
HV 60d17.7%15.9%18.3%15.9%17.6%
IV Rank18.7%13.8%31.8%31.8%17.8%
IV Percentile46.8%26.6%82.1%82.1%45.6%
Term Structure-0.3%-2.6%3.7%-1.9%-0.9%
VWIV19.5%15.5%27.6%26.1%15.5%
Skew 25d5.8%3.2%10.0%9.3%3.9%
Skew 10d9.8%-0.6%22.6%14.1%5.0%
Call IV 25d16.5%10.1%24.2%24.2%16.2%
Put IV 25d22.2%18.1%33.4%33.4%20.1%
Bid-Ask Spread %65.6124.0786.9267.5886.92
Gamma HHI0.300.180.380.310.22
Net GEX876.7K366.7K1.2M366.7K776.0K
Net DEX-15.8M-21.4M-2.0M-2.0M-19.8M
Net VEX-29.7K-38.3K-21.7K-30.7K-25.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.014.090.130.05
Total Volume247.5172,20310543
Total OI7,728.656,8858,1296,8858,129

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$39.88$42.0027.1%7.8%15.9%31.8%26.1%9.3%-1.9%366.7K-2.0M-30.7K0.1367.58N/AN/A93124,7702,115
2020-11-03$41.06$42.0026.2%7.5%19.2%30.2%27.6%10.0%-2.4%529.3K-4.5M-34.3K0.4375.45N/AN/A35154,7702,115
2020-11-04$41.43$41.0021.5%6.2%19.2%22.7%18.2%7.1%-1.3%702.8K-5.7M-32.7K0.0181.79N/AN/A2,178254,8042,121
2020-11-05$42.25$40.0021.3%6.0%20.3%22.3%20.0%7.5%-1.4%998.1K-10.3M-38.1K0.1972.74N/AN/A93185,5852,124
2020-11-06$42.60$40.0023.3%5.3%20.4%25.5%21.0%9.9%-0.2%1.0M-11.4M-38.3K0.7580.36N/AN/A28215,6252,124
2020-11-09$43.77$40.0018.7%5.2%22.4%18.1%19.1%4.7%-2.6%1.1M-16.1M-32.9K0.3582.06N/AN/A175615,6472,107
2020-11-10$44.05$40.0020.6%5.3%22.2%21.2%19.7%3.6%-1.9%1.1M-16.6M-32.5K0.4167.59N/AN/A37155,6792,095
2020-11-11$44.25$41.0018.3%5.3%22.1%17.6%19.7%5.0%-0.2%1.1M-17.5M-30.6K0.1079.95N/AN/A171175,6902,108
2020-11-12$43.64$41.0018.4%5.3%22.3%17.6%17.8%3.2%3.7%1.2M-15.6M-33.9K1.0024.07N/AN/A27275,7272,113
2020-11-13$44.31$41.0017.8%5.1%22.7%16.8%16.8%4.3%-0.1%1.1M-17.6M-30.9K0.0770.86N/AN/A8565,7302,135
2020-11-16$44.76$41.0016.9%4.8%22.7%15.3%20.9%4.9%0.5%1.0M-19.4M-27.6K0.1380.18N/AN/A1525,7732,135
2020-11-17$44.81$41.0017.1%4.9%22.7%15.6%19.5%4.1%0.4%978.8K-19.7M-26.3K0.0665.41N/AN/A231145,7692,135
2020-11-18$44.70$41.0016.5%4.7%22.6%14.7%18.2%5.5%1.8%985.6K-19.2M-27.8K0.1183.49N/AN/A230265,7672,133
2020-11-19$44.85$41.0016.7%4.8%22.6%14.9%20.7%5.3%-0.4%936.8K-19.6M-27.5K0.4151.17N/AN/A46195,8332,156
2020-11-20$45.06$41.0016.2%4.6%22.6%14.1%21.5%5.4%0.6%1.1M-20.4M-25.9K4.0926.86N/AN/A1194875,7932,175
2020-11-23$45.11$41.0016.3%4.7%20.9%14.3%18.4%4.7%0.3%730.8K-18.3M-28.0K2.5476.89N/AN/A411045,3742,362
2020-11-24$45.73$41.0016.6%4.8%20.7%14.8%16.3%3.9%1.1%636.0K-20.6M-21.7K0.1230.49N/AN/A212265,3812,409
2020-11-25$45.72$41.0016.7%4.8%17.0%15.0%15.9%9.0%-0.5%676.7K-19.9M-26.5K0.0131.11N/AN/A17625,5372,415
2020-11-27$45.94$41.0016.0%4.6%17.0%13.8%17.3%4.0%-0.0%603.4K-21.4M-22.9K0.2977.12N/AN/A1445,6982,415
2020-11-30$45.22$41.0018.4%5.3%17.9%17.8%15.5%3.9%-0.9%776.0K-19.8M-25.4K0.0586.92N/AN/A4125,7142,415