VEA Options History — August 2021

In August 2021, VEA traded between $51.26 and $52.78. ATM implied volatility averaged 11.6%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.0% (HV 20d: 11.6%). Max pain ranged from $47.00 to $51.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.71.

Notable Days

  • 2021-08-17: Highest Volume — 526 contracts
  • 2021-08-19: Largest IV spike — 20.2% change
  • 2021-08-19: Highest IV Rank — 32.9%
  • 2021-08-19: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.22$51.26$52.78$52.00$52.47
Max Pain$48.00$47.00$51.00$51.00$48.00
ATM IV11.6%10.4%14.6%12.2%11.5%
Expected Move3.4%3.0%4.2%3.5%3.3%
HV 20d11.6%8.4%15.8%15.7%9.9%
HV 60d12.0%11.2%13.2%13.2%12.0%
IV Rank20.5%15.5%32.9%22.8%19.7%
IV Percentile16.4%4.0%46.4%20.2%17.1%
Term Structure1.8%0.6%3.6%1.7%1.2%
VWIV12.0%9.0%16.4%14.5%9.0%
Skew 25d5.4%4.5%6.5%6.1%4.6%
Skew 10d11.1%2.4%17.1%17.1%10.9%
Call IV 25d9.8%7.3%12.4%10.9%8.3%
Put IV 25d15.1%12.9%18.7%16.9%12.9%
Bid-Ask Spread %37.8210.6289.1984.2215.08
Gamma HHI0.270.200.360.260.27
Net GEX794.7K537.9K994.3K655.7K883.0K
Net DEX-5.5M-7.2M-3.0M-5.0M-6.1M
Net VEX-22.2K-25.7K-20.1K-25.3K-20.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.710.0240.561.590.31
Total Volume117.273325264438
Total OI4,570.54,2494,8364,4484,610

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$52.00$51.0012.2%3.5%15.7%22.8%14.5%6.1%1.7%655.7K-5.0M-25.3K1.5984.22N/AN/A17273,0831,365
2021-08-03$52.39$51.0012.8%3.7%15.8%25.6%11.2%5.6%1.1%716.6K-5.9M-25.6K0.0524.01N/AN/A4323,1291,367
2021-08-04$52.28$51.0012.3%3.5%15.8%23.4%12.2%5.6%1.4%728.1K-5.8M-25.7K5.4389.19N/AN/A7383,1361,393
2021-08-05$52.50$47.0012.3%3.9%14.5%23.4%10.9%5.9%2.2%743.9K-6.2M-24.8K1.3315.26N/AN/A58773,1501,395
2021-08-06$52.25$47.0010.6%3.7%13.3%16.2%12.2%5.2%2.1%808.2K-5.7M-24.1K0.6418.49N/AN/A56363,1431,434
2021-08-09$52.25$47.0011.0%3.6%13.2%17.7%13.7%5.7%2.7%825.5K-5.6M-22.6K1.3823.26N/AN/A16223,1551,434
2021-08-10$52.35$47.0010.9%3.5%13.1%17.7%11.2%5.1%3.0%856.5K-5.8M-21.7K0.9225.99N/AN/A26243,1571,443
2021-08-11$52.67$47.0010.4%3.0%13.2%15.5%10.5%5.3%3.5%843.7K-6.7M-22.8K0.4525.64N/AN/A22103,1601,441
2021-08-12$52.57$47.0010.4%3.0%12.7%15.6%12.5%5.4%3.5%868.7K-6.4M-21.8K0.8419.78N/AN/A19163,1781,453
2021-08-13$52.78$47.0010.4%3.0%12.2%15.5%13.9%4.5%3.6%919.1K-7.2M-21.0K40.5616.83N/AN/A93653,1901,463
2021-08-16$52.53$47.0010.6%3.0%8.9%16.1%12.4%4.5%1.9%994.3K-6.8M-20.8K0.1875.39N/AN/A146263,1901,474
2021-08-17$51.93$47.0012.2%3.5%9.3%22.8%16.4%5.6%2.1%940.3K-4.6M-20.4K0.0230.33N/AN/A51793,1931,489
2021-08-18$51.90$48.0012.2%3.5%8.4%22.7%13.7%5.1%2.2%979.8K-4.8M-20.1K0.1419.15N/AN/A160223,1921,514
2021-08-19$51.26$48.0014.6%4.2%9.6%32.9%12.0%6.3%0.6%554.4K-3.0M-21.4K1.5016.91N/AN/A48723,3151,521
2021-08-20$51.41$48.0012.9%3.7%9.4%25.9%12.5%5.8%0.9%537.9K-3.6M-21.2K0.9521.23N/AN/A22213,2151,534
2021-08-23$51.99$48.0011.3%3.2%10.2%19.0%10.3%5.2%1.2%661.8K-4.5M-20.8K0.2771.85N/AN/A109292,8631,386
2021-08-24$52.25$48.0011.5%3.3%10.2%20.1%10.3%5.3%1.0%703.7K-5.1M-20.8K0.1710.62N/AN/A245412,8801,392
2021-08-25$52.26$48.0011.3%3.2%9.9%18.9%12.7%4.5%1.0%795.4K-5.3M-20.9K0.1912.51N/AN/A54102,9761,419
2021-08-26$51.91$48.0011.5%3.3%9.9%20.0%11.8%5.0%1.5%700.6K-4.4M-22.8K0.7170.44N/AN/A21153,1201,453
2021-08-27$52.48$48.0011.1%3.2%10.3%18.3%10.1%5.8%1.2%877.3K-5.9M-21.7K1.7364.89N/AN/A15263,1091,463
2021-08-30$52.44$48.0011.7%3.3%10.2%20.7%10.9%6.5%0.8%889.2K-6.1M-21.6K0.2680.96N/AN/A3593,1281,446
2021-08-31$52.47$48.0011.5%3.3%9.9%19.7%9.0%4.6%1.2%883.0K-6.1M-20.9K0.3115.08N/AN/A2993,1411,469