VEA Options History — February 2022

In February 2022, VEA traded between $47.26 and $50.36. ATM implied volatility averaged 19.2%, placing in the 74.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.2% (HV 20d: 17.0%). Max pain ranged from $49.00 to $60.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.92.

Notable Days

  • 2022-02-18: Highest Volume — 2,188 contracts
  • 2022-02-03: Largest IV spike — 27.0% change
  • 2022-02-23: Highest IV Rank — 100.0%
  • 2022-02-28: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.09$47.26$50.36$49.54$47.79
Max Pain$56.68$49.00$60.00$49.00$50.00
ATM IV19.2%13.7%27.0%15.0%27.0%
Expected Move5.5%4.2%7.7%4.3%7.7%
HV 20d17.0%15.6%19.8%15.6%19.8%
HV 60d15.7%14.9%16.6%14.9%16.6%
IV Rank74.2%43.1%100.0%50.9%100.0%
IV Percentile89.4%62.3%100.0%77.0%100.0%
Term Structure-0.7%-4.1%1.6%0.3%-4.0%
VWIV20.4%14.5%29.0%15.5%29.0%
Skew 25d7.9%5.1%11.2%6.5%11.2%
Skew 10d15.6%9.6%21.0%14.5%21.0%
Call IV 25d16.1%12.1%23.7%13.3%23.7%
Put IV 25d24.0%17.8%34.9%19.7%34.9%
Bid-Ask Spread %38.5813.7873.1064.5026.37
Gamma HHI0.140.120.180.130.14
Net GEX-4.9K-187.4K225.0K12.6K-133.0K
Net DEX10.1M3.1M14.2M9.5M3.7M
Net VEX-21.3K-23.1K-18.0K-22.9K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.441.540.601.43
Total Volume1,461.7371,0782,1881,2351,455
Total OI7,049.2114,7718,1637,0455,031

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$49.54$49.0015.0%4.3%15.6%50.9%15.5%6.5%0.3%12.6K9.5M-22.9K0.6064.50N/AN/A7734622,7664,279
2022-02-02$50.00$49.0014.6%4.2%15.9%48.7%14.5%5.1%0.8%99.2K8.9M-21.5K0.4613.78N/AN/A7723532,7864,298
2022-02-03$49.25$59.0018.6%5.3%16.5%73.0%19.7%7.5%0.2%15.2K9.9M-23.0K0.6165.38N/AN/A7664702,8644,350
2022-02-04$49.40$59.0017.6%5.0%16.4%66.7%19.2%7.2%0.8%30.3K9.9M-22.7K0.7165.90N/AN/A6784832,8444,354
2022-02-07$49.41$59.0017.7%5.0%16.4%67.5%18.9%7.2%0.4%40.9K9.9M-21.7K0.5132.27N/AN/A7153632,8754,401
2022-02-08$49.64$59.0013.7%4.3%16.2%43.1%19.7%7.2%1.6%66.6K9.9M-20.9K0.4421.20N/AN/A7913512,8904,460
2022-02-09$50.36$60.0015.3%4.4%16.5%53.0%17.7%6.6%1.1%225.0K8.6M-20.6K0.4729.67N/AN/A7733622,8434,480
2022-02-10$49.80$59.0016.5%4.7%16.2%60.2%19.6%7.1%0.7%139.4K9.6M-21.7K0.7123.04N/AN/A8075722,8904,498
2022-02-11$49.14$59.0020.0%5.7%16.7%81.3%21.0%7.5%-1.8%-14.0K11.6M-23.1K0.7139.38N/AN/A8395962,9184,725
2022-02-14$48.83$59.0020.3%5.8%16.7%83.3%21.8%8.7%-1.3%-95.2K12.4M-21.8K1.1830.65N/AN/A8601,0132,9264,764
2022-02-15$49.58$59.0017.4%5.0%17.0%65.7%21.5%8.3%-0.2%46.6K13.1M-22.4K1.1523.61N/AN/A8639952,9605,201
2022-02-16$49.93$59.0017.0%4.9%17.2%63.3%20.0%7.5%0.2%163.2K12.4M-22.0K1.1052.07N/AN/A9161,0112,9575,206
2022-02-17$49.25$59.0020.1%5.8%17.7%82.0%22.1%8.8%-1.4%-4.0K13.8M-21.3K1.3521.56N/AN/A8491,1462,9625,193
2022-02-18$48.93$59.0019.8%5.7%17.2%80.3%20.1%8.9%-1.4%1314.2M-21.7K1.5417.45N/AN/A8621,3262,9555,129
2022-02-22$48.41$59.0022.8%6.5%16.6%98.8%19.8%9.2%-1.2%-168.1K13.3M-20.1K1.0348.89N/AN/A6776942,2074,473
2022-02-23$47.90$59.0023.1%6.6%17.0%100.0%21.4%7.9%-2.1%-173.3K13.6M-19.9K1.0818.02N/AN/A6386872,2804,491
2022-02-24$47.26$51.0024.6%7.0%17.4%100.0%24.1%8.7%-4.1%-187.4K4.4M-18.0K1.2873.10N/AN/A6197932,3652,406
2022-02-25$48.36$51.0023.1%6.6%19.4%92.0%22.0%9.3%-1.9%-157.9K3.1M-19.6K1.0666.14N/AN/A6997442,3862,522
2022-02-28$47.79$50.0027.0%7.7%19.8%100.0%29.0%11.2%-4.0%-133.0K3.7M-20.1K1.4326.37N/AN/A5998562,4892,542