VEA Options History — May 2021

In May 2021, VEA traded between $50.35 and $52.50. ATM implied volatility averaged 14.3%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.4% (HV 20d: 15.7%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2021-05-07: Highest Volume — 477 contracts
  • 2021-05-11: Largest IV spike — 27.3% change
  • 2021-05-12: Highest IV Rank — 47.4%
  • 2021-05-12: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.57$50.35$52.50$51.14$52.50
Max Pain$46.60$46.00$50.00$50.00$46.00
ATM IV14.3%11.6%18.1%12.6%12.7%
Expected Move4.1%3.6%5.2%3.6%3.7%
HV 20d15.7%12.0%17.3%12.0%16.0%
HV 60d13.5%12.2%14.5%12.2%13.2%
IV Rank31.6%20.3%47.4%24.6%25.1%
IV Percentile22.0%3.6%60.7%8.7%11.1%
Term Structure0.5%-0.7%1.5%1.2%0.2%
VWIV16.0%11.9%20.5%11.9%14.2%
Skew 25d6.4%3.0%10.4%3.8%5.4%
Skew 10d11.6%4.8%16.3%7.9%10.4%
Call IV 25d10.9%6.9%14.8%11.1%8.6%
Put IV 25d17.3%13.9%21.4%14.9%13.9%
Bid-Ask Spread %46.208.6993.3281.988.69
Gamma HHI0.290.190.390.230.36
Net GEX649.7K550.5K745.7K711.1K590.5K
Net DEX-11.5M-13.6M-8.9M-11.1M-12.9M
Net VEX-29.6K-33.7K-24.3K-33.2K-24.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.008.630.168.63
Total Volume136.6947737395
Total OI5,310.15,0705,5105,2575,120

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$51.14$50.0012.6%3.6%12.0%24.6%11.9%3.8%1.2%711.1K-11.1M-33.2K0.1681.98N/AN/A3254,0661,191
2021-05-04$50.41$50.0015.3%4.4%12.6%35.7%13.8%3.7%-0.3%662.2K-9.4M-33.4K0.0863.91N/AN/A121104,0851,192
2021-05-05$51.09$50.0013.7%3.9%13.4%29.2%14.1%3.0%1.0%731.3K-11.0M-33.7K0.0067.94N/AN/A904,1331,196
2021-05-06$51.42$46.0013.6%4.2%13.4%28.7%14.0%4.2%0.9%745.7K-11.9M-33.2K0.0323.62N/AN/A2914,1381,196
2021-05-07$52.14$46.0011.6%3.8%14.2%20.3%16.9%6.2%1.5%730.3K-13.6M-31.0K7.8326.23N/AN/A544234,1481,197
2021-05-10$51.95$46.0012.8%4.0%14.2%25.4%16.6%9.7%1.5%744.4K-13.4M-30.5K4.6978.58N/AN/A612864,1441,179
2021-05-11$51.28$46.0016.3%4.5%14.9%39.9%19.2%7.3%0.6%654.4K-11.2M-32.7K0.1376.44N/AN/A88114,1471,363
2021-05-12$50.35$46.0018.1%5.2%16.4%47.4%18.0%6.7%-0.7%584.2K-8.9M-32.5K0.2415.91N/AN/A278664,1281,363
2021-05-13$50.78$46.0016.2%4.6%16.4%39.3%15.5%6.9%-0.5%553.3K-9.2M-31.0K0.1174.83N/AN/A1923,9461,423
2021-05-14$51.51$46.0013.5%3.9%17.1%28.4%20.5%6.3%0.6%642.3K-11.2M-29.1K0.0176.16N/AN/A18323,9511,423
2021-05-17$51.42$46.0015.7%4.5%17.0%37.2%16.4%6.6%-0.6%673.8K-10.8M-29.2K0.1112.69N/AN/A7283,9641,423
2021-05-18$51.73$46.0014.2%4.1%16.2%31.1%14.5%7.1%0.7%679.5K-11.7M-28.7K0.0978.20N/AN/A10093,9811,426
2021-05-19$51.14$46.0016.9%4.8%16.7%42.2%18.3%6.8%-0.3%603.1K-10.0M-29.9K0.1354.59N/AN/A5473,9771,436
2021-05-20$51.84$46.0015.1%4.3%17.3%35.0%15.4%7.8%0.3%708.2K-11.8M-27.7K0.0028.59N/AN/A3303,9671,442
2021-05-21$51.86$46.0014.8%4.2%17.0%33.4%15.2%10.4%0.1%723.3K-12.6M-28.3K0.2093.32N/AN/A51103,9841,442
2021-05-24$52.19$46.0014.0%4.0%17.1%30.1%16.9%7.2%0.6%567.2K-12.3M-25.8K1.5218.76N/AN/A50763,8231,247
2021-05-25$52.15$46.0013.3%3.8%17.1%27.3%17.1%6.3%1.2%550.5K-12.3M-26.9K0.1719.58N/AN/A122213,8721,286
2021-05-26$52.19$46.0013.1%3.8%17.1%26.6%16.1%6.3%0.5%572.8K-12.0M-26.1K0.1011.93N/AN/A3133,7891,304
2021-05-27$52.27$46.0012.6%3.6%17.1%24.3%0.0%5.3%0.7%566.7K-12.3M-25.0K0.4312.12N/AN/A733,8051,305
2021-05-28$52.50$46.0012.7%3.7%16.0%25.1%14.2%5.4%0.2%590.5K-12.9M-24.3K8.638.69N/AN/A413543,8121,308