VEA Options History — March 2021

In March 2021, VEA traded between $48.09 and $50.08. ATM implied volatility averaged 14.3%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.4% (HV 20d: 12.9%). Max pain ranged from $42.00 to $49.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.34.

Notable Days

  • 2021-03-10: Highest Volume — 769 contracts
  • 2021-03-08: Largest IV spike — 22.1% change
  • 2021-03-08: Highest IV Rank — 13.2%
  • 2021-03-04: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.16$48.09$50.08$48.92$49.16
Max Pain$47.57$42.00$49.00$42.00$49.00
ATM IV14.3%12.0%19.5%15.0%12.6%
Expected Move4.1%3.5%5.2%4.3%3.6%
HV 20d12.9%11.4%14.4%12.6%12.2%
HV 60d14.4%13.9%14.7%14.2%14.1%
IV Rank4.8%0.7%13.2%5.5%2.5%
IV Percentile9.1%0.4%54.0%7.1%1.2%
Term Structure1.7%-1.4%4.3%-1.4%1.0%
VWIV13.9%11.0%18.1%15.6%11.3%
Skew 25d5.8%3.2%10.3%6.9%3.4%
Skew 10d9.4%-3.0%15.9%5.1%8.2%
Call IV 25d12.2%8.2%15.7%12.8%11.4%
Put IV 25d18.0%14.8%22.5%19.6%14.8%
Bid-Ask Spread %60.3123.8087.1175.7623.80
Gamma HHI0.250.180.410.210.26
Net GEX695.4K563.5K1.0M646.0K700.7K
Net DEX-15.0M-21.0M-7.3M-18.1M-8.0M
Net VEX-32.2K-33.4K-30.1K-31.9K-31.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.001.750.160.00
Total Volume123.60967691147
Total OI6,466.2614,1467,8637,3914,429

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$48.92$42.0015.0%4.3%12.6%5.5%15.6%6.9%-1.4%646.0K-18.1M-31.9K0.1675.76N/AN/A98165,4441,947
2021-03-02$48.94$42.0015.4%4.4%11.7%6.3%17.4%10.3%0.0%645.4K-17.9M-32.3K0.0061.62N/AN/A0225,4021,958
2021-03-03$48.78$42.0015.7%4.5%11.4%6.8%18.1%9.8%0.1%679.5K-17.4M-32.7K1.7538.07N/AN/A475,3991,980
2021-03-04$48.09$48.0018.9%5.2%12.5%12.3%0.0%6.8%1.2%674.1K-15.8M-33.2K0.2956.88N/AN/A725,4011,987
2021-03-05$48.52$48.0015.9%4.5%12.9%7.2%15.1%6.1%2.1%605.6K-17.1M-30.1K0.1551.09N/AN/A119185,4191,987
2021-03-08$48.34$48.0019.5%5.1%12.7%13.2%15.3%6.0%0.7%654.9K-16.9M-31.1K0.0474.85N/AN/A9945,5282,004
2021-03-09$48.97$48.0015.8%4.4%13.3%7.0%14.1%5.8%2.1%682.1K-18.3M-31.8K0.0865.39N/AN/A3935,5572,008
2021-03-10$49.12$48.0014.5%4.2%13.2%4.7%13.4%6.0%2.5%704.7K-18.7M-30.7K0.0250.14N/AN/A756135,5792,007
2021-03-11$49.47$48.0015.1%4.3%13.3%5.8%13.9%7.4%2.7%712.3K-19.6M-32.2K0.0785.08N/AN/A254185,6492,004
2021-03-12$49.58$48.0013.1%3.8%13.1%2.3%13.7%9.8%4.3%679.9K-19.6M-32.6K0.0887.11N/AN/A5045,6712,010
2021-03-15$49.65$48.0013.8%4.0%13.1%3.5%14.6%4.6%2.6%789.5K-19.7M-32.1K0.1173.56N/AN/A7185,6552,014
2021-03-16$49.80$48.0013.1%3.8%12.8%2.3%12.7%4.3%3.3%743.2K-20.2M-32.2K0.0373.33N/AN/A27085,6832,011
2021-03-17$50.08$48.0013.1%3.8%12.8%2.3%13.2%3.8%3.0%787.9K-21.0M-32.7K0.1073.22N/AN/A111115,8012,014
2021-03-18$49.59$48.0013.7%3.9%13.1%3.3%13.7%3.2%1.4%781.7K-20.0M-33.4K1.3276.40N/AN/A66875,8532,010
2021-03-19$49.83$48.0013.0%3.7%13.1%2.4%13.4%4.1%1.4%1.0M-20.4M-32.7K0.6171.87N/AN/A33205,8761,977
2021-03-22$49.52$49.0012.0%3.5%13.3%0.7%13.3%3.5%2.1%604.4K-8.5M-33.0K0.1773.55N/AN/A174303,456690
2021-03-23$48.76$49.0012.6%3.6%14.4%2.1%12.1%4.6%2.3%616.6K-7.8M-32.0K1.1172.90N/AN/A66733,567719
2021-03-24$48.62$49.0012.7%3.6%14.3%2.3%13.1%3.4%2.5%563.5K-7.3M-32.4K0.2742.14N/AN/A3393,557788
2021-03-25$48.90$49.0012.7%3.6%13.3%2.3%11.0%5.4%1.9%617.8K-7.7M-32.5K0.8879.37N/AN/A72633,567784
2021-03-26$49.39$49.0013.1%3.8%13.0%3.4%12.9%5.8%1.3%691.0K-8.6M-32.7K0.0031.21N/AN/A3403,638847
2021-03-29$49.32$49.0014.3%4.1%12.2%6.3%16.8%4.7%0.4%669.8K-8.2M-32.7K0.0524.69N/AN/A5533,575841
2021-03-30$49.25$49.0013.7%3.9%12.2%5.3%11.9%7.0%0.4%719.5K-8.0M-31.7K0.2025.06N/AN/A513,588843
2021-03-31$49.16$49.0012.6%3.6%12.2%2.5%11.3%3.4%1.0%700.7K-8.0M-31.5K0.0023.80N/AN/A703,585844