VEA Options History — September 2022

In September 2022, VEA traded between $36.14 and $41.49. ATM implied volatility averaged 24.4%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.6% (HV 20d: 21.8%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2022-09-16: Highest Volume — 3,159 contracts
  • 2022-09-12: Largest IV spike — 26.5% change
  • 2022-09-27: Highest IV Rank — 60.6%
  • 2022-09-27: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.85$36.14$41.49$39.81$36.38
Max Pain$41.76$38.00$43.00$42.00$38.00
ATM IV24.4%20.3%30.7%21.9%29.2%
Expected Move6.8%5.4%8.8%6.3%8.4%
HV 20d21.8%14.8%26.9%17.6%26.4%
HV 60d20.2%18.5%21.6%20.8%21.4%
IV Rank42.9%31.2%60.6%35.9%56.3%
IV Percentile82.6%59.9%98.0%75.4%95.2%
Term Structure-0.3%-3.0%0.8%-0.1%-1.3%
VWIV22.9%15.7%29.5%20.4%28.9%
Skew 25d6.1%4.5%7.8%4.5%5.7%
Skew 10d11.1%6.9%16.1%6.9%8.9%
Call IV 25d21.2%16.7%27.3%20.4%26.1%
Put IV 25d27.3%22.3%34.2%24.9%31.8%
Bid-Ask Spread %65.0431.1383.1778.3070.86
Gamma HHI0.170.130.240.160.14
Net GEX86.0K-62.8K210.4K-39.6K131.5K
Net DEX1.3M-2.7M3.5M2.7M1.1M
Net VEX-33.8K-45.3K-17.9K-18.6K-29.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.026.371.101.33
Total Volume973.09543,1591621,099
Total OI6,774.7625,2837,9645,2916,476

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$39.81$42.0021.9%6.3%17.6%35.9%20.4%4.5%-0.1%-39.6K2.7M-18.6K1.1078.30N/AN/A77853,4421,849
2022-09-02$39.59$42.0021.9%6.3%17.6%35.7%15.7%7.8%-0.2%-28.6K2.8M-18.4K5.1983.17N/AN/A261353,4491,834
2022-09-06$39.51$43.0024.1%6.3%17.4%42.1%22.5%6.5%0.6%-44.3K3.0M-17.9K0.8763.11N/AN/A7466473,4481,897
2022-09-07$39.80$43.0022.2%6.1%17.8%36.6%20.9%6.2%0.6%-62.8K3.0M-18.2K0.6962.60N/AN/A1,7531,2073,4911,964
2022-09-08$39.82$43.0022.1%5.8%14.8%36.1%19.2%5.9%0.8%-24.0K2.3M-37.0K0.0263.61N/AN/A607124,5252,611
2022-09-09$40.92$43.0020.4%5.4%18.6%31.4%18.8%6.0%0.7%68.4K-892.7K-44.7K0.0666.83N/AN/A13485,1472,618
2022-09-12$41.49$42.0025.8%5.7%19.1%46.6%19.9%5.3%0.3%110.6K-2.7M-45.3K0.4664.55N/AN/A102475,2642,617
2022-09-13$40.01$42.0026.6%6.2%22.6%48.9%22.4%6.0%0.2%71.4K1.0M-40.9K0.7965.45N/AN/A1,5831,2505,2552,648
2022-09-14$40.35$42.0021.4%6.1%22.9%34.2%18.9%5.6%0.5%28.5K700.9K-41.9K0.3558.24N/AN/A63225,2612,660
2022-09-15$39.91$42.0020.8%6.0%23.1%32.6%20.6%5.2%-0.7%25.6K1.6M-40.5K0.5668.23N/AN/A1771005,2902,674
2022-09-16$39.52$42.0020.3%5.8%23.2%31.2%20.6%5.6%0.7%143.4K1.5M-40.2K0.6367.15N/AN/A1,9361,2235,2472,511
2022-09-19$39.59$42.0021.3%6.1%22.8%34.0%19.6%6.2%0.3%170.1K-812.7K-41.8K0.2270.52N/AN/A209454,1122,229
2022-09-20$38.99$42.0024.0%6.9%22.7%41.7%21.6%7.0%-0.5%187.7K-45.6K-41.1K0.0438.30N/AN/A18074,4032,250
2022-09-21$38.45$42.0024.5%7.0%22.9%43.2%22.2%5.6%-0.3%210.4K-242.7K-42.5K1.0072.12N/AN/A60604,5342,247
2022-09-22$38.41$42.0024.3%7.0%22.8%42.6%29.5%5.7%-0.7%190.2K975.7K-38.4K0.0070.11N/AN/A044,5922,285
2022-09-23$37.02$42.0026.6%7.6%24.8%48.9%26.6%6.7%-0.3%134.4K2.8M-32.5K6.3731.13N/AN/A191214,5922,287
2022-09-26$36.45$42.0030.3%8.7%24.1%59.5%28.2%6.4%-2.4%112.3K3.4M-29.6K1.7669.74N/AN/A6601,1614,5942,310
2022-09-27$36.14$42.0030.7%8.8%24.0%60.6%28.3%6.9%-3.0%108.6K3.5M-29.2K1.8067.56N/AN/A6541,1764,6282,303
2022-09-28$37.10$40.0027.3%7.8%26.6%50.8%27.7%6.3%-0.7%170.9K251.3K-32.1K1.8565.54N/AN/A6531,2114,6661,685
2022-09-29$36.53$39.0027.7%7.9%26.9%52.1%28.2%6.8%-1.0%141.0K1.0M-29.2K1.1968.74N/AN/A5376394,6601,715
2022-09-30$36.38$38.0029.2%8.4%26.4%56.3%28.9%5.7%-1.3%131.5K1.1M-29.5K1.3370.86N/AN/A4726274,7001,776