VEA Options History — December 2021 In December 2021, VEA traded between $49.33 and $51.52. ATM implied volatility averaged 15.6%, placing in the 57.2% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.4% (HV 20d: 16.1%). Max pain ranged from $50.00 to $51.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.33.
Notable Days 2021-12-28 : Highest Volume — 3,755 contracts2021-12-15 : Largest IV drop — 41.7% change2021-12-02 : Highest IV Rank — 100.0%2021-12-03 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $50.68 $49.33 $51.52 $49.72 $51.21 Max Pain $50.18 $50.00 $51.00 $51.00 $50.00 ATM IV 15.6% 11.1% 22.5% 20.8% 11.1% Expected Move 4.3% 3.2% 6.5% 6.0% 3.2% HV 20d 16.1% 12.2% 19.5% 12.2% 16.3% HV 60d 13.6% 13.1% 14.3% 13.1% 13.2% IV Rank 57.2% 27.8% 100.0% 99.9% 27.8% IV Percentile 65.6% 16.7% 100.0% 99.6% 16.7% Term Structure 1.0% -3.6% 2.7% -2.9% 2.0% VWIV 15.9% 10.8% 24.4% 20.8% 11.4% Skew 25d 5.3% 3.2% 9.2% 7.9% 3.2% Skew 10d 11.0% 2.8% 16.4% 11.3% 10.5% Call IV 25d 13.1% 9.8% 19.6% 18.4% 10.3% Put IV 25d 18.4% 13.4% 26.3% 26.3% 13.4% Bid-Ask Spread % 51.47 21.33 82.56 67.72 41.23 Gamma HHI 0.17 0.10 0.26 0.10 0.24 Net GEX 78.8K -312.4K 630.4K -83.3K 395.0K Net DEX 1.6M -5.0M 7.9M -596.7K 2.8M Net VEX -21.2K -25.2K -16.5K -22.0K -25.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.33 0.44 2.36 0.51 1.65 Total Volume 2,566.727 1,062 3,755 1,122 3,514 Total OI 6,404 4,506 8,381 6,276 5,727
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-12-01 $49.72 $51.00 20.8% 6.0% 12.2% 99.9% 20.8% 7.9% -2.9% -83.3K -596.7K -22.0K 0.51 67.72 N/A N/A 745 377 3,631 2,645 2021-12-02 $50.19 $51.00 21.2% 6.1% 12.5% 100.0% 22.2% 9.2% -3.1% -96.1K -783.7K -19.7K 0.50 74.92 N/A N/A 737 365 3,676 2,701 2021-12-03 $49.67 $51.00 22.5% 6.5% 12.8% 100.0% 24.4% 6.0% -3.6% -87.5K -397.1K -22.0K 0.55 65.90 N/A N/A 687 375 3,687 2,704 2021-12-06 $50.35 $50.00 20.4% 5.2% 14.0% 86.8% 20.3% 8.1% 1.2% 20.9K -1.5M -20.8K 0.51 65.95 N/A N/A 768 395 3,689 2,723 2021-12-07 $51.33 $50.00 17.2% 4.5% 15.9% 66.3% 20.3% 6.8% 2.4% 369.2K -3.6M -18.6K 0.44 55.33 N/A N/A 939 416 3,778 2,774 2021-12-08 $51.52 $50.00 14.2% 3.9% 16.1% 47.2% 18.4% 5.7% 2.0% 630.4K -5.0M -23.3K 0.45 25.60 N/A N/A 933 424 4,036 2,778 2021-12-09 $51.11 $50.00 16.5% 4.4% 15.5% 61.9% 18.7% 3.5% 1.3% 230.5K -3.5M -20.7K 0.58 69.88 N/A N/A 957 551 4,043 2,796 2021-12-10 $51.16 $50.00 14.4% 3.9% 15.4% 48.9% 17.4% 5.4% 2.2% 288.3K -3.5M -21.7K 0.66 73.56 N/A N/A 935 617 4,061 2,955 2021-12-13 $50.67 $50.00 16.6% 3.6% 15.4% 62.2% 15.6% 4.4% 1.7% -164.3K -1.7M -20.1K 2.36 82.56 N/A N/A 842 1,984 4,066 3,084 2021-12-14 $50.32 $50.00 21.3% 4.3% 15.5% 92.4% 15.5% 4.5% 1.5% -312.4K 4.8M -18.5K 2.35 21.33 N/A N/A 857 2,014 4,041 4,305 2021-12-15 $50.87 $50.00 12.4% 3.6% 16.2% 36.2% 12.4% 4.2% 2.7% -230.8K 2.7M -17.2K 2.29 58.45 N/A N/A 832 1,908 4,070 4,173 2021-12-16 $50.99 $50.00 13.6% 3.9% 16.2% 43.3% 13.1% 3.5% 1.8% -297.7K 2.5M -16.5K 1.66 28.30 N/A N/A 1,134 1,885 4,085 4,211 2021-12-17 $50.50 $50.00 14.3% 4.1% 16.5% 48.2% 13.3% 3.9% 1.6% -117.3K 3.8M -17.3K 1.90 65.64 N/A N/A 1,178 2,237 4,149 4,232 2021-12-20 $49.33 $51.00 18.6% 5.3% 18.1% 74.9% 16.9% 7.1% 0.3% -122.3K 7.9M -20.1K 1.33 26.85 N/A N/A 1,429 1,906 1,513 2,993 2021-12-21 $49.91 $50.00 15.2% 4.4% 18.8% 53.8% 15.3% 6.3% 1.7% -30.2K 5.9M -23.6K 1.76 43.70 N/A N/A 1,168 2,058 1,895 3,004 2021-12-22 $50.48 $50.00 14.6% 4.2% 19.3% 50.2% 14.1% 5.6% 1.5% 39.0K 5.5M -21.5K 1.79 63.35 N/A N/A 1,214 2,175 1,958 3,213 2021-12-23 $50.84 $50.00 11.7% 3.3% 19.5% 31.4% 13.0% 5.5% 1.5% 112.6K 5.2M -21.2K 1.69 29.45 N/A N/A 1,287 2,176 2,017 3,338 2021-12-27 $51.16 $50.00 11.9% 3.4% 17.1% 32.7% 10.8% 4.3% 1.4% 186.1K 4.1M -23.3K 1.49 24.71 N/A N/A 1,447 2,160 2,114 3,367 2021-12-28 $51.30 $50.00 12.0% 3.4% 17.0% 33.3% 14.2% 4.7% 1.6% 333.5K 3.5M -24.3K 1.60 24.21 N/A N/A 1,446 2,309 2,258 3,239 2021-12-29 $51.24 $50.00 11.8% 3.4% 16.5% 32.2% 11.2% 3.8% 1.3% 335.1K 3.5M -24.7K 1.60 57.03 N/A N/A 1,360 2,174 2,333 3,257 2021-12-30 $51.11 $50.00 11.4% 3.3% 16.6% 29.7% 11.3% 3.6% 1.7% 334.9K 2.9M -24.5K 1.69 66.72 N/A N/A 1,321 2,232 2,394 3,175 2021-12-31 $51.21 $50.00 11.1% 3.2% 16.3% 27.8% 11.4% 3.2% 2.0% 395.0K 2.8M -25.2K 1.65 41.23 N/A N/A 1,326 2,188 2,476 3,251
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