VEA Options History — December 2020

In December 2020, VEA traded between $45.99 and $47.58. ATM implied volatility averaged 17.0%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.3% (HV 20d: 13.7%). Max pain ranged from $41.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2020-12-09: Highest Volume — 3,565 contracts
  • 2020-12-21: Largest IV spike — 27.6% change
  • 2020-12-21: Highest IV Rank — 20.3%
  • 2020-12-21: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.73$45.99$47.58$45.99$47.14
Max Pain$44.23$41.00$45.00$41.00$45.00
ATM IV17.0%15.3%20.1%16.8%17.9%
Expected Move4.9%4.4%5.8%4.8%5.1%
HV 20d13.7%11.4%18.1%18.1%12.5%
HV 60d16.9%15.9%17.9%17.9%16.4%
IV Rank15.4%12.8%20.3%15.2%16.9%
IV Percentile32.5%16.3%54.0%34.1%40.5%
Term Structure0.8%-1.4%3.9%-0.1%0.5%
VWIV18.3%14.4%23.7%22.4%18.9%
Skew 25d5.5%3.8%7.1%4.0%7.1%
Skew 10d12.0%6.6%17.9%6.6%8.6%
Call IV 25d15.1%14.2%16.7%15.5%14.5%
Put IV 25d20.6%18.4%23.5%19.4%21.6%
Bid-Ask Spread %59.8418.1287.5087.2732.93
Gamma HHI0.170.140.240.170.14
Net GEX526.9K401.4K779.1K613.3K439.9K
Net DEX-18.3M-23.5M-9.5M-21.7M-10.9M
Net VEX-33.2K-42.4K-21.5K-21.9K-37.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.004.850.130.41
Total Volume418.227303,56528872
Total OI7,636.5915,4169,5408,1645,641

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$45.99$41.0016.8%4.8%18.1%15.2%22.4%4.0%-0.1%613.3K-21.7M-21.9K0.1387.27N/AN/A254345,7482,416
2020-12-02$46.14$41.0016.9%4.8%16.2%15.3%16.7%4.3%0.8%467.1K-22.0M-22.0K0.3087.50N/AN/A37115,7672,447
2020-12-03$46.27$43.0017.3%4.9%16.2%15.9%16.4%4.8%1.1%458.2K-22.3M-21.7K0.5465.66N/AN/A37205,7992,458
2020-12-04$46.66$43.0016.4%4.9%15.3%14.6%16.2%6.0%0.5%401.4K-22.7M-21.5K0.0465.70N/AN/A273105,7892,473
2020-12-07$46.34$43.0019.1%5.2%15.8%18.8%17.4%4.8%1.2%506.8K-22.4M-23.6K0.3167.42N/AN/A113355,9192,482
2020-12-08$46.49$44.0018.3%5.1%13.3%17.6%15.7%5.3%1.4%463.4K-22.8M-23.3K0.0063.61N/AN/A3005,9972,513
2020-12-09$46.53$44.0015.9%4.6%13.3%13.7%16.0%5.1%1.1%486.9K-22.9M-23.0K0.0168.71N/AN/A3,544216,0052,513
2020-12-10$46.74$44.0015.9%4.6%13.3%13.7%19.3%5.3%1.7%743.2K-22.2M-36.6K1.8635.74N/AN/A14266,2932,534
2020-12-11$46.44$45.0017.8%5.1%12.3%16.7%22.6%5.5%0.8%779.1K-21.4M-38.2K0.0548.90N/AN/A770406,3012,560
2020-12-14$46.52$45.0016.2%4.7%11.4%14.2%20.4%5.9%1.3%759.6K-22.8M-38.8K1.6343.76N/AN/A2063356,5842,600
2020-12-15$47.03$45.0015.3%4.4%11.5%12.8%19.1%4.9%3.9%654.7K-23.0M-40.4K1.0224.81N/AN/A1391426,5662,934
2020-12-16$47.24$45.0016.7%4.8%11.5%15.0%16.1%5.0%0.5%588.7K-23.1M-39.3K0.1751.16N/AN/A125216,4933,013
2020-12-17$47.48$45.0016.7%4.8%11.4%15.0%15.2%4.7%0.9%539.0K-23.5M-38.8K0.0872.17N/AN/A296256,4622,992
2020-12-18$47.24$45.0015.7%4.5%11.7%13.4%14.4%3.8%1.5%619.4K-23.4M-37.9K0.1775.02N/AN/A285486,5412,999
2020-12-21$46.25$45.0020.1%5.8%14.4%20.3%22.5%6.8%-1.4%518.1K-11.3M-42.4K0.1072.49N/AN/A1,1891174,3751,364
2020-12-22$46.11$45.0019.1%5.5%14.5%18.7%20.5%7.1%-0.3%431.3K-9.5M-38.9K4.8559.36N/AN/A261263,9391,477
2020-12-23$46.66$45.0016.0%4.6%14.3%13.8%18.3%6.4%-0.1%428.7K-10.3M-38.0K2.0638.32N/AN/A31643,9331,600
2020-12-24$46.73$45.0016.1%4.6%14.3%14.0%18.0%5.7%0.6%420.7K-10.4M-38.3K1.0080.89N/AN/A15153,9511,664
2020-12-28$47.06$45.0016.8%4.8%14.4%15.1%17.9%6.8%0.4%424.2K-10.9M-36.3K0.0681.21N/AN/A224143,9021,674
2020-12-29$47.43$45.0017.2%4.9%13.1%15.8%23.7%6.0%0.7%423.6K-11.8M-36.8K0.7375.70N/AN/A109803,9971,676
2020-12-30$47.58$45.0015.4%4.4%11.9%13.0%16.1%5.5%0.6%423.9K-11.9M-36.2K0.0918.12N/AN/A209193,9721,642
2020-12-31$47.14$45.0017.9%5.1%12.5%16.9%18.9%7.1%0.5%439.9K-10.9M-37.1K0.4132.93N/AN/A51213,9811,660