VEA Options History — January 2021

In January 2021, VEA traded between $46.86 and $49.06. ATM implied volatility averaged 16.0%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.2% (HV 20d: 13.7%). Max pain ranged from $44.00 to $48.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.69.

Notable Days

2021-01-14: Highest Volume — 1,087 contracts
2021-01-27: Largest IV spike — 27.5% change
2021-01-04: Highest IV Rank — 18.6%
2021-01-27: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.42	$46.86	$49.06	$47.51	$46.86
Max Pain	$46.47	$44.00	$48.00	$44.00	$47.00
ATM IV	16.0%	14.1%	19.2%	19.0%	18.7%
Expected Move	4.6%	4.1%	5.5%	4.9%	5.4%
HV 20d	13.7%	12.1%	17.7%	12.7%	17.7%
HV 60d	16.4%	15.0%	16.8%	16.4%	16.7%
IV Rank	12.2%	7.4%	18.6%	18.6%	14.7%
IV Percentile	21.4%	9.9%	49.6%	48.0%	45.6%
Term Structure	2.2%	-0.1%	7.1%	0.8%	0.8%
VWIV	17.1%	13.4%	21.3%	21.3%	17.5%
Skew 25d	6.8%	3.2%	12.5%	7.1%	6.6%
Skew 10d	14.1%	4.4%	22.0%	18.2%	4.4%
Call IV 25d	14.2%	12.1%	17.6%	15.7%	16.5%
Put IV 25d	21.0%	17.3%	26.6%	22.7%	23.2%
Bid-Ask Spread %	72.33	25.00	95.81	50.18	95.64
Gamma HHI	0.15	0.14	0.16	0.14	0.16
Net GEX	579.0K	422.2K	636.3K	424.2K	598.0K
Net DEX	-15.1M	-17.5M	-11.6M	-11.6M	-11.8M
Net VEX	-42.7K	-48.4K	-34.5K	-35.7K	-45.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.69	0.00	11.25	1.52	0.11
Total Volume	177.474	20	1,087	63	88
Total OI	6,787.895	5,681	7,248	5,681	7,137

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
2021-01-04	$47.51	$44.00	19.0%	4.9%	12.7%	18.6%	21.3%	7.1%	0.8%	424.2K	-11.6M	-35.7K	1.52	50.18	N/A	N/A	25	38	4,001	1,680
2021-01-05	$48.10	$44.00	16.1%	5.0%	13.1%	13.9%	15.1%	7.2%	1.2%	422.2K	-12.7M	-34.5K	0.00	55.30	N/A	N/A	694	1	4,017	1,713
2021-01-06	$48.55	$44.00	17.0%	4.6%	13.0%	15.5%	16.1%	9.8%	1.3%	513.3K	-15.1M	-40.4K	1.64	73.93	N/A	N/A	25	41	4,654	1,714
2021-01-07	$48.72	$48.00	14.1%	4.5%	13.0%	10.9%	16.3%	12.5%	5.4%	504.3K	-15.2M	-39.9K	0.01	91.17	N/A	N/A	384	3	4,658	1,715
2021-01-08	$49.06	$48.00	15.6%	4.6%	13.0%	13.3%	20.8%	6.7%	6.2%	571.4K	-17.3M	-41.1K	0.12	70.84	N/A	N/A	51	6	5,021	1,717
2021-01-11	$48.53	$46.00	15.9%	4.5%	13.9%	13.7%	18.8%	6.6%	1.4%	616.1K	-16.2M	-41.6K	0.27	56.68	N/A	N/A	139	37	5,030	1,719
2021-01-12	$48.70	$46.00	15.8%	4.5%	13.5%	13.6%	18.5%	7.3%	1.4%	616.2K	-16.6M	-44.4K	1.00	59.95	N/A	N/A	10	10	5,152	1,758
2021-01-13	$48.66	$46.00	15.3%	4.4%	13.6%	12.8%	20.1%	5.4%	1.4%	628.3K	-16.6M	-43.7K	8.58	69.10	N/A	N/A	12	103	5,151	1,756
2021-01-14	$49.05	$47.00	15.0%	4.3%	13.4%	11.7%	15.1%	12.0%	1.7%	609.7K	-17.5M	-42.3K	1.37	80.45	N/A	N/A	458	629	5,155	1,856
2021-01-15	$48.25	$47.00	16.7%	4.8%	14.8%	14.3%	15.5%	5.8%	2.1%	593.9K	-15.0M	-48.4K	1.44	73.27	N/A	N/A	9	13	5,308	1,940
2021-01-19	$48.55	$47.00	14.2%	4.1%	14.9%	10.3%	16.8%	5.1%	2.4%	597.0K	-15.1M	-44.8K	11.25	69.86	N/A	N/A	8	90	5,091	1,749
2021-01-20	$48.92	$47.00	14.3%	4.1%	14.9%	7.4%	16.0%	5.2%	2.3%	606.4K	-16.0M	-42.9K	1.44	25.00	N/A	N/A	41	59	5,106	1,800
2021-01-21	$49.01	$47.00	14.5%	4.2%	12.2%	7.8%	13.4%	4.3%	2.0%	611.6K	-16.1M	-44.2K	0.19	71.85	N/A	N/A	31	6	5,146	1,856
2021-01-22	$48.75	$47.00	14.4%	4.1%	12.3%	7.6%	14.7%	5.1%	7.1%	607.2K	-15.6M	-45.0K	0.29	83.60	N/A	N/A	34	10	5,175	1,861
2021-01-25	$48.56	$47.00	15.5%	4.4%	12.1%	9.4%	19.0%	6.2%	1.5%	620.9K	-15.2M	-44.5K	0.47	73.95	N/A	N/A	62	29	5,195	1,856
2021-01-26	$48.72	$47.00	15.1%	4.3%	12.1%	8.7%	14.4%	5.6%	2.3%	636.3K	-15.9M	-42.6K	0.00	82.09	N/A	N/A	36	0	5,192	1,883
2021-01-27	$47.52	$47.00	19.2%	5.5%	15.3%	15.6%	18.0%	3.2%	0.4%	591.3K	-13.2M	-46.2K	0.13	95.63	N/A	N/A	85	11	5,226	1,883
2021-01-28	$48.00	$47.00	17.0%	4.9%	15.4%	11.9%	17.1%	7.8%	-0.1%	632.1K	-14.0M	-43.3K	2.36	95.81	N/A	N/A	28	66	5,202	1,897
2021-01-29	$46.86	$47.00	18.7%	5.4%	17.7%	14.7%	17.5%	6.6%	0.8%	598.0K	-11.8M	-45.8K	0.11	95.64	N/A	N/A	79	9	5,225	1,912