VEA Options History — February 2021

In February 2021, VEA traded between $47.57 and $49.91. ATM implied volatility averaged 15.2%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 1.7% (HV 20d: 16.9%). Max pain ranged from $42.00 to $47.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.32.

Notable Days

2021-02-26: Highest Volume — 541 contracts
2021-02-25: Largest IV spike — 24.9% change
2021-02-01: Highest IV Rank — 13.2%
2021-02-26: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.96	$47.57	$49.91	$47.57	$48.25
Max Pain	$42.79	$42.00	$47.00	$47.00	$42.00
ATM IV	15.2%	11.8%	18.4%	17.8%	18.4%
Expected Move	4.5%	3.8%	5.3%	5.1%	5.3%
HV 20d	16.9%	14.7%	18.3%	18.2%	14.9%
HV 60d	14.7%	14.1%	16.0%	16.0%	14.3%
IV Rank	7.8%	2.9%	13.2%	13.2%	11.3%
IV Percentile	14.6%	2.0%	43.3%	38.1%	43.3%
Term Structure	1.4%	-1.8%	4.5%	1.8%	-0.9%
VWIV	16.9%	14.1%	23.8%	21.3%	17.4%
Skew 25d	5.6%	-0.6%	9.3%	8.5%	6.2%
Skew 10d	11.1%	0.8%	16.2%	9.3%	9.2%
Call IV 25d	14.1%	12.3%	16.4%	15.9%	15.3%
Put IV 25d	19.7%	12.5%	24.4%	24.4%	21.5%
Bid-Ask Spread %	62.24	19.06	94.61	82.55	75.65
Gamma HHI	0.19	0.15	0.25	0.15	0.18
Net GEX	708.0K	554.5K	857.3K	585.4K	683.4K
Net DEX	-17.7M	-21.2M	-12.9M	-12.9M	-16.6M
Net VEX	-35.9K	-46.1K	-31.0K	-46.1K	-33.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.01	1.74	0.27	0.01
Total Volume	114.421	16	541	70	541
Total OI	7,390.579	7,177	7,602	7,177	7,362

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
2021-02-01	$47.57	$47.00	17.8%	5.1%	18.2%	13.2%	21.3%	8.5%	1.8%	585.4K	-12.9M	-46.1K	0.27	82.55	N/A	N/A	55	15	5,259	1,918
2021-02-02	$48.02	$47.00	14.6%	4.2%	18.3%	7.9%	17.5%	5.6%	1.7%	644.5K	-14.2M	-43.5K	0.22	62.11	N/A	N/A	68	15	5,266	1,930
2021-02-03	$48.22	$47.00	15.4%	4.4%	17.8%	9.2%	16.2%	4.2%	2.2%	687.6K	-14.8M	-42.1K	0.02	27.20	N/A	N/A	45	1	5,314	1,931
2021-02-04	$48.18	$42.00	13.7%	5.0%	17.5%	6.4%	23.8%	7.3%	1.5%	726.0K	-15.0M	-39.5K	0.08	36.92	N/A	N/A	130	11	5,320	1,930
2021-02-05	$48.52	$42.00	11.8%	4.3%	17.7%	3.2%	15.2%	6.8%	1.5%	777.9K	-16.5M	-37.7K	0.48	34.43	N/A	N/A	31	15	5,427	1,941
2021-02-08	$48.86	$42.00	13.2%	4.6%	17.7%	5.6%	19.4%	6.8%	2.2%	761.1K	-17.2M	-37.6K	0.20	82.75	N/A	N/A	69	14	5,434	1,942
2021-02-09	$49.18	$42.00	14.9%	4.7%	17.3%	8.4%	17.8%	6.0%	2.1%	792.2K	-18.1M	-37.4K	0.51	57.97	N/A	N/A	59	30	5,495	1,951
2021-02-10	$49.01	$42.00	16.3%	4.7%	17.4%	10.8%	14.3%	6.6%	1.3%	774.8K	-17.9M	-38.1K	0.39	84.37	N/A	N/A	140	54	5,536	1,976
2021-02-11	$49.34	$42.00	15.7%	4.5%	17.5%	9.3%	14.7%	5.8%	2.3%	806.3K	-19.2M	-35.0K	0.06	94.61	N/A	N/A	67	4	5,588	1,957
2021-02-12	$49.53	$42.00	14.2%	4.1%	17.3%	6.8%	14.9%	4.5%	1.9%	740.0K	-20.2M	-32.0K	0.24	91.88	N/A	N/A	46	11	5,629	1,959
2021-02-16	$49.91	$42.00	14.7%	4.2%	16.3%	7.5%	15.7%	5.1%	2.2%	777.1K	-21.2M	-31.0K	0.01	93.76	N/A	N/A	211	3	5,642	1,960
2021-02-17	$49.61	$42.00	13.3%	3.8%	16.4%	5.2%	14.2%	3.5%	4.5%	807.8K	-20.2M	-31.6K	0.58	39.40	N/A	N/A	45	26	5,603	1,962
2021-02-18	$49.28	$42.00	15.7%	4.5%	16.5%	9.3%	15.7%	5.4%	3.5%	857.3K	-19.1M	-33.0K	0.06	39.01	N/A	N/A	85	5	5,608	1,973
2021-02-19	$49.51	$42.00	13.4%	3.9%	16.5%	2.9%	17.5%	3.6%	1.7%	609.0K	-19.7M	-33.0K	0.41	28.96	N/A	N/A	118	48	5,577	1,978
2021-02-22	$49.43	$42.00	16.6%	4.8%	16.4%	8.3%	14.1%	-0.6%	-1.8%	554.5K	-18.7M	-33.3K	0.27	77.45	N/A	N/A	26	7	5,322	1,900
2021-02-23	$49.48	$42.00	16.6%	4.8%	16.3%	8.4%	20.5%	6.6%	0.4%	587.2K	-18.7M	-33.4K	0.60	81.09	N/A	N/A	10	6	5,347	1,907
2021-02-24	$49.59	$42.00	14.3%	4.1%	16.3%	4.4%	14.3%	9.3%	-1.1%	640.8K	-18.8M	-33.0K	0.02	73.46	N/A	N/A	109	2	5,350	1,910
2021-02-25	$48.78	$42.00	17.9%	5.1%	14.7%	10.5%	16.4%	5.6%	-1.0%	638.7K	-17.7M	-32.8K	1.74	19.06	N/A	N/A	19	33	5,404	1,913
2021-02-26	$48.25	$42.00	18.4%	5.3%	14.9%	11.3%	17.4%	6.2%	-0.9%	683.4K	-16.6M	-33.0K	0.01	75.65	N/A	N/A	537	4	5,419	1,943