VEA Options History — November 2022

In November 2022, VEA traded between $38.12 and $43.48. ATM implied volatility averaged 22.2%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 3.0% (HV 20d: 25.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2022-11-18: Highest Volume — 2,201 contracts
  • 2022-11-07: Largest IV spike — 14.4% change
  • 2022-11-07: Highest IV Rank — 50.8%
  • 2022-11-02: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.36$38.12$43.48$38.86$43.48
Max Pain$39.24$35.00$40.00$35.00$40.00
ATM IV22.2%18.2%27.3%24.9%20.8%
Expected Move6.2%5.2%7.4%7.1%6.0%
HV 20d25.2%20.9%28.2%21.7%27.0%
HV 60d26.1%23.5%27.5%24.0%27.0%
IV Rank36.5%25.3%50.8%44.1%32.7%
IV Percentile58.0%25.4%89.7%81.0%48.8%
Term Structure-0.8%-2.7%0.9%-1.4%-2.1%
VWIV21.1%16.8%27.7%25.2%19.2%
Skew 25d4.6%-7.9%11.0%3.5%3.8%
Skew 10d8.3%-0.3%17.5%3.1%13.2%
Call IV 25d19.5%14.1%35.3%23.5%18.1%
Put IV 25d24.1%20.5%27.4%27.0%21.9%
Bid-Ask Spread %60.8712.5584.5263.6779.50
Gamma HHI0.220.190.270.210.19
Net GEX916.3K621.3K1.0M743.0K961.0K
Net DEX-12.5M-18.3M-3.0M-5.5M-17.1M
Net VEX-40.3K-42.8K-35.0K-41.2K-35.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.055.400.950.18
Total Volume1,229.333222,201869493
Total OI8,797.818,2579,5328,5518,560

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$38.86$35.0024.9%7.1%21.7%44.1%25.2%3.5%-1.4%743.0K-5.5M-41.2K0.9563.67N/AN/A4454246,7891,762
2022-11-02$38.44$35.0025.8%7.4%21.9%46.7%27.7%-7.9%-2.7%712.4K-5.1M-40.2K0.9176.53N/AN/A4634236,8261,773
2022-11-03$38.12$39.0024.5%6.8%20.9%43.1%22.3%7.1%-0.5%621.3K-3.0M-36.2K0.9481.95N/AN/A4954656,8271,774
2022-11-04$39.46$39.0023.8%6.7%22.9%41.1%21.6%11.0%-1.3%868.4K-6.5M-41.2K0.9084.52N/AN/A4524066,8601,839
2022-11-07$39.70$39.0027.3%6.4%22.8%50.8%21.1%7.3%-1.3%927.7K-7.7M-41.0K0.8577.72N/AN/A4834126,8771,841
2022-11-08$40.21$39.0026.2%6.7%22.1%48.0%21.7%5.4%0.1%1.0M-9.5M-41.8K0.4177.52N/AN/A7883216,8871,850
2022-11-09$39.57$39.0023.3%6.7%23.3%39.6%20.9%4.6%-1.4%933.5K-8.0M-40.6K0.4077.18N/AN/A7933216,9681,860
2022-11-10$41.64$39.0022.3%6.4%28.2%36.9%23.9%5.0%-1.5%1.0M-15.1M-40.7K1.9973.09N/AN/A7241,4386,9811,861
2022-11-11$42.55$40.0022.5%6.5%27.5%37.5%23.8%9.0%-0.4%899.6K-18.3M-38.5K2.2853.80N/AN/A5611,2777,0351,782
2022-11-14$42.20$40.0022.0%6.3%27.1%36.1%20.7%4.3%-0.3%910.3K-17.1M-42.8K2.0974.17N/AN/A5581,1667,1092,326
2022-11-15$42.37$40.0022.3%6.4%27.1%36.7%19.0%6.2%0.9%907.1K-17.7M-41.4K1.6256.43N/AN/A6771,0987,1322,318
2022-11-16$42.19$40.0021.1%6.0%26.5%33.4%17.9%6.6%0.6%979.2K-16.9M-42.5K1.8865.44N/AN/A5831,0977,1172,328
2022-11-17$42.07$40.0020.8%6.0%26.5%32.6%20.8%4.0%-0.7%972.0K-16.4M-42.5K1.3666.63N/AN/A8071,0987,1392,331
2022-11-18$42.20$40.0020.7%5.9%26.1%32.4%20.6%4.4%-0.1%975.5K-16.9M-42.7K1.0119.56N/AN/A1,0941,1077,1982,334
2022-11-21$41.82$40.0020.5%5.9%26.6%31.7%20.4%3.6%-0.7%897.3K-10.7M-42.5K1.4218.59N/AN/A7551,0736,1252,132
2022-11-22$42.42$40.0020.3%5.8%26.2%31.2%19.7%4.8%-1.0%938.7K-12.9M-41.0K1.5212.55N/AN/A6941,0536,1662,144
2022-11-23$42.87$40.0018.2%5.2%26.1%25.3%18.3%4.1%0.1%965.6K-14.7M-39.6K1.7566.46N/AN/A5941,0386,2452,162
2022-11-25$43.17$40.0018.6%5.3%25.8%26.5%16.8%3.7%-0.5%965.9K-15.6M-38.8K0.0522.45N/AN/A2116,3072,162
2022-11-28$42.52$40.0019.9%5.7%26.8%30.0%20.8%2.5%-0.9%1.0M-13.7M-38.6K0.3267.35N/AN/A41136,3312,159
2022-11-29$42.61$40.0020.0%5.7%26.4%30.3%21.6%3.0%-0.8%1.0M-14.2M-38.2K5.4063.20N/AN/A10546,3622,175
2022-11-30$43.48$40.0020.8%6.0%27.0%32.7%19.2%3.8%-2.1%961.0K-17.1M-35.0K0.1879.50N/AN/A418756,3692,191