VEA Options History — October 2022

In October 2022, VEA traded between $36.28 and $38.91. ATM implied volatility averaged 26.5%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.1% (HV 20d: 28.6%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2022-10-17: Highest Volume — 2,672 contracts
  • 2022-10-04: Largest IV drop — 11.4% change
  • 2022-10-11: Highest IV Rank — 61.1%
  • 2022-10-11: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.57$36.28$38.91$37.23$38.55
Max Pain$35.00$34.00$38.00$38.00$35.00
ATM IV26.5%23.7%30.9%27.8%24.2%
Expected Move7.5%6.8%8.3%8.0%6.9%
HV 20d28.6%25.1%31.9%28.2%25.1%
HV 60d23.4%22.0%23.9%22.0%23.9%
IV Rank48.7%40.9%61.1%52.4%42.3%
IV Percentile87.5%74.6%98.0%93.7%77.8%
Term Structure-0.9%-2.5%1.5%-1.5%-1.0%
VWIV26.4%23.8%29.5%23.8%24.7%
Skew 25d5.7%3.5%6.8%5.6%3.8%
Skew 10d11.6%4.1%21.5%12.3%7.8%
Call IV 25d24.1%21.5%25.9%24.9%23.2%
Put IV 25d29.8%26.8%32.5%30.4%27.0%
Bid-Ask Spread %56.5939.2674.4872.1368.05
Gamma HHI0.210.150.250.150.21
Net GEX380.4K174.4K712.4K174.4K671.0K
Net DEX-1.7M-5.1M793.5K-18.6K-4.2M
Net VEX-36.5K-42.4K-31.0K-31.8K-39.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.241.341.340.87
Total Volume1,982.818812,6721,093881
Total OI7,969.8576,4838,5256,4838,509

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$37.23$38.0027.8%8.0%28.2%52.4%23.8%5.6%-1.5%174.4K-18.6K-31.8K1.3472.13N/AN/A4676264,7231,760
2022-10-04$38.60$38.0024.6%7.1%31.4%43.5%24.3%6.3%0.2%268.9K-2.1M-36.3K0.9670.82N/AN/A6356104,7331,763
2022-10-05$38.32$38.0026.2%7.5%31.4%47.8%25.4%6.8%-0.9%270.0K-2.0M-37.2K0.3870.85N/AN/A1,6436284,9231,765
2022-10-06$37.58$34.0025.2%7.3%31.9%45.2%27.3%6.6%-0.3%329.7K-1.5M-38.5K0.3543.38N/AN/A1,8366435,9971,762
2022-10-07$36.89$35.0027.2%7.7%30.3%50.7%27.1%6.2%-0.9%272.8K-280.6K-35.2K0.3441.54N/AN/A1,8586236,2221,786
2022-10-10$36.78$35.0028.1%7.8%29.5%53.4%28.5%6.4%-0.9%262.4K-19.6K-34.3K0.3454.84N/AN/A1,8556316,2701,809
2022-10-11$36.33$34.0030.9%8.3%27.4%61.1%29.5%6.7%-2.5%214.4K735.3K-31.1K0.3355.80N/AN/A1,8986176,2431,809
2022-10-12$36.28$34.0028.9%8.3%27.0%55.5%29.1%6.5%-2.5%217.9K793.5K-31.0K0.3357.16N/AN/A1,8606126,2841,829
2022-10-13$36.96$34.0027.0%7.7%28.1%50.0%27.7%5.8%-0.6%282.7K-534.7K-35.4K0.3156.46N/AN/A1,9125866,3921,832
2022-10-14$36.36$34.0028.1%8.1%28.4%53.4%27.7%6.1%-1.9%235.1K423.0K-31.9K0.3263.76N/AN/A1,8465926,4501,826
2022-10-17$37.32$34.0027.4%7.8%30.3%51.1%26.7%5.9%-1.1%327.5K-1.2M-36.7K0.2747.71N/AN/A2,1035696,4541,833
2022-10-18$37.51$34.0025.9%7.4%30.1%46.9%26.1%6.0%-0.9%428.1K-2.0M-38.5K0.2648.22N/AN/A1,9975296,6531,828
2022-10-19$37.01$34.0027.1%7.8%30.1%50.3%28.3%5.6%-1.4%338.2K-580.2K-33.9K0.2654.51N/AN/A1,9344996,6861,823
2022-10-20$36.96$34.0026.4%7.6%30.1%48.3%27.6%4.6%-0.0%330.2K-1.3M-36.7K0.2972.16N/AN/A1,8805396,7041,813
2022-10-21$37.67$35.0025.8%7.4%27.9%46.8%27.4%6.1%1.5%460.6K-1.4M-34.6K0.2974.48N/AN/A1,7915196,7191,806
2022-10-24$37.66$35.0026.4%7.6%27.3%48.3%26.2%6.2%-1.0%393.7K-2.0M-36.6K0.2452.71N/AN/A1,7414245,8751,698
2022-10-25$38.45$35.0026.2%7.5%27.8%47.8%24.6%5.2%-0.9%506.9K-3.6M-39.7K0.5341.98N/AN/A8344446,0211,706
2022-10-26$38.91$35.0024.3%7.0%26.7%42.4%24.5%3.5%-0.0%619.1K-5.0M-42.4K0.6340.15N/AN/A6283956,3811,749
2022-10-27$38.66$35.0024.7%7.1%26.0%43.7%24.3%5.0%-1.2%671.8K-4.9M-41.9K0.6739.26N/AN/A5973996,7131,749
2022-10-28$38.85$35.0023.7%6.8%25.9%40.9%24.3%5.3%-0.7%712.4K-5.1M-42.1K0.6962.40N/AN/A5673916,7181,751
2022-10-31$38.55$35.0024.2%6.9%25.1%42.3%24.7%3.8%-1.0%671.0K-4.2M-39.9K0.8768.05N/AN/A4714106,7501,759