VEA Options History — October 2021

In October 2021, VEA traded between $50.05 and $52.43. ATM implied volatility averaged 13.9%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.5% (HV 20d: 14.4%). Max pain ranged from $46.00 to $53.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2021-10-20: Highest Volume — 1,523 contracts
  • 2021-10-04: Largest IV spike — 29.8% change
  • 2021-10-04: Highest IV Rank — 58.6%
  • 2021-10-04: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.36$50.05$52.43$50.66$52.13
Max Pain$49.67$46.00$53.00$46.00$50.00
ATM IV13.9%11.0%20.8%16.0%11.0%
Expected Move3.9%3.1%5.2%4.6%3.1%
HV 20d14.4%10.0%17.5%15.6%10.5%
HV 60d12.8%12.4%13.7%13.7%12.4%
IV Rank29.9%17.7%58.6%38.8%17.7%
IV Percentile44.2%11.1%95.6%69.4%11.1%
Term Structure1.0%-0.1%1.7%0.3%1.7%
VWIV13.9%10.8%19.7%16.5%11.1%
Skew 25d5.5%3.2%7.7%7.7%3.8%
Skew 10d13.5%9.9%20.6%18.5%9.9%
Call IV 25d11.3%8.7%15.7%15.0%9.5%
Put IV 25d16.9%13.2%23.4%22.7%13.3%
Bid-Ask Spread %27.1410.7076.6623.6014.68
Gamma HHI0.210.130.330.160.31
Net GEX448.6K99.7K883.7K217.4K739.2K
Net DEX-5.8M-8.4M-2.6M-4.0M-7.3M
Net VEX-31.2K-32.8K-28.4K-32.7K-30.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.102.460.800.51
Total Volume649.905531,5232381,287
Total OI6,363.5245,7006,9736,2966,420

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$50.66$46.0016.0%4.6%15.6%38.8%16.5%7.7%0.3%217.4K-4.0M-32.7K0.8023.60N/AN/A1321064,1032,193
2021-10-04$50.17$53.0020.8%5.2%15.5%58.6%15.0%7.7%-0.1%150.7K-2.9M-31.1K0.8418.94N/AN/A50424,1102,187
2021-10-05$50.52$52.0015.0%4.4%15.9%34.4%15.3%6.7%0.3%130.0K-3.7M-31.3K0.2617.49N/AN/A42114,0702,264
2021-10-06$50.05$52.0017.5%4.7%16.0%44.8%15.3%6.9%0.6%99.7K-2.6M-30.6K1.3617.42N/AN/A861174,0292,278
2021-10-07$50.55$52.0014.2%4.3%16.6%31.0%13.0%6.7%0.6%179.3K-3.7M-31.7K1.0523.93N/AN/A961014,0402,280
2021-10-08$50.49$52.0016.4%4.4%16.6%40.4%13.7%6.1%0.5%132.1K-3.4M-31.4K0.1019.15N/AN/A6064,0732,388
2021-10-11$50.42$52.0019.1%4.5%16.3%51.3%19.7%6.5%0.8%101.9K-4.0M-30.2K0.7857.67N/AN/A3332594,1282,330
2021-10-12$50.34$52.0018.7%4.5%16.3%50.0%18.4%6.2%0.5%116.6K-3.7M-30.3K0.6415.49N/AN/A144924,1632,333
2021-10-13$50.89$48.0013.9%4.0%16.8%29.8%19.6%6.6%1.0%170.1K-5.5M-31.1K2.2521.17N/AN/A591334,3492,505
2021-10-14$51.47$48.0013.7%3.9%17.5%29.0%13.4%5.7%0.7%420.6K-7.4M-30.9K0.7055.91N/AN/A1611134,3982,534
2021-10-15$51.88$48.0011.4%3.3%17.3%19.7%11.6%4.8%1.4%883.7K-8.2M-30.4K0.2447.03N/AN/A210504,4242,549
2021-10-18$51.68$48.0011.8%3.4%14.5%21.3%13.8%4.9%1.2%493.9K-6.2M-30.8K2.4621.15N/AN/A1212983,5402,160
2021-10-19$52.01$48.0011.7%3.4%13.8%21.0%12.7%5.2%0.8%608.4K-7.2M-28.4K1.3220.30N/AN/A28373,6092,159
2021-10-20$52.23$48.0011.4%3.3%13.8%19.6%10.8%4.6%1.5%601.9K-7.3M-32.1K0.4519.03N/AN/A1,0504733,6892,390
2021-10-21$51.93$48.0011.3%3.2%13.4%19.1%12.3%4.6%1.6%626.3K-7.1M-32.8K0.4631.73N/AN/A9354323,8462,377
2021-10-22$52.17$48.0011.2%3.2%13.2%18.7%11.6%4.7%1.5%713.7K-7.6M-32.1K0.5276.66N/AN/A9174793,8392,409
2021-10-25$52.18$49.0011.8%3.4%13.2%21.4%12.2%5.1%1.1%704.1K-7.5M-32.2K0.5210.70N/AN/A8464433,8562,464
2021-10-26$52.33$49.0011.9%3.4%10.0%21.7%12.9%4.4%1.3%763.9K-7.7M-32.2K0.5420.57N/AN/A8454533,8692,472
2021-10-27$52.11$50.0011.5%3.3%10.1%19.7%12.5%3.2%1.7%743.6K-7.3M-31.7K0.5321.11N/AN/A8504533,8752,519
2021-10-28$52.43$50.0011.6%3.3%10.1%20.5%11.3%4.6%1.6%823.7K-8.4M-30.2K0.5216.17N/AN/A8554433,8842,529
2021-10-29$52.13$50.0011.0%3.1%10.5%17.7%11.1%3.8%1.7%739.2K-7.3M-30.6K0.5114.68N/AN/A8534343,8942,526