VEA Options History — June 2021

In June 2021, VEA traded between $51.45 and $53.27. ATM implied volatility averaged 11.4%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 0.7% (HV 20d: 10.7%). Max pain ranged from $46.00 to $54.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2021-06-29: Highest Volume — 1,669 contracts
  • 2021-06-08: Largest IV drop — 26.6% change
  • 2021-06-07: Highest IV Rank — 33.3%
  • 2021-06-01: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.51$51.45$53.27$52.70$51.45
Max Pain$52.36$46.00$54.00$46.00$52.00
ATM IV11.4%9.7%14.7%13.4%11.6%
Expected Move3.2%2.8%3.8%3.8%3.3%
HV 20d10.7%7.9%15.5%15.5%10.0%
HV 60d12.9%12.4%13.1%13.1%12.5%
IV Rank19.6%12.3%33.3%27.6%20.2%
IV Percentile7.0%0.8%27.0%15.5%9.5%
Term Structure1.7%-1.6%3.3%-1.6%1.9%
VWIV11.3%6.9%15.1%15.1%11.3%
Skew 25d4.4%3.0%5.9%5.2%4.0%
Skew 10d8.9%1.9%12.5%10.7%5.0%
Call IV 25d9.5%7.3%11.0%8.8%9.3%
Put IV 25d13.8%12.1%15.8%14.0%13.3%
Bid-Ask Spread %39.718.6480.1556.3621.07
Gamma HHI0.210.160.370.350.17
Net GEX617.0K443.3K1.1M591.5K443.3K
Net DEX-11.0M-16.0M-4.0M-12.8M-4.0M
Net VEX-27.8K-30.0K-24.1K-24.1K-26.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.004.280.620.74
Total Volume354.909481,66983280
Total OI5,258.5914,0456,2945,2834,158

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$52.70$46.0013.4%3.8%15.5%27.6%15.1%5.2%-1.6%591.5K-12.8M-24.1K0.6256.36N/AN/A5153173,8431,440
2021-06-02$52.84$46.0013.0%3.7%14.3%26.0%10.7%4.6%-1.2%634.1K-13.4M-25.1K0.128.64N/AN/A5974,0651,308
2021-06-03$52.57$52.0013.1%3.4%13.9%26.6%6.9%5.0%1.8%662.6K-12.8M-25.0K0.0166.53N/AN/A61554,0901,313
2021-06-04$53.08$52.0013.1%3.3%14.1%26.7%8.4%4.1%1.6%715.4K-15.1M-28.0K0.6940.73N/AN/A109754,4201,316
2021-06-07$53.17$54.0014.7%3.2%13.3%33.3%12.7%4.6%2.5%720.4K-15.0M-27.8K0.7330.27N/AN/A33244,5061,346
2021-06-08$53.18$54.0010.8%3.2%13.2%17.0%11.4%4.5%2.3%660.2K-15.3M-27.2K0.0427.22N/AN/A16274,5061,362
2021-06-09$52.95$54.0011.4%3.3%12.3%19.3%11.6%4.6%1.8%726.9K-15.1M-29.5K0.0073.30N/AN/A7904,5851,361
2021-06-10$53.12$54.0011.0%3.2%9.8%17.9%11.1%4.1%2.2%612.1K-15.5M-28.0K0.0143.87N/AN/A21224,6401,361
2021-06-11$53.14$54.009.8%2.8%9.6%12.8%0.0%3.3%3.3%611.3K-16.0M-27.7K0.3040.45N/AN/A60184,7501,363
2021-06-14$53.22$53.0010.1%2.9%8.5%14.2%10.2%3.1%2.6%596.7K-15.9M-27.7K0.2016.82N/AN/A129264,7211,363
2021-06-15$53.27$53.0010.5%3.0%8.4%15.6%9.9%3.0%2.6%588.0K-15.8M-27.8K0.0247.31N/AN/A4714,7251,385
2021-06-16$53.00$53.0011.1%3.2%8.6%18.3%9.0%4.1%3.0%702.3K-15.3M-28.2K0.1876.30N/AN/A198354,7381,385
2021-06-17$52.60$53.009.7%2.8%7.9%12.3%9.6%3.5%2.0%712.3K-14.7M-28.7K0.5438.71N/AN/A2001074,8031,393
2021-06-18$51.66$54.0010.5%3.0%9.3%15.8%14.2%4.1%2.5%1.1M-11.4M-27.9K0.6080.15N/AN/A3291994,8441,450
2021-06-21$51.82$53.0011.9%3.4%9.3%21.7%11.3%5.1%0.9%508.6K-4.5M-29.8K0.0322.40N/AN/A22373,0601,031
2021-06-22$51.94$53.0011.5%3.3%9.1%19.9%13.7%5.1%1.4%508.0K-5.0M-29.6K4.2814.22N/AN/A361543,1331,035
2021-06-23$51.61$52.0011.2%3.2%9.3%18.7%12.3%4.5%1.6%480.5K-4.9M-28.6K1.6516.58N/AN/A6141,0103,065980
2021-06-24$52.06$53.0011.3%3.2%9.9%18.9%13.6%4.7%1.7%498.2K-5.1M-29.5K1.7612.34N/AN/A42743,1201,162
2021-06-25$52.18$53.0010.7%3.1%9.9%16.5%11.4%3.8%2.0%543.3K-5.5M-30.0K0.2173.43N/AN/A233483,1451,168
2021-06-28$51.85$52.0010.5%3.0%10.0%15.8%12.0%5.4%1.9%478.1K-4.8M-27.4K0.2625.73N/AN/A38102,9901,118
2021-06-29$51.83$52.0010.5%3.0%9.9%15.8%10.7%5.9%1.9%485.0K-4.7M-27.3K1.2441.29N/AN/A7459243,0161,126
2021-06-30$51.45$52.0011.6%3.3%10.0%20.2%11.3%4.0%1.9%443.3K-4.0M-26.0K0.7421.07N/AN/A46343,0221,136