VEA Options History — July 2021

In July 2021, VEA traded between $49.91 and $52.11. ATM implied volatility averaged 12.1%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 1.4% (HV 20d: 13.4%). Max pain ranged from $51.00 to $52.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2021-07-19: Highest Volume — 268 contracts
  • 2021-07-19: Largest IV spike — 30.0% change
  • 2021-07-19: Highest IV Rank — 41.6%
  • 2021-07-19: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.48$49.91$52.11$51.59$51.75
Max Pain$51.62$51.00$52.00$52.00$51.00
ATM IV12.1%9.4%16.7%10.3%11.2%
Expected Move3.5%2.7%4.8%2.9%3.2%
HV 20d13.4%9.4%15.7%10.0%15.7%
HV 60d13.4%12.4%14.2%12.5%13.3%
IV Rank22.3%11.1%41.6%14.8%18.5%
IV Percentile17.6%0.8%63.5%2.4%9.9%
Term Structure1.1%-1.2%2.1%1.4%2.1%
VWIV12.5%10.1%17.2%10.1%13.4%
Skew 25d5.0%3.8%6.7%4.2%4.9%
Skew 10d10.4%4.0%13.6%7.0%12.4%
Call IV 25d10.7%7.7%14.2%8.8%10.2%
Put IV 25d15.7%12.0%20.8%12.9%15.1%
Bid-Ask Spread %48.4715.2884.2453.1880.62
Gamma HHI0.200.160.290.170.29
Net GEX509.7K256.7K669.2K450.4K642.2K
Net DEX-4.1M-5.3M-1.7M-4.2M-4.3M
Net VEX-24.8K-25.9K-22.3K-25.7K-25.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.005.420.000.57
Total Volume79.476132681480
Total OI4,256.7623,8944,4324,1804,432

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$51.59$52.0010.3%2.9%10.0%14.8%10.1%4.2%1.4%450.4K-4.2M-25.7K0.0053.18N/AN/A1403,0211,159
2021-07-02$51.82$52.009.4%2.7%9.4%11.1%11.9%4.3%2.1%479.8K-4.5M-25.9K2.8984.24N/AN/A9263,0221,159
2021-07-06$51.59$52.0010.8%3.4%9.4%17.0%12.3%4.1%0.8%450.3K-4.1M-25.3K0.8434.11N/AN/A37313,0261,162
2021-07-07$51.76$52.0010.7%3.5%9.6%16.6%12.8%4.9%1.0%489.4K-4.4M-24.6K0.2037.32N/AN/A65133,0341,176
2021-07-08$50.91$52.0013.2%3.9%11.0%27.0%13.1%4.3%0.2%399.8K-3.0M-24.6K0.7569.80N/AN/A16123,0931,184
2021-07-09$51.84$52.0010.1%3.5%13.0%14.1%10.8%4.7%0.6%534.9K-4.6M-24.8K0.1642.65N/AN/A63103,0991,196
2021-07-12$52.02$52.0012.0%3.4%13.1%22.2%10.8%5.2%1.2%567.6K-5.0M-24.9K0.2365.42N/AN/A56133,1201,206
2021-07-13$51.77$52.0011.5%3.4%13.1%20.1%13.5%4.4%1.1%564.1K-4.5M-24.7K1.6420.75N/AN/A11183,1551,217
2021-07-14$51.92$52.0011.7%3.4%13.2%20.8%10.5%4.6%1.3%603.9K-4.9M-24.5K1.2325.34N/AN/A13163,1511,230
2021-07-15$51.42$52.0013.4%3.8%13.5%27.7%13.3%4.8%0.7%454.3K-3.8M-23.8K2.0972.12N/AN/A22463,1531,231
2021-07-16$51.01$52.0012.8%3.7%13.5%25.5%11.6%4.0%1.1%256.7K-3.3M-23.8K0.6365.35N/AN/A125793,1621,257
2021-07-19$49.91$52.0016.7%4.8%14.1%41.6%17.2%6.7%-1.2%309.7K-1.7M-22.3K0.9167.48N/AN/A1401282,7631,131
2021-07-20$50.57$52.0013.9%4.0%15.0%29.8%13.3%5.6%0.9%344.5K-2.5M-24.2K0.0637.21N/AN/A8052,7531,252
2021-07-21$51.19$51.0013.8%4.0%15.7%29.5%12.3%5.7%0.6%500.9K-3.7M-25.6K0.0672.31N/AN/A16392,9141,252
2021-07-22$51.34$51.0013.4%3.9%15.6%28.0%11.7%5.7%0.5%550.5K-4.0M-25.6K0.0323.50N/AN/A10232,9931,257
2021-07-23$51.65$51.0010.8%3.1%15.4%17.1%13.8%5.6%1.8%602.2K-4.6M-25.5K1.6017.85N/AN/A582,9931,257
2021-07-26$51.65$51.0011.2%3.2%15.4%18.9%11.5%5.2%1.6%615.8K-4.5M-25.0K0.0016.11N/AN/A1302,9931,257
2021-07-27$51.41$51.0014.0%4.0%15.3%30.2%15.7%6.4%0.9%570.0K-4.0M-25.0K5.4271.16N/AN/A191033,0081,260
2021-07-28$51.78$51.0011.2%3.2%15.6%18.5%11.6%6.0%1.9%647.6K-4.9M-24.8K0.4346.14N/AN/A44193,0171,261
2021-07-29$52.11$51.0011.2%3.2%15.5%18.6%11.0%3.8%1.6%669.2K-5.3M-25.2K0.4315.28N/AN/A37163,0251,361
2021-07-30$51.75$51.0011.2%3.2%15.7%18.5%13.4%4.9%2.1%642.2K-4.3M-25.0K0.5780.62N/AN/A51293,0681,364