VEA Options History — January 2023

In January 2023, VEA traded between $42.20 and $45.89. ATM implied volatility averaged 17.4%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.9% (HV 20d: 16.6%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2023-01-09: Highest Volume — 1,207 contracts
  • 2023-01-09: Largest IV spike — 16.3% change
  • 2023-01-03: Highest IV Rank — 29.4%
  • 2023-01-05: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.61$42.20$45.89$42.20$45.66
Max Pain$42.55$40.00$44.00$41.00$44.00
ATM IV17.4%15.2%19.7%19.7%15.8%
Expected Move5.0%4.4%5.7%5.6%4.5%
HV 20d16.6%12.1%20.1%17.5%12.1%
HV 60d21.1%20.0%22.2%22.1%20.0%
IV Rank14.8%4.9%29.4%29.4%6.8%
IV Percentile13.7%1.2%34.1%34.1%3.2%
Term Structure0.7%0.1%3.2%0.6%0.7%
VWIV17.5%15.7%19.8%19.8%16.2%
Skew 25d3.3%1.4%4.4%2.8%3.7%
Skew 10d8.9%1.1%12.2%1.1%10.8%
Call IV 25d16.0%13.2%18.8%18.8%15.4%
Put IV 25d19.2%16.8%21.7%21.5%19.1%
Bid-Ask Spread %45.5912.5572.5740.4935.26
Gamma HHI0.340.270.380.290.38
Net GEX1.9M1.3M2.5M1.3M1.7M
Net DEX-19.1M-27.3M-9.0M-9.0M-18.8M
Net VEX-40.7K-47.0K-37.0K-41.7K-39.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.016.440.600.39
Total Volume328.35311,207194146
Total OI9,840.28,22810,63310,0059,491

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$42.20$41.0019.7%5.6%17.5%29.4%19.8%2.8%0.6%1.3M-9.0M-41.7K0.6040.49N/AN/A121738,3071,698
2023-01-04$42.72$40.0018.9%5.4%17.4%27.4%19.0%1.4%0.7%1.6M-11.4M-44.2K0.6264.10N/AN/A42268,3271,673
2023-01-05$42.39$40.0019.3%5.7%17.5%28.4%19.8%3.7%0.1%1.4M-9.8M-42.3K0.2441.95N/AN/A2568,3691,675
2023-01-06$43.53$41.0016.8%5.1%19.9%15.0%19.2%4.4%0.8%2.1M-14.8M-47.0K0.0266.30N/AN/A1,124248,3871,678
2023-01-09$43.77$42.0019.5%5.3%20.0%23.3%17.7%2.8%0.6%2.2M-16.7M-45.7K0.0141.76N/AN/A1,193148,4851,678
2023-01-10$43.78$42.0018.7%5.2%20.0%20.9%17.7%3.8%0.8%2.3M-16.4M-44.2K0.3642.86N/AN/A135488,5721,689
2023-01-11$44.11$42.0018.6%5.3%20.1%19.7%17.9%3.6%0.5%2.4M-18.8M-44.8K0.1641.83N/AN/A94158,6781,709
2023-01-12$44.72$42.0016.8%4.8%19.9%14.2%16.4%3.1%0.9%2.5M-23.3M-42.8K0.3339.39N/AN/A171578,7121,720
2023-01-13$45.03$42.0016.5%4.7%20.0%13.5%17.0%2.8%3.2%2.3M-25.6M-37.1K0.3270.85N/AN/A69228,7581,726
2023-01-17$45.14$43.0016.7%4.8%16.9%9.5%16.5%2.7%1.3%2.2M-26.6M-37.8K0.0230.60N/AN/A48388,8041,747
2023-01-18$45.02$43.0017.4%5.0%16.7%11.8%16.5%3.0%0.9%2.3M-25.1M-38.8K0.1238.49N/AN/A256318,7081,745
2023-01-19$44.95$43.0017.7%5.1%15.1%12.8%16.8%4.4%0.8%2.2M-25.3M-38.8K0.3668.63N/AN/A154568,8221,769
2023-01-20$45.25$43.0017.2%4.9%15.1%11.2%16.3%3.4%0.4%1.5M-27.3M-37.1K0.0258.81N/AN/A549118,8481,785
2023-01-23$45.48$43.0017.5%5.0%15.0%12.4%17.1%3.3%0.4%1.5M-17.5M-37.0K0.0335.06N/AN/A443136,5651,663
2023-01-24$45.48$44.0017.2%4.9%14.1%11.2%18.4%3.2%0.4%1.6M-18.0M-38.4K6.4472.57N/AN/A613936,7861,684
2023-01-25$45.73$44.0016.2%4.6%14.1%7.8%15.7%3.8%0.4%1.5M-18.9M-38.5K0.1437.45N/AN/A6496,8422,045
2023-01-26$45.84$44.0016.1%4.6%14.1%7.5%17.8%3.1%0.5%1.5M-19.3M-37.8K0.0536.65N/AN/A337176,8952,047
2023-01-27$45.89$44.0015.2%4.4%12.8%4.9%15.9%3.6%0.3%1.7M-20.1M-39.5K0.0712.55N/AN/A209157,2282,057
2023-01-30$45.53$44.0016.4%4.7%12.9%8.7%18.8%2.8%0.2%1.7M-18.5M-40.6K2.7936.21N/AN/A14397,3762,056
2023-01-31$45.66$44.0015.8%4.5%12.1%6.8%16.2%3.7%0.7%1.7M-18.8M-39.4K0.3935.26N/AN/A105417,3902,101