VEA Options History — June 2022

In June 2022, VEA traded between $40.37 and $45.95. ATM implied volatility averaged 21.2%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 2.3% (HV 20d: 23.4%). Max pain ranged from $41.00 to $48.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2022-06-16: Highest Volume — 1,243 contracts
  • 2022-06-13: Largest IV spike — 16.5% change
  • 2022-06-16: Highest IV Rank — 42.6%
  • 2022-06-16: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.60$40.37$45.95$45.28$40.73
Max Pain$45.05$41.00$48.00$45.00$41.00
ATM IV21.2%18.0%24.3%20.5%22.4%
Expected Move6.0%4.8%7.0%5.9%6.4%
HV 20d23.4%19.0%25.7%25.7%24.0%
HV 60d21.9%20.7%22.6%22.1%22.4%
IV Rank33.6%24.6%42.6%31.8%37.2%
IV Percentile78.6%63.5%91.7%78.2%83.7%
Term Structure0.3%-1.9%1.7%-1.9%-0.1%
VWIV21.2%17.8%25.0%24.0%20.5%
Skew 25d6.6%5.1%7.6%6.1%6.4%
Skew 10d13.1%7.5%19.5%10.2%11.2%
Call IV 25d18.4%15.1%22.3%17.2%20.2%
Put IV 25d25.0%21.5%29.7%23.3%26.6%
Bid-Ask Spread %61.8842.8974.7974.7942.89
Gamma HHI0.190.100.440.170.17
Net GEX87.1K-102.7K268.2K196.4K91.2K
Net DEX890.8K-551.4K3.3M-429.6K-41.7K
Net VEX-11.9K-14.7K-8.1K-13.3K-12.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.600.980.710.61
Total Volume1,0197721,2439541,045
Total OI3,818.5712,3354,7854,2142,745

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$45.28$45.0020.5%5.9%25.7%31.8%24.0%6.1%-1.9%196.4K-429.6K-13.3K0.7174.79N/AN/A5583962,8181,396
2022-06-02$45.95$48.0018.1%4.9%25.4%25.0%19.6%6.3%1.6%230.4K-389.5K-14.5K0.6961.65N/AN/A5914082,8791,618
2022-06-03$45.30$47.0020.1%5.3%22.7%30.5%19.8%6.9%1.3%217.6K242.8K-13.7K0.6564.66N/AN/A6304092,9111,618
2022-06-06$45.52$47.0018.7%4.9%22.5%26.7%18.7%6.6%1.5%236.3K54.5K-14.3K0.6463.20N/AN/A6864402,9521,617
2022-06-07$45.64$47.0018.3%4.8%19.0%25.6%17.8%6.6%1.7%268.2K-148.6K-14.7K0.6766.07N/AN/A6364233,0531,612
2022-06-08$45.05$47.0018.0%5.1%19.9%24.6%18.2%6.3%1.6%231.4K549.6K-13.8K0.6065.36N/AN/A6944193,0421,625
2022-06-09$44.21$47.0019.5%5.6%21.3%29.0%19.1%5.8%1.3%152.4K1.3M-12.6K0.6266.17N/AN/A6744172,9911,565
2022-06-10$43.14$47.0020.8%6.0%23.1%32.5%21.4%7.4%0.3%38.4K2.2M-10.4K0.6459.57N/AN/A7064492,9751,528
2022-06-13$41.57$47.0024.2%6.9%24.4%42.2%25.0%7.4%-1.2%-30.0K3.0M-9.0K0.6863.95N/AN/A6644502,9371,508
2022-06-14$41.17$47.0023.8%6.8%24.5%41.1%23.5%7.6%-0.9%-44.5K3.3M-8.1K0.8361.26N/AN/A6044992,9381,510
2022-06-15$41.95$47.0021.8%6.3%24.5%35.5%21.8%6.8%-0.1%-58.7K2.2M-11.2K0.6472.12N/AN/A7324663,1161,543
2022-06-16$40.99$47.0024.3%7.0%24.5%42.6%24.4%7.6%-0.3%-22.4K2.8M-10.1K0.7467.45N/AN/A7155283,1781,551
2022-06-17$40.83$47.0021.9%6.3%23.8%35.8%22.1%6.4%0.4%-102.7K2.8M-10.4K0.7469.69N/AN/A6815073,1781,607
2022-06-21$40.92$47.0022.0%6.3%23.8%36.0%21.8%7.2%-0.4%-11.2K2.2M-9.9K0.7160.11N/AN/A5243721,4711,103
2022-06-22$40.61$42.0020.8%6.0%22.5%32.6%20.7%6.5%0.9%15.0K414.9K-10.4K0.6261.67N/AN/A6273911,606729
2022-06-23$40.37$42.0022.8%6.5%22.4%38.4%21.0%7.2%-0.3%36.6K444.3K-10.9K0.7147.45N/AN/A5463871,750761
2022-06-24$41.46$41.0021.7%6.2%25.1%35.1%22.0%6.8%0.6%87.8K-415.6K-12.7K0.9859.83N/AN/A3983901,867777
2022-06-27$41.56$41.0020.0%5.7%24.6%30.5%21.7%5.1%0.3%99.0K-551.4K-12.7K0.9153.09N/AN/A4113761,907777
2022-06-28$41.34$41.0022.5%6.4%24.0%37.3%21.6%5.2%0.2%101.5K-496.4K-12.7K0.9556.39N/AN/A3993791,931779
2022-06-29$41.06$41.0021.8%6.2%24.0%35.4%20.7%5.5%0.5%97.1K-268.2K-12.2K0.9462.04N/AN/A3973751,939782
2022-06-30$40.73$41.0022.4%6.4%24.0%37.2%20.5%6.4%-0.1%91.2K-41.7K-12.0K0.6142.89N/AN/A6513941,961784