VEA Options History — November 2021

In November 2021, VEA traded between $49.76 and $52.95. ATM implied volatility averaged 12.7%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.3% (HV 20d: 9.4%). Max pain ranged from $50.00 to $51.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2021-11-22: Highest Volume — 1,570 contracts
  • 2021-11-26: Largest IV spike — 29.4% change
  • 2021-11-26: Highest IV Rank — 87.2%
  • 2021-11-26: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.05$49.76$52.95$52.56$49.76
Max Pain$50.29$50.00$51.00$50.00$51.00
ATM IV12.7%10.0%19.0%10.2%19.0%
Expected Move3.7%2.9%5.4%2.9%5.4%
HV 20d9.4%8.4%12.4%9.9%12.2%
HV 60d12.5%12.0%13.1%12.5%13.1%
IV Rank40.9%14.5%87.2%14.5%87.0%
IV Percentile36.4%2.4%96.8%3.2%96.0%
Term Structure1.4%-2.1%3.8%2.0%-1.4%
VWIV14.7%10.7%20.9%13.3%20.9%
Skew 25d5.4%3.5%9.2%5.5%9.2%
Skew 10d10.0%2.3%14.5%12.7%14.5%
Call IV 25d11.2%6.8%16.4%8.8%15.8%
Put IV 25d16.6%12.7%25.1%14.3%25.1%
Bid-Ask Spread %58.0716.8082.3579.3075.99
Gamma HHI0.320.100.450.360.10
Net GEX805.8K-136.7K1.3M885.9K-136.7K
Net DEX-7.2M-10.1M-591.7K-8.7M-591.7K
Net VEX-24.9K-28.3K-20.7K-28.3K-20.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.310.940.520.44
Total Volume1,317.191,0821,5701,2721,082
Total OI6,5715,9306,9306,4266,238

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$52.56$50.0010.2%2.9%9.9%14.5%13.3%5.5%2.0%885.9K-8.7M-28.3K0.5279.30N/AN/A8354373,8972,529
2021-11-02$52.52$50.0010.0%2.9%9.8%16.3%10.7%5.1%1.8%896.6K-8.7M-27.7K0.5170.03N/AN/A9014563,8992,536
2021-11-03$52.88$50.0010.4%3.0%8.9%18.8%11.8%5.9%1.4%1.0M-9.8M-28.1K0.5882.35N/AN/A7804493,9692,554
2021-11-04$52.76$51.0010.0%3.4%8.7%19.6%17.5%5.2%2.3%974.9K-9.3M-27.7K0.5819.39N/AN/A9715633,9682,566
2021-11-05$52.88$50.0010.1%3.3%8.6%20.7%16.7%5.9%2.6%1.1M-9.9M-27.6K0.6171.92N/AN/A8495183,9872,571
2021-11-08$52.95$50.0010.2%3.4%8.5%21.0%15.9%4.7%2.4%1.1M-10.1M-27.9K0.7067.88N/AN/A7144984,0342,598
2021-11-09$52.84$50.0010.9%3.4%8.5%29.6%12.7%4.6%2.7%1.1M-10.0M-25.7K0.6222.64N/AN/A7754814,0432,632
2021-11-10$52.09$50.0013.3%3.8%9.8%47.1%16.3%5.0%2.3%889.8K-7.6M-27.0K0.6433.50N/AN/A7264664,1212,639
2021-11-11$52.35$50.0013.2%3.8%9.2%46.1%14.3%4.6%2.2%996.9K-8.0M-26.6K0.7130.52N/AN/A7235144,1152,648
2021-11-12$52.67$50.0011.3%3.2%9.0%32.6%12.3%4.5%3.8%1.3M-9.4M-25.5K0.6839.52N/AN/A7174914,1322,702
2021-11-15$52.62$50.0011.6%3.3%8.9%34.7%13.4%3.8%2.9%1.3M-9.1M-24.1K0.6476.17N/AN/A8025124,1432,703
2021-11-16$52.51$50.0011.2%3.2%8.7%32.0%12.2%3.5%3.0%1.2M-8.7M-23.0K0.6377.31N/AN/A8225154,1332,702
2021-11-17$52.35$50.0012.6%3.6%8.6%41.5%12.8%3.8%2.7%1.0M-8.1M-22.1K0.6976.06N/AN/A7625244,1512,702
2021-11-18$52.36$50.0012.5%3.6%8.4%41.2%12.8%4.9%0.9%899.7K-7.7M-21.9K0.6576.17N/AN/A8355394,1572,710
2021-11-19$51.96$50.0013.0%3.7%8.7%44.9%14.3%4.2%0.5%789.8K-6.5M-23.8K0.8377.01N/AN/A8166784,1682,762
2021-11-22$51.82$50.0012.4%3.6%8.7%40.3%13.9%4.4%1.2%587.7K-6.1M-22.4K0.9470.31N/AN/A8107603,5772,353
2021-11-23$51.60$51.0013.0%3.7%8.7%45.0%13.6%5.9%0.7%479.6K-5.1M-22.9K0.8216.80N/AN/A7926463,7052,481
2021-11-24$51.32$51.0014.7%4.2%8.8%56.6%18.3%6.1%0.2%375.0K-3.7M-23.9K0.7822.97N/AN/A7085503,8002,604
2021-11-26$50.00$51.0019.0%5.4%12.2%87.2%19.9%7.8%-2.1%64.9K-1.2M-23.7K0.5869.91N/AN/A7564413,8212,622
2021-11-29$50.27$51.0018.4%5.3%12.4%82.7%15.6%7.9%-2.0%79.2K-2.0M-21.6K0.3163.75N/AN/A1,1043433,7652,554
2021-11-30$49.76$51.0019.0%5.4%12.2%87.0%20.9%9.2%-1.4%-136.7K-591.7K-20.7K0.4475.99N/AN/A7493333,6412,597