VEA Options History — February 2023

In February 2023, VEA traded between $43.97 and $46.28. ATM implied volatility averaged 16.1%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.7% (HV 20d: 11.4%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.47.

Notable Days

2023-02-01: Highest Volume — 325 contracts
2023-02-06: Largest IV spike — 20.5% change
2023-02-01: Highest IV Rank — 16.1%
2023-02-01: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.16	$43.97	$46.28	$46.28	$44.20
Max Pain	$40.21	$40.00	$44.00	$44.00	$40.00
ATM IV	16.1%	14.1%	18.7%	18.7%	16.8%
Expected Move	4.6%	4.1%	5.4%	5.4%	4.8%
HV 20d	11.4%	10.0%	13.5%	12.5%	13.4%
HV 60d	16.4%	15.0%	20.0%	20.0%	15.0%
IV Rank	6.9%	1.3%	16.1%	16.1%	8.7%
IV Percentile	6.9%	0.4%	26.2%	26.2%	11.9%
Term Structure	1.0%	-0.3%	2.5%	0.1%	-0.0%
VWIV	15.6%	13.2%	19.8%	16.7%	15.5%
Skew 25d	4.7%	3.6%	11.2%	11.2%	3.9%
Skew 10d	9.2%	-0.9%	17.5%	17.5%	6.7%
Call IV 25d	13.8%	12.6%	15.2%	13.3%	14.9%
Put IV 25d	18.5%	16.8%	24.5%	24.5%	18.8%
Bid-Ask Spread %	61.40	48.89	85.91	85.91	64.51
Gamma HHI	0.33	0.19	0.57	0.33	0.23
Net GEX	1.6M	783.7K	3.4M	1.6M	866.5K
Net DEX	-15.7M	-21.8M	-10.1M	-21.7M	-10.8M
Net VEX	-30.8K	-39.5K	-21.9K	-39.5K	-21.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	0.01	19.75	0.01	0.09
Total Volume	120.895	25	325	325	25
Total OI	9,147.368	7,239	10,177	9,614	7,340

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2023-02-01	$46.28	$44.00	18.7%	5.4%	12.5%	16.1%	16.7%	11.2%	0.1%	1.6M	-21.7M	-39.5K	0.01	85.91	N/A	N/A	323	2	7,474	2,140
2023-02-02	$46.06	$40.00	15.9%	4.5%	12.6%	7.1%	17.1%	4.9%	1.0%	2.0M	-21.8M	-39.1K	0.93	56.25	N/A	N/A	45	42	7,692	2,139
2023-02-03	$45.61	$40.00	14.1%	4.1%	12.9%	1.3%	14.8%	4.3%	1.6%	2.1M	-19.5M	-38.6K	0.61	57.91	N/A	N/A	80	49	7,733	2,166
2023-02-06	$45.14	$40.00	17.0%	4.6%	10.7%	10.7%	19.8%	4.9%	1.5%	1.9M	-15.8M	-37.9K	0.24	61.04	N/A	N/A	153	37	7,757	2,181
2023-02-07	$45.53	$40.00	15.4%	4.2%	10.9%	5.3%	16.0%	3.9%	1.3%	2.2M	-18.3M	-36.2K	1.02	69.35	N/A	N/A	58	59	7,716	2,213
2023-02-08	$45.28	$40.00	16.2%	4.6%	11.2%	7.9%	14.8%	4.9%	0.7%	2.0M	-17.1M	-36.2K	0.23	49.41	N/A	N/A	43	10	7,756	2,233
2023-02-09	$45.34	$40.00	16.2%	4.6%	11.0%	7.8%	15.6%	4.5%	0.6%	2.1M	-17.2M	-35.7K	19.75	51.26	N/A	N/A	4	79	7,795	2,241
2023-02-10	$45.20	$40.00	16.7%	4.8%	10.0%	8.3%	16.9%	4.2%	1.2%	2.0M	-16.0M	-33.8K	1.90	51.35	N/A	N/A	10	19	7,798	2,313
2023-02-13	$45.59	$40.00	15.0%	4.3%	10.2%	2.9%	15.7%	5.1%	2.5%	2.5M	-18.3M	-33.7K	0.32	48.89	N/A	N/A	37	12	7,798	2,325
2023-02-14	$45.69	$40.00	14.9%	4.3%	10.2%	2.4%	14.6%	4.3%	1.5%	3.4M	-18.6M	-30.3K	0.51	75.42	N/A	N/A	55	28	7,831	2,331
2023-02-15	$45.36	$40.00	15.0%	4.3%	10.5%	2.9%	13.2%	3.7%	2.0%	1.5M	-15.7M	-27.3K	0.11	75.95	N/A	N/A	210	24	7,824	2,353
2023-02-16	$45.20	$40.00	15.8%	4.5%	10.6%	5.3%	14.2%	3.8%	1.1%	1.3M	-14.9M	-26.7K	0.10	57.86	N/A	N/A	96	10	7,708	2,370
2023-02-17	$45.25	$40.00	15.7%	4.5%	10.3%	5.1%	14.8%	4.3%	1.0%	1.1M	-14.9M	-26.9K	0.04	53.94	N/A	N/A	122	5	7,715	2,374
2023-02-21	$44.78	$40.00	16.8%	4.8%	10.8%	8.7%	16.3%	4.3%	0.2%	843.4K	-12.4M	-25.8K	0.62	76.92	N/A	N/A	178	110	5,385	1,854
2023-02-22	$44.36	$40.00	17.6%	5.0%	11.2%	11.4%	17.1%	3.6%	-0.1%	826.1K	-11.6M	-24.9K	0.08	76.66	N/A	N/A	88	7	5,359	1,958
2023-02-23	$44.72	$40.00	14.9%	4.3%	11.4%	2.6%	14.6%	4.0%	1.4%	877.8K	-12.4M	-24.4K	0.92	50.06	N/A	N/A	36	33	5,345	1,959
2023-02-24	$43.97	$40.00	16.6%	4.7%	12.6%	7.9%	15.2%	4.3%	0.8%	783.7K	-10.1M	-24.0K	0.40	53.62	N/A	N/A	98	39	5,349	1,986
2023-02-27	$44.47	$40.00	16.9%	4.9%	13.5%	9.1%	13.7%	4.4%	-0.3%	870.8K	-11.5M	-22.4K	0.08	50.22	N/A	N/A	66	5	5,278	2,011
2023-02-28	$44.20	$40.00	16.8%	4.8%	13.4%	8.7%	15.5%	3.9%	-0.0%	866.5K	-10.8M	-21.9K	0.09	64.51	N/A	N/A	23	2	5,325	2,015