VEA Options History — January 2022

In January 2022, VEA traded between $48.09 and $51.74. ATM implied volatility averaged 16.1%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.2% (HV 20d: 13.9%). Max pain ranged from $48.00 to $51.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2022-01-04: Highest Volume — 3,696 contracts
  • 2022-01-05: Largest IV spike — 36.1% change
  • 2022-01-26: Highest IV Rank — 100.0%
  • 2022-01-26: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.21$48.09$51.74$51.33$49.02
Max Pain$49.30$48.00$51.00$50.00$49.00
ATM IV16.1%9.3%23.0%11.5%18.1%
Expected Move4.7%2.7%6.6%3.3%5.2%
HV 20d13.9%12.2%15.7%15.7%15.0%
HV 60d13.6%13.0%14.7%13.1%14.7%
IV Rank58.8%16.2%100.0%30.2%70.0%
IV Percentile68.7%0.8%100.0%26.2%91.3%
Term Structure0.1%-2.7%1.9%1.6%0.2%
VWIV18.4%10.5%22.7%11.7%17.8%
Skew 25d6.5%3.9%12.1%4.8%6.5%
Skew 10d12.5%3.7%25.3%7.1%12.9%
Call IV 25d13.8%8.5%20.0%9.5%15.7%
Put IV 25d20.4%13.2%32.2%14.3%22.1%
Bid-Ask Spread %46.0311.2679.9712.9631.00
Gamma HHI0.200.110.320.270.14
Net GEX266.1K-177.6K830.1K430.8K-73.9K
Net DEX6.4M1.9M11.4M2.5M10.4M
Net VEX-25.0K-29.1K-21.6K-24.3K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.611.581.580.65
Total Volume2,2431,1473,6963,5791,147
Total OI6,761.155,7397,5275,7397,016

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$51.33$50.0011.5%3.3%15.7%30.2%11.7%4.8%1.6%430.8K2.5M-24.3K1.5812.96N/AN/A1,3862,1932,4873,252
2022-01-04$51.62$50.009.3%2.7%15.2%16.2%10.5%4.7%1.9%525.4K1.9M-24.7K1.3311.26N/AN/A1,5882,1082,5193,256
2022-01-05$51.21$50.0012.6%3.6%13.9%37.4%12.0%3.9%1.1%447.9K1.9M-26.8K1.2979.97N/AN/A1,4461,8652,7323,278
2022-01-06$50.86$51.0012.4%3.8%14.0%35.7%20.5%5.5%1.3%439.5K3.4M-26.4K1.1058.50N/AN/A1,2771,4032,8753,372
2022-01-07$51.03$51.0011.9%3.8%13.8%32.7%18.7%6.1%1.2%491.1K3.3M-26.7K1.2218.62N/AN/A1,4481,7642,8903,471
2022-01-10$50.55$48.0012.7%3.9%14.2%37.8%18.3%6.2%1.7%300.5K5.3M-28.0K1.2967.56N/AN/A1,2901,6593,1183,823
2022-01-11$51.14$49.0012.8%3.9%14.4%38.3%21.9%6.0%0.8%603.1K4.5M-26.5K1.3433.86N/AN/A1,1581,5493,1513,883
2022-01-12$51.74$49.0012.2%3.5%14.7%34.4%19.5%5.3%1.2%830.1K2.8M-27.2K1.3428.26N/AN/A1,1391,5243,1813,900
2022-01-13$51.40$49.0014.7%4.2%14.5%50.7%17.6%6.1%0.3%670.3K3.5M-29.1K1.4120.32N/AN/A1,1301,5933,2523,980
2022-01-14$51.26$49.0014.5%4.2%14.5%49.6%20.7%5.9%0.1%650.0K4.5M-27.7K1.1364.76N/AN/A1,1491,3013,2574,069
2022-01-18$50.44$49.0017.3%4.9%15.3%66.6%22.2%7.1%-0.3%296.8K6.7M-24.7K1.1921.04N/AN/A1,0151,2093,2594,087
2022-01-19$50.59$49.0015.2%4.4%12.5%53.7%16.2%7.0%-0.3%292.8K6.6M-24.0K0.7820.27N/AN/A1,0788373,1134,152
2022-01-20$50.25$49.0017.0%4.9%12.2%64.7%19.5%6.6%0.1%199.0K7.7M-23.7K1.0262.73N/AN/A8338463,1684,277
2022-01-21$49.55$49.0019.3%5.5%12.5%79.2%18.3%4.9%-0.6%-21.5K9.4M-23.0K0.7976.67N/AN/A8686843,1474,380
2022-01-24$48.74$49.0022.3%6.4%13.2%98.5%21.0%12.1%-2.7%-131.8K10.3M-22.8K0.6374.63N/AN/A8045092,4063,911
2022-01-25$48.75$49.0022.1%6.3%12.9%97.5%22.7%8.9%-1.3%-123.1K10.1M-23.8K0.6876.93N/AN/A7615172,4444,040
2022-01-26$48.40$49.0023.0%6.6%12.9%100.0%20.4%8.1%-1.1%-156.2K10.5M-23.1K0.6674.88N/AN/A7755092,4714,063
2022-01-27$48.24$49.0022.4%6.4%12.8%96.5%20.2%7.9%-1.5%-171.7K10.8M-22.5K0.6127.66N/AN/A7714672,5574,116
2022-01-28$48.09$49.0020.6%5.9%12.8%85.3%18.5%7.1%-0.9%-177.6K11.4M-21.6K0.7258.66N/AN/A7325282,6804,190
2022-01-31$49.02$49.0018.1%5.2%15.0%70.0%17.8%6.5%0.2%-73.9K10.4M-22.3K0.6531.00N/AN/A6964512,7514,265