VEA Options History — September 2021

In September 2021, VEA traded between $50.51 and $53.47. ATM implied volatility averaged 13.9%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.7% (HV 20d: 12.3%). Max pain ranged from $45.00 to $52.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2021-09-01: Highest Volume — 1,485 contracts
  • 2021-09-20: Largest IV spike — 33.8% change
  • 2021-09-20: Highest IV Rank — 52.1%
  • 2021-09-20: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.31$50.51$53.47$52.93$50.51
Max Pain$45.52$45.00$52.00$48.00$46.00
ATM IV13.9%10.4%19.2%10.7%17.1%
Expected Move4.0%3.1%5.5%3.1%4.9%
HV 20d12.3%9.8%16.2%10.3%15.7%
HV 60d12.7%11.6%14.1%12.1%14.1%
IV Rank30.0%15.5%52.1%16.6%43.1%
IV Percentile44.5%4.0%89.7%8.3%80.6%
Term Structure1.1%-0.9%2.7%1.1%-0.0%
VWIV15.5%10.4%26.2%12.0%18.2%
Skew 25d6.0%3.2%9.1%3.2%7.8%
Skew 10d12.8%8.3%18.2%8.3%16.9%
Call IV 25d12.3%9.5%16.4%9.5%15.6%
Put IV 25d18.3%12.7%25.5%12.7%23.3%
Bid-Ask Spread %37.7114.2179.4079.4017.17
Gamma HHI0.290.150.590.260.16
Net GEX794.8K221.2K1.7M875.6K221.2K
Net DEX-9.8M-14.8M-3.9M-7.5M-3.9M
Net VEX-29.0K-36.0K-21.2K-21.3K-32.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.011.220.010.25
Total Volume429.762601,4851,48560
Total OI6,109.0484,6407,1034,6406,291

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$52.93$48.0010.7%3.1%10.3%16.6%12.0%3.2%1.1%875.6K-7.5M-21.3K0.0179.40N/AN/A1,47693,1621,478
2021-09-02$53.11$52.0010.4%3.3%10.3%15.5%11.9%4.9%2.7%886.2K-7.8M-21.2K0.1560.79N/AN/A505753,1711,489
2021-09-03$53.47$45.0011.0%3.5%10.3%17.9%10.4%5.3%2.0%945.9K-12.9M-24.4K0.0138.95N/AN/A34444,1291,494
2021-09-07$53.33$45.0011.3%3.6%10.4%19.2%12.4%5.3%1.8%945.2K-13.8M-25.1K0.0821.63N/AN/A547444,4691,555
2021-09-08$52.93$45.0012.6%3.6%10.8%24.5%11.9%5.9%2.3%1.1M-13.3M-24.9K0.4051.57N/AN/A119474,6661,559
2021-09-09$52.91$45.0012.3%3.5%10.6%23.3%15.2%5.2%2.3%1.2M-14.1M-27.7K0.3545.19N/AN/A164575,0161,584
2021-09-10$52.75$45.0012.8%3.7%10.6%25.6%15.3%5.0%1.8%1.2M-13.9M-27.8K1.2248.69N/AN/A1902315,0171,600
2021-09-13$53.06$45.0013.0%3.7%10.8%26.1%13.1%5.9%2.0%1.3M-14.7M-27.2K0.2017.70N/AN/A147305,0931,688
2021-09-14$52.88$45.0013.0%3.7%10.7%26.3%13.3%5.1%1.8%1.3M-14.0M-27.2K0.1323.36N/AN/A453615,1101,841
2021-09-15$53.09$45.0012.5%3.6%9.8%24.2%13.1%5.3%2.3%1.5M-14.8M-26.8K0.4519.75N/AN/A53245,1101,859
2021-09-16$52.92$45.0012.2%3.5%9.9%22.9%19.4%4.7%1.4%1.7M-14.1M-27.2K0.8934.08N/AN/A3493125,1941,896
2021-09-17$52.27$45.0014.4%4.1%9.9%31.9%16.8%6.1%0.7%499.1K-12.2M-26.4K0.2360.20N/AN/A5291235,2021,901
2021-09-20$50.92$45.0019.2%5.5%13.8%52.1%26.2%9.1%-0.8%349.7K-5.7M-30.4K0.5459.23N/AN/A7303953,7751,546
2021-09-21$51.61$45.0015.8%4.5%14.0%37.8%17.7%7.7%0.3%376.7K-7.1M-32.1K0.7915.34N/AN/A1971563,9101,692
2021-09-22$51.90$45.0015.3%4.4%14.1%35.9%17.6%6.3%0.5%414.5K-6.0M-34.0K0.1242.57N/AN/A809953,6931,832
2021-09-23$52.42$45.0014.9%4.3%14.5%34.3%16.5%5.9%0.6%511.3K-6.5M-34.6K0.2436.97N/AN/A51123,6981,973
2021-09-24$51.98$45.0014.3%4.1%14.7%31.6%16.7%6.0%0.6%499.1K-7.2M-36.0K0.9514.21N/AN/A88844,0871,999
2021-09-27$51.97$45.0014.1%4.0%14.1%30.7%13.0%6.1%0.9%479.9K-7.3M-34.0K0.5365.60N/AN/A101544,0871,991
2021-09-28$50.80$45.0017.6%5.0%16.2%45.2%18.4%7.7%-0.9%293.3K-5.0M-33.6K0.5720.69N/AN/A149854,0932,075
2021-09-29$50.65$45.0017.4%5.0%16.1%44.4%17.3%6.7%-0.8%238.7K-4.3M-33.8K0.1618.86N/AN/A5794,1452,120
2021-09-30$50.51$46.0017.1%4.9%15.7%43.1%18.2%7.8%-0.0%221.2K-3.9M-32.8K0.2517.17N/AN/A48124,1032,188