VEA Options History — March 2022

In March 2022, VEA traded between $44.14 and $48.93. ATM implied volatility averaged 25.7%, placing in the 54.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 1.0% (HV 20d: 26.7%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.22.

Notable Days

  • 2022-03-01: Highest Volume — 1,453 contracts
  • 2022-03-04: Largest IV spike — 30.8% change
  • 2022-03-01: Highest IV Rank — 100.0%
  • 2022-03-07: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.94$44.14$48.93$46.69$48.15
Max Pain$48.59$40.00$50.00$50.00$48.00
ATM IV25.7%16.1%44.6%32.1%18.5%
Expected Move7.7%4.9%12.8%9.2%5.3%
HV 20d26.7%20.0%29.8%20.0%26.5%
HV 60d20.0%17.1%21.4%17.1%21.4%
IV Rank54.8%24.8%100.0%100.0%31.0%
IV Percentile91.4%71.8%100.0%100.0%81.0%
Term Structure-1.2%-5.6%10.0%-5.1%-0.1%
VWIV28.5%19.2%42.9%31.0%23.3%
Skew 25d9.3%4.6%14.2%12.4%4.6%
Skew 10d19.7%8.7%30.4%22.4%10.3%
Call IV 25d21.2%14.4%29.9%27.7%16.3%
Put IV 25d30.5%19.9%44.1%40.1%20.9%
Bid-Ask Spread %44.5114.02122.0617.8440.37
Gamma HHI0.170.100.360.140.23
Net GEX-5.4K-246.0K384.4K-110.2K332.6K
Net DEX2.1M-2.9M6.8M4.5M-2.2M
Net VEX-18.2K-21.9K-14.9K-20.1K-21.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.822.641.012.64
Total Volume1,301.7399221,4531,4531,380
Total OI4,642.872,9605,5174,9703,999

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$46.69$50.0032.1%9.2%20.0%100.0%31.0%12.4%-5.1%-110.2K4.5M-20.1K1.0117.84N/AN/A7237302,5152,455
2022-03-02$47.40$50.0028.9%8.3%20.5%87.4%27.2%10.1%-2.5%-119.2K3.8M-20.6K1.4056.71N/AN/A5297392,6522,484
2022-03-03$46.53$50.0030.0%8.6%20.8%91.7%30.9%10.8%-2.2%-138.6K4.7M-19.7K1.2557.99N/AN/A5907392,6882,513
2022-03-04$45.27$50.0039.3%11.3%22.1%100.0%37.2%12.6%-4.3%-119.3K5.8M-18.7K1.2514.02N/AN/A5787222,7902,552
2022-03-07$44.14$50.0044.6%12.8%23.1%100.0%40.7%14.2%-5.6%-111.4K6.8M-16.0K1.1415.99N/AN/A6637572,8482,579
2022-03-08$44.39$50.0035.3%12.0%23.4%75.4%37.9%13.1%-5.5%-132.2K6.7M-16.4K1.1066.98N/AN/A6787442,8822,635
2022-03-09$46.19$50.0029.6%10.2%28.2%60.5%33.0%11.9%-2.5%-169.3K5.1M-18.3K1.0869.92N/AN/A6907432,8672,626
2022-03-10$45.55$50.0028.1%9.8%27.6%56.4%33.7%12.1%-1.9%-181.9K5.4M-16.7K1.0873.35N/AN/A6847392,8622,527
2022-03-11$45.18$50.0029.2%10.2%27.5%59.3%33.8%11.6%-1.9%-183.3K5.9M-15.7K1.2369.66N/AN/A6057452,8722,533
2022-03-14$45.44$47.0030.9%7.9%27.6%63.8%31.2%9.4%-4.7%-195.8K5.5M-15.5K1.4546.33N/AN/A5718292,8912,510
2022-03-15$45.84$47.0027.7%7.4%27.9%55.4%29.7%10.9%-2.1%-230.5K4.6M-15.4K1.2725.16N/AN/A5807392,9112,386
2022-03-16$47.18$47.0023.7%6.5%29.5%44.8%25.1%5.2%-1.3%-246.0K2.6M-14.9K1.1870.82N/AN/A6387552,9412,390
2022-03-17$47.77$0.0022.2%8.2%29.8%40.8%42.9%8.2%10.0%-230.9K1.5M-16.1K1.16122.06N/AN/A6687733,0142,400
2022-03-18$48.21$40.0020.2%6.0%29.7%35.7%23.1%8.9%0.4%-163.8K281.4K-16.9K0.9133.15N/AN/A7396733,0862,386
2022-03-21$47.83$48.0020.6%5.8%29.7%36.6%23.7%8.3%-0.3%119.9K-405.1K-16.7K0.9324.84N/AN/A5805381,7311,229
2022-03-22$48.35$48.0020.0%5.6%29.8%35.1%21.2%7.4%-0.3%147.3K-1.2M-17.7K0.8526.71N/AN/A7646521,8371,207
2022-03-23$47.82$49.0019.9%5.6%29.8%34.8%24.0%7.6%-0.2%189.2K-995.1K-19.7K0.9836.35N/AN/A6666562,1891,348
2022-03-24$48.06$49.0020.1%5.6%29.5%35.3%22.8%7.8%-0.6%213.2K-1.2M-19.9K1.3429.18N/AN/A4886522,2171,365
2022-03-25$48.09$49.0018.9%5.5%28.3%32.2%22.4%7.6%0.4%242.8K-1.7M-20.1K1.3434.20N/AN/A5046742,3141,286
2022-03-28$47.94$49.0018.7%5.4%28.0%31.7%22.8%7.4%0.3%231.5K-1.5M-19.5K1.3834.47N/AN/A3965472,3231,306
2022-03-29$48.93$49.0016.8%4.9%27.4%26.5%19.7%5.5%0.3%346.6K-2.7M-20.7K0.8230.64N/AN/A6355232,3321,358
2022-03-30$48.72$49.0016.1%4.9%27.1%24.8%19.2%5.5%0.9%384.4K-2.9M-21.9K1.1627.07N/AN/A4274952,5881,362
2022-03-31$48.15$48.0018.5%5.3%26.5%31.0%23.3%4.6%-0.1%332.6K-2.2M-21.3K2.6440.37N/AN/A3791,0012,6331,366