VEA Options History — August 2022

In August 2022, VEA traded between $40.56 and $43.69. ATM implied volatility averaged 18.5%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.4% (HV 20d: 17.1%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 15.62.

Notable Days

  • 2022-08-31: Highest Volume — 1,443 contracts
  • 2022-08-03: Largest IV drop — 13.2% change
  • 2022-08-29: Highest IV Rank — 35.6%
  • 2022-08-29: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.38$40.56$43.69$42.95$40.56
Max Pain$42.48$41.00$43.00$41.00$42.00
ATM IV18.5%15.3%21.9%18.0%20.3%
Expected Move5.4%4.5%6.3%5.2%5.8%
HV 20d17.1%15.1%20.2%20.2%16.8%
HV 60d21.0%20.0%23.3%23.3%20.5%
IV Rank26.1%17.1%35.6%24.7%31.2%
IV Percentile53.3%36.9%75.0%50.0%63.9%
Term Structure1.0%-0.7%2.6%1.3%0.3%
VWIV18.5%15.6%22.7%19.2%21.3%
Skew 25d5.4%3.9%7.3%4.5%7.0%
Skew 10d11.3%6.5%16.8%7.9%12.1%
Call IV 25d16.5%14.3%19.9%16.3%19.9%
Put IV 25d21.9%19.5%27.0%20.7%26.9%
Bid-Ask Spread %69.3922.4980.4125.7780.41
Gamma HHI0.260.150.560.260.16
Net GEX426.3K7.5K1.0M382.2K7.5K
Net DEX-2.9M-6.3M1.7M-3.6M1.7M
Net VEX-20.4K-22.0K-18.6K-18.8K-21.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.620.04302.001.061.16
Total Volume427.435401,4438391,443
Total OI4,595.4353,8815,2693,9885,269

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$42.95$41.0018.0%5.2%20.2%24.7%19.2%4.5%1.3%382.2K-3.6M-18.8K1.0625.77N/AN/A4084312,7791,209
2022-08-02$42.43$41.0019.6%5.6%18.7%29.2%17.9%3.9%0.5%411.5K-3.0M-20.3K0.9573.14N/AN/A4344143,0131,213
2022-08-03$42.63$41.0017.0%4.9%18.8%21.8%17.1%4.0%1.1%421.8K-3.0M-20.6K0.8322.49N/AN/A5064193,0301,290
2022-08-04$42.76$43.0016.4%5.2%18.2%20.1%18.2%5.6%1.5%468.7K-3.8M-21.3K0.6248.91N/AN/A5103173,1851,293
2022-08-05$42.51$43.0015.3%4.9%18.5%17.1%18.1%6.0%2.6%478.8K-3.2M-20.8K0.7076.74N/AN/A4543163,2081,295
2022-08-08$42.64$43.0017.1%5.1%16.9%22.0%18.1%6.4%2.5%523.2K-3.6M-20.4K0.6276.37N/AN/A5153183,2051,298
2022-08-09$42.36$43.0019.1%5.5%17.2%27.9%22.7%5.7%1.6%520.6K-3.1M-20.7K41.0078.33N/AN/A2823,3271,301
2022-08-10$43.38$43.0017.6%5.1%18.7%23.6%19.4%5.5%2.1%608.1K-5.5M-20.6K1.1477.37N/AN/A1962243,3291,285
2022-08-11$43.33$43.0017.6%5.1%17.3%23.7%16.3%5.5%2.2%612.5K-5.6M-21.2K0.3669.99N/AN/A55203,3901,296
2022-08-12$43.69$43.0015.8%4.5%17.0%18.4%16.6%5.5%2.3%620.9K-6.3M-20.5K0.8878.19N/AN/A84743,3961,300
2022-08-15$43.44$43.0017.8%5.1%17.4%24.2%16.3%4.8%2.1%691.1K-5.8M-20.1K0.0476.78N/AN/A252113,4351,328
2022-08-16$43.47$43.0017.6%5.1%15.1%23.7%15.9%4.9%1.5%718.4K-6.1M-20.4K0.3073.02N/AN/A63193,5511,338
2022-08-17$43.22$43.0017.7%5.1%15.2%23.8%19.9%5.3%1.5%984.4K-5.3M-20.1K0.3678.68N/AN/A66243,5661,356
2022-08-18$42.97$43.0016.7%4.8%15.3%21.1%15.6%4.9%0.4%1.0M-4.7M-20.0K0.5678.14N/AN/A75423,5861,363
2022-08-19$42.28$43.0018.7%5.4%16.5%26.8%17.4%4.3%0.5%365.8K-2.7M-19.3K0.3079.57N/AN/A198603,5841,403
2022-08-22$41.57$43.0019.7%5.7%17.4%29.6%20.4%5.4%0.2%130.4K-548.8K-18.6K0.6178.51N/AN/A101622,7221,159
2022-08-23$41.66$43.0019.6%5.6%17.0%29.3%17.3%4.7%-0.1%143.0K-681.5K-19.1K0.2576.07N/AN/A118292,7891,200
2022-08-24$41.81$42.0019.3%5.5%15.2%28.3%18.2%6.3%0.1%168.4K-880.9K-19.5K1.2175.40N/AN/A911102,8971,247
2022-08-25$42.23$42.0019.2%5.5%15.5%28.2%16.6%5.5%0.7%222.5K-1.5M-20.3K0.0743.23N/AN/A461332,9761,267
2022-08-26$41.16$42.0021.8%6.2%17.3%35.3%18.8%5.0%-0.7%173.4K-879.7K-20.8K3.8074.80N/AN/A943573,4231,278
2022-08-29$41.07$42.0021.9%6.3%17.2%35.6%21.1%5.6%-0.7%97.4K293.3K-21.9K302.0075.89N/AN/A13023,4351,612
2022-08-30$40.72$42.0021.4%6.1%17.0%34.4%22.0%7.3%-0.2%18.9K1.4M-22.0K0.5478.21N/AN/A26143,4351,834
2022-08-31$40.56$42.0020.3%5.8%16.8%31.2%21.3%7.0%0.3%7.5K1.7M-21.2K1.1680.41N/AN/A6697743,4371,832