VEA Options History — December 2022

In December 2022, VEA traded between $41.63 and $43.83. ATM implied volatility averaged 20.6%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.0% (HV 20d: 19.7%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2022-12-28: Highest Volume — 3,057 contracts
  • 2022-12-12: Largest IV spike — 35.7% change
  • 2022-12-12: Highest IV Rank — 65.7%
  • 2022-12-07: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.67$41.63$43.83$43.81$42.06
Max Pain$41.43$40.00$44.00$40.00$41.00
ATM IV20.6%17.4%32.5%19.6%18.9%
Expected Move5.3%5.0%5.7%5.6%5.4%
HV 20d19.7%14.4%26.3%26.3%17.4%
HV 60d24.9%22.5%27.0%27.0%22.6%
IV Rank32.1%23.0%65.7%29.2%27.1%
IV Percentile41.7%15.9%98.8%34.1%28.2%
Term Structure1.4%-0.8%3.2%-0.8%1.0%
VWIV18.4%14.7%22.0%19.5%18.0%
Skew 25d3.0%2.2%4.3%4.3%2.7%
Skew 10d6.5%2.2%13.1%13.1%4.4%
Call IV 25d17.5%16.2%18.6%17.6%17.7%
Put IV 25d20.5%18.8%21.9%21.9%20.4%
Bid-Ask Spread %50.7622.3476.9276.0572.65
Gamma HHI0.220.180.340.180.28
Net GEX902.8K360.0K1.4M976.9K1.2M
Net DEX-12.8M-19.9M-4.1M-19.3M-8.3M
Net VEX-36.3K-46.3K-33.4K-36.8K-44.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.014.600.570.14
Total Volume367.19223,05722141
Total OI8,331.6675,60710,3999,0179,879

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$43.81$40.0019.6%5.6%26.3%29.2%19.5%4.3%-0.8%976.9K-19.3M-36.8K0.5776.05N/AN/A1486,7812,236
2022-12-02$43.75$40.0018.4%5.3%25.8%25.8%16.0%2.9%-0.4%1.0M-19.4M-36.0K0.0573.63N/AN/A9356,7852,244
2022-12-05$43.05$42.0022.1%5.4%24.9%36.3%21.9%3.4%1.4%1.1M-16.5M-37.2K0.2563.06N/AN/A179446,8182,246
2022-12-06$42.80$40.0022.8%5.6%25.1%38.2%19.0%2.5%0.9%1.2M-15.5M-36.9K0.0267.76N/AN/A18246,8782,270
2022-12-07$42.83$40.0023.1%5.7%24.9%39.1%19.8%2.5%0.7%1.2M-16.1M-36.4K0.2240.90N/AN/A186416,9012,273
2022-12-08$42.97$40.0023.6%5.3%23.9%40.5%17.8%2.8%2.6%1.2M-16.8M-37.3K4.6064.25N/AN/A5237,0552,274
2022-12-09$43.11$41.0023.9%5.3%16.2%41.5%19.1%3.5%2.2%1.2M-17.4M-36.1K1.2555.67N/AN/A3674587,0602,297
2022-12-12$43.13$43.0032.5%5.6%14.4%65.7%19.5%3.6%1.7%1.2M-16.8M-35.5K0.3252.83N/AN/A112367,1762,524
2022-12-13$43.83$44.0027.1%5.1%15.0%50.5%17.5%2.6%2.4%1.0M-19.8M-33.4K0.0142.52N/AN/A35327,1582,549
2022-12-14$43.75$44.0017.6%5.0%15.1%23.5%17.8%2.9%3.2%1.1M-19.9M-34.0K0.0576.92N/AN/A589297,3322,549
2022-12-15$42.58$44.0018.4%5.3%18.1%25.9%17.3%3.2%1.7%1.4M-16.7M-35.6K0.0633.56N/AN/A480307,7292,577
2022-12-16$42.31$43.0018.2%5.2%18.2%25.2%17.6%2.2%1.6%818.3K-16.3M-35.4K0.4436.82N/AN/A3151397,8012,598
2022-12-19$41.63$43.0018.5%5.3%19.1%26.2%19.5%3.8%1.2%360.0K-4.1M-33.8K0.4522.34N/AN/A218973,8671,740
2022-12-20$41.94$40.0018.4%5.3%19.0%25.7%17.4%3.3%1.3%415.8K-5.8M-34.7K0.1324.38N/AN/A2334,0341,593
2022-12-21$42.30$40.0017.4%5.0%18.6%23.0%17.1%2.6%2.3%460.8K-6.6M-34.1K0.9733.24N/AN/A1171134,0561,593
2022-12-22$41.83$41.0018.7%5.4%18.5%26.7%22.0%3.4%1.2%407.6K-5.6M-35.0K0.4771.21N/AN/A62294,0881,630
2022-12-23$42.06$41.0017.9%5.1%18.5%24.4%14.7%3.2%1.7%442.0K-6.2M-35.0K0.0248.00N/AN/A8724,1501,656
2022-12-27$42.25$41.0018.8%5.4%17.8%26.9%18.7%2.7%1.4%471.6K-6.7M-33.5K0.3332.35N/AN/A2174,2301,659
2022-12-28$41.75$41.0018.9%5.4%18.2%27.2%18.4%2.3%0.8%637.9K-6.3M-35.7K0.0139.62N/AN/A3,020375,1651,664
2022-12-29$42.41$41.0018.7%5.4%17.6%26.6%18.1%2.7%1.0%1.3M-9.6M-46.3K0.1138.09N/AN/A3648,1641,686
2022-12-30$42.06$41.0018.9%5.4%17.4%27.1%18.0%2.7%1.0%1.2M-8.3M-44.1K0.1472.65N/AN/A124178,1981,681