VEA Options History — July 2022

In July 2022, VEA traded between $39.38 and $42.90. ATM implied volatility averaged 22.8%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.5% (HV 20d: 21.3%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2022-07-26: Highest Volume — 1,403 contracts
  • 2022-07-11: Largest IV spike — 32.4% change
  • 2022-07-12: Highest IV Rank — 59.1%
  • 2022-07-14: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.87$39.38$42.90$40.85$42.90
Max Pain$40.60$40.00$42.00$41.00$41.00
ATM IV22.8%16.7%30.2%20.6%16.7%
Expected Move6.3%4.8%7.1%5.9%4.8%
HV 20d21.3%18.2%24.5%23.0%20.2%
HV 60d23.2%22.4%23.9%22.4%23.6%
IV Rank38.2%21.0%59.1%32.1%21.0%
IV Percentile79.5%44.0%98.0%73.8%44.0%
Term Structure-0.2%-2.3%1.1%0.9%1.1%
VWIV21.4%18.1%25.5%19.1%18.1%
Skew 25d6.5%5.1%7.8%6.2%5.1%
Skew 10d12.1%3.8%18.5%5.7%4.9%
Call IV 25d19.3%14.4%20.9%19.0%14.4%
Put IV 25d25.7%19.5%28.3%25.1%19.5%
Bid-Ask Spread %51.5923.6669.9661.6823.66
Gamma HHI0.250.150.340.340.26
Net GEX174.8K21.0K378.2K185.9K378.2K
Net DEX-384.9K-3.4M1.8M-195.0K-3.4M
Net VEX-13.2K-19.1K-9.2K-12.8K-19.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.341.560.641.10
Total Volume964.15251,4031,0481,054
Total OI3,288.52,5403,9903,0493,990

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$40.85$41.0020.6%5.9%23.0%32.1%19.1%6.2%0.9%185.9K-195.0K-12.8K0.6461.68N/AN/A6384102,228821
2022-07-05$39.94$41.0025.5%6.8%23.6%46.0%25.5%7.8%-0.5%105.0K553.4K-10.7K0.6541.61N/AN/A6254042,224833
2022-07-06$40.04$41.0025.3%6.8%23.5%45.4%24.8%7.3%-0.4%107.2K382.9K-11.1K0.6755.02N/AN/A6174122,231857
2022-07-07$40.65$40.0022.6%6.2%24.5%37.7%22.5%7.1%-0.4%163.0K-62.5K-11.9K1.5655.23N/AN/A3835992,242887
2022-07-08$40.77$40.0020.5%6.1%24.5%31.8%20.9%7.2%-0.1%123.0K517.9K-11.9K1.3462.20N/AN/A4325812,2571,060
2022-07-11$40.06$40.0027.2%6.8%24.4%50.6%22.3%7.0%-0.4%77.0K1.1M-10.6K1.3069.96N/AN/A4325612,2531,067
2022-07-12$39.99$40.0030.2%6.9%23.3%59.1%22.6%6.3%-0.7%70.0K1.2M-10.2K1.4367.36N/AN/A4005722,2421,067
2022-07-13$40.01$40.0023.3%6.7%19.8%39.7%21.4%7.3%0.5%72.1K1.3M-10.1K1.4255.07N/AN/A4065782,2721,068
2022-07-14$39.38$40.0024.9%7.1%20.2%44.2%22.1%7.2%-2.3%21.0K1.8M-9.2K1.3760.69N/AN/A4245792,3041,084
2022-07-15$39.92$40.0022.2%6.4%19.6%36.7%19.6%6.8%-0.2%146.6K670.6K-10.0K0.9749.63N/AN/A5725572,339916
2022-07-18$40.19$40.0023.8%6.8%18.2%41.0%20.6%6.6%-0.8%76.9K108.0K-10.7K0.3460.19N/AN/A6092091,759781
2022-07-19$41.29$40.0023.3%6.7%20.7%39.7%22.2%7.0%-1.0%180.4K-990.8K-13.2K0.4151.11N/AN/A5172142,100799
2022-07-20$41.10$40.0023.1%6.6%20.8%39.0%21.3%7.0%-0.6%211.1K-1.1M-14.2K0.7244.01N/AN/A4453192,301805
2022-07-21$41.47$42.0022.2%6.4%20.8%36.6%21.8%6.2%-0.1%204.1K-1.1M-15.1K0.7335.52N/AN/A3042212,325924
2022-07-22$41.34$42.0021.6%6.2%20.7%35.0%20.2%5.3%-0.1%206.8K-1.0M-14.8K0.9436.27N/AN/A3693482,343925
2022-07-25$41.67$41.0020.1%5.8%18.6%30.6%20.3%5.6%0.3%274.5K-1.6M-15.0K1.1340.91N/AN/A3253662,443857
2022-07-26$41.25$41.0022.3%6.4%18.9%36.9%21.7%5.1%-0.5%253.5K-1.1M-14.5K0.8837.79N/AN/A7486552,503895
2022-07-27$42.15$41.0020.6%5.9%20.3%32.1%21.2%5.6%-0.1%298.2K-2.2M-19.1K1.1954.38N/AN/A5306332,6861,165
2022-07-28$42.40$41.0019.4%5.6%20.2%28.6%19.9%5.3%1.0%340.7K-2.7M-18.9K1.2869.42N/AN/A5426922,7541,163
2022-07-29$42.90$41.0016.7%4.8%20.2%21.0%18.1%5.1%1.1%378.2K-3.4M-19.0K1.1023.66N/AN/A5035512,7621,228