VEA Options History — April 2022

In April 2022, VEA traded between $44.48 and $48.65. ATM implied volatility averaged 20.1%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.7% (HV 20d: 17.4%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2022-04-01: Highest Volume — 1,344 contracts
  • 2022-04-11: Largest IV spike — 35.0% change
  • 2022-04-26: Highest IV Rank — 47.4%
  • 2022-04-26: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.72$44.48$48.65$48.23$44.87
Max Pain$47.40$47.00$48.00$48.00$47.00
ATM IV20.1%15.7%26.0%17.0%23.4%
Expected Move5.8%4.8%7.5%5.2%6.7%
HV 20d17.4%14.6%24.2%24.2%17.0%
HV 60d21.5%21.1%22.1%21.4%21.8%
IV Rank32.1%23.6%47.4%27.1%40.1%
IV Percentile83.9%69.8%95.2%75.4%93.7%
Term Structure0.3%-1.2%2.1%1.0%-0.7%
VWIV20.0%16.5%23.3%23.3%22.6%
Skew 25d7.4%5.8%8.7%5.8%6.4%
Skew 10d13.0%3.2%20.7%14.4%5.2%
Call IV 25d17.0%13.7%21.5%13.7%21.5%
Put IV 25d24.4%19.6%28.6%19.6%27.9%
Bid-Ask Spread %57.5641.7782.2743.7282.27
Gamma HHI0.190.170.260.200.25
Net GEX37.8K-172.0K344.8K266.5K-140.2K
Net DEX237.4K-2.4M2.8M-1.7M2.2M
Net VEX-19.9K-23.5K-16.4K-23.5K-16.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.082.442.440.46
Total Volume791.25841,3441,344747
Total OI4,474.153,9144,7054,5204,518

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-04-01$48.23$48.0017.0%5.2%24.2%27.1%23.3%5.8%1.0%266.5K-1.7M-23.5K2.4443.72N/AN/A3919532,6541,866
2022-04-04$48.65$48.0015.7%4.8%21.8%23.6%18.4%7.0%0.6%344.8K-2.4M-23.4K1.1541.77N/AN/A3884462,6671,870
2022-04-05$47.98$48.0018.6%5.3%22.7%31.5%18.7%7.6%0.3%235.0K-1.5M-22.5K1.1052.77N/AN/A3814202,6951,882
2022-04-06$47.48$48.0022.7%5.9%18.9%42.1%20.7%8.6%0.4%150.0K-550.1K-22.1K1.1156.64N/AN/A3894322,6951,890
2022-04-07$47.60$48.0016.6%5.4%18.0%26.0%20.9%8.0%0.8%144.9K-701.1K-21.5K1.2062.57N/AN/A3734492,7181,890
2022-04-08$47.55$48.0016.7%5.4%17.6%23.9%21.4%7.5%2.1%133.3K-614.2K-21.1K1.1549.46N/AN/A3844422,7141,911
2022-04-11$47.04$48.0022.5%5.9%18.2%39.7%20.8%8.5%0.3%66.2K116.0K-20.3K1.0251.07N/AN/A4444512,7161,916
2022-04-12$46.66$48.0020.4%5.8%18.3%31.4%22.4%8.4%0.5%-30.1K652.3K-19.9K1.0642.65N/AN/A4314572,6901,956
2022-04-13$47.26$47.0019.3%5.5%15.8%28.5%19.0%7.1%0.3%36.3K-118.1K-19.9K1.0450.91N/AN/A4564762,6931,965
2022-04-14$47.06$47.0018.6%5.3%15.2%26.5%18.3%7.5%0.5%-33.9K5.6K-19.3K1.0256.32N/AN/A4534642,7561,949
2022-04-18$46.76$47.0018.9%5.4%14.8%27.2%16.5%7.5%0.8%-20.9K323.3K-18.9K0.2855.36N/AN/A7041982,1611,753
2022-04-19$46.91$47.0018.1%5.2%14.7%24.8%17.3%6.5%0.9%35.1K53.0K-19.5K0.3963.94N/AN/A4841902,4151,761
2022-04-20$47.39$47.0018.3%5.2%14.6%25.5%17.6%6.1%0.9%109.7K-807.8K-20.3K0.4456.40N/AN/A4501962,4681,782
2022-04-21$46.78$47.0018.9%5.4%14.8%27.2%17.8%6.7%0.4%45.1K-141.4K-20.0K0.3861.28N/AN/A5422052,4911,789
2022-04-22$46.10$47.0021.8%6.2%15.4%35.3%17.7%7.0%-0.3%-33.8K744.2K-19.2K0.4667.02N/AN/A5102332,5381,815
2022-04-25$45.70$47.0021.8%6.2%15.5%35.4%20.8%8.7%-0.8%-86.8K1.5M-18.7K0.4469.97N/AN/A4772112,5621,890
2022-04-26$44.48$47.0026.0%7.5%17.8%47.4%22.2%7.0%-1.1%-150.8K2.8M-16.6K0.4146.83N/AN/A5392232,5611,896
2022-04-27$44.66$47.0023.8%6.8%15.7%41.0%20.9%7.8%-1.2%-172.0K2.8M-16.4K0.0861.66N/AN/A7862,5401,939
2022-04-28$45.31$47.0022.4%6.4%17.1%37.0%22.2%7.5%-0.5%-141.8K2.0M-17.1K0.4578.64N/AN/A5202322,5731,938
2022-04-29$44.87$47.0023.4%6.7%17.0%40.1%22.6%6.4%-0.7%-140.2K2.2M-16.9K0.4682.27N/AN/A5102372,5941,924