VEA Options History — April 2021

In April 2021, VEA traded between $49.69 and $51.38. ATM implied volatility averaged 11.3%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 0.7% (HV 20d: 12.0%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2021-04-13: Highest Volume — 884 contracts
  • 2021-04-14: Largest IV spike — 45.5% change
  • 2021-04-30: Highest IV Rank — 29.2%
  • 2021-04-20: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.73$49.69$51.38$49.69$50.49
Max Pain$49.24$46.00$50.00$49.00$50.00
ATM IV11.3%6.7%13.8%10.4%13.7%
Expected Move3.4%3.0%3.9%3.0%3.9%
HV 20d12.0%11.4%13.0%11.4%12.5%
HV 60d13.5%11.5%14.4%14.0%12.0%
IV Rank14.5%0.0%29.2%0.0%29.2%
IV Percentile3.8%0.0%14.3%0.0%14.3%
Term Structure1.5%0.6%4.2%1.8%0.8%
VWIV11.9%10.3%15.1%10.3%12.2%
Skew 25d3.9%2.8%4.7%4.6%2.8%
Skew 10d8.7%3.3%11.9%9.6%7.4%
Call IV 25d10.3%8.4%12.0%8.4%12.0%
Put IV 25d14.2%12.8%16.1%13.0%14.7%
Bid-Ask Spread %58.2012.9585.1526.5372.47
Gamma HHI0.220.160.300.280.20
Net GEX768.7K587.3K950.6K842.7K689.7K
Net DEX-10.9M-13.4M-9.0M-9.0M-9.8M
Net VEX-29.6K-35.0K-24.9K-30.6K-35.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.003.130.110.04
Total Volume209.524388411328
Total OI4,722.0484,4345,2564,4345,256

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$49.69$49.0010.4%3.0%11.4%0.0%10.3%4.6%1.8%842.7K-9.0M-30.6K0.1126.53N/AN/A102113,590844
2021-04-05$50.49$46.0011.7%3.2%12.2%3.8%10.7%3.4%4.2%857.9K-11.1M-28.0K0.0457.73N/AN/A13963,643854
2021-04-06$49.99$46.0011.7%3.5%12.8%4.6%12.5%3.1%0.9%896.9K-10.0M-29.3K0.7334.72N/AN/A37273,659860
2021-04-07$50.09$49.0011.1%3.4%12.1%2.4%0.0%3.6%1.1%934.8K-10.3M-28.9K2.0044.82N/AN/A123,673882
2021-04-08$50.43$49.0010.6%3.5%12.2%0.9%11.4%4.5%0.6%914.5K-11.0M-29.1K0.0169.63N/AN/A31843,674883
2021-04-09$50.50$49.006.7%3.6%12.0%0.0%12.4%4.4%1.1%923.4K-11.1M-29.3K0.0974.98N/AN/A6463,791885
2021-04-12$50.30$50.009.7%3.5%12.2%11.0%13.4%3.9%1.5%950.6K-10.6M-29.0K0.2676.77N/AN/A66173,738889
2021-04-13$50.62$50.007.9%3.2%12.3%4.3%11.8%4.3%1.3%880.4K-11.3M-28.7K0.2873.60N/AN/A6891953,747906
2021-04-14$50.66$50.0011.4%3.3%12.3%17.5%11.0%3.6%1.8%830.7K-11.8M-26.6K0.0877.99N/AN/A168143,785923
2021-04-15$51.08$50.0011.3%3.2%12.5%17.0%13.1%4.2%1.3%845.6K-12.9M-24.9K3.1385.15N/AN/A1494663,805932
2021-04-16$51.38$48.0011.0%3.2%11.9%16.0%10.9%3.1%2.3%714.8K-13.4M-27.8K0.1482.10N/AN/A69103,885988
2021-04-19$51.20$48.0012.1%3.5%12.0%20.0%12.4%2.8%1.3%654.1K-11.6M-28.3K0.1233.32N/AN/A107133,616891
2021-04-20$50.47$50.0013.8%3.9%13.0%26.1%15.1%4.3%0.9%672.4K-10.3M-30.4K1.2966.17N/AN/A1111433,706926
2021-04-21$50.84$50.0012.2%3.5%11.6%20.2%12.2%4.3%1.3%680.6K-11.0M-31.5K0.2515.66N/AN/A4391093,7991,067
2021-04-22$50.74$50.0012.5%3.6%11.5%22.7%11.2%4.1%1.2%587.3K-9.4M-31.8K1.1132.24N/AN/A19213,5601,170
2021-04-23$51.23$50.0011.8%3.4%11.8%21.0%11.0%4.7%1.6%613.8K-10.5M-30.8K2.0712.95N/AN/A14293,5651,190
2021-04-26$51.30$50.0012.0%3.4%11.4%21.8%12.8%3.9%1.7%630.9K-10.7M-29.9K0.0270.05N/AN/A23543,5701,198
2021-04-27$51.16$50.0011.9%3.4%11.5%21.6%10.9%4.2%1.6%658.2K-10.4M-30.0K0.0073.02N/AN/A13403,6051,200
2021-04-28$51.31$50.0012.2%3.5%11.4%22.8%12.5%4.7%0.9%670.5K-11.0M-29.4K0.0971.75N/AN/A244223,7061,200
2021-04-29$51.27$50.0012.0%3.4%11.4%22.1%10.6%4.3%1.5%693.2K-11.2M-32.3K0.0170.48N/AN/A16713,9121,190
2021-04-30$50.49$50.0013.7%3.9%12.5%29.2%12.2%2.8%0.8%689.7K-9.8M-35.0K0.0472.47N/AN/A2714,0661,190