VEA Options History — March 2023

In March 2023, VEA traded between $42.47 and $45.11. ATM implied volatility averaged 19.5%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.5% (HV 20d: 16.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.38.

Notable Days

  • 2023-03-24: Highest Volume — 460 contracts
  • 2023-03-14: Largest IV drop — 32.8% change
  • 2023-03-13: Highest IV Rank — 100.0%
  • 2023-03-15: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.96$42.47$45.11$44.44$45.11
Max Pain$43.83$40.00$45.00$40.00$44.00
ATM IV19.5%15.7%32.8%17.5%15.7%
Expected Move5.2%4.5%6.9%5.0%4.5%
HV 20d16.1%12.4%19.1%13.5%17.8%
HV 60d15.1%14.7%15.6%14.9%14.9%
IV Rank26.9%5.4%100.0%11.1%8.4%
IV Percentile35.5%4.0%100.0%17.5%4.0%
Term Structure0.2%-2.1%1.1%-1.3%0.5%
VWIV17.4%14.7%23.1%15.0%14.7%
Skew 25d5.2%3.8%6.9%4.3%5.2%
Skew 10d10.9%4.2%14.8%8.6%8.8%
Call IV 25d15.7%11.8%20.8%15.0%11.8%
Put IV 25d20.9%17.0%25.9%19.3%17.0%
Bid-Ask Spread %60.4136.7883.4156.9042.41
Gamma HHI0.220.130.570.240.20
Net GEX709.5K216.3K1.0M883.5K797.5K
Net DEX-8.2M-14.3M-2.4M-11.4M-8.1M
Net VEX-25.1K-34.0K-20.4K-21.8K-34.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.003.270.050.03
Total Volume202.26147460230361
Total OI6,426.873,3568,2607,3475,184

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$44.44$40.0017.5%5.0%13.5%11.1%15.0%4.3%-1.3%883.5K-11.4M-21.8K0.0556.90N/AN/A220105,3312,016
2023-03-02$44.52$40.0015.8%4.5%12.4%5.5%18.1%4.9%0.5%916.7K-11.9M-22.7K3.2783.41N/AN/A11365,5092,077
2023-03-03$45.11$40.0015.8%4.5%13.4%5.4%16.2%3.8%0.4%984.4K-14.3M-24.9K0.3451.83N/AN/A125425,6292,110
2023-03-06$45.03$45.0017.5%4.5%13.0%11.2%15.9%4.1%1.1%1.0M-14.0M-23.6K0.1254.97N/AN/A105135,6562,145
2023-03-07$44.28$45.0019.3%4.9%13.9%17.0%17.9%4.6%0.6%961.2K-11.7M-24.0K0.1165.51N/AN/A158175,8112,153
2023-03-08$44.45$45.0019.8%4.8%13.5%18.4%15.0%3.9%1.0%1.0M-12.4M-24.5K0.2272.38N/AN/A87195,8742,167
2023-03-09$44.02$45.0021.5%5.2%13.8%35.0%17.4%4.0%0.4%925.0K-11.3M-24.8K0.1271.75N/AN/A358445,9522,186
2023-03-10$43.59$45.0026.1%5.7%14.0%65.0%16.7%5.9%-0.4%812.4K-10.2M-25.3K1.9473.36N/AN/A531035,9952,217
2023-03-13$43.45$45.0032.8%6.0%14.0%100.0%18.7%5.3%-0.4%766.4K-9.4M-23.9K0.3675.91N/AN/A204735,9792,250
2023-03-14$43.70$45.0022.1%5.1%13.8%42.4%17.5%4.8%0.9%860.0K-9.9M-22.4K0.0881.28N/AN/A7666,0382,222
2023-03-15$42.47$45.0023.9%6.9%16.6%52.5%22.9%5.1%-2.1%561.6K-6.4M-21.1K0.1866.47N/AN/A135246,0342,164
2023-03-16$43.17$44.0019.5%5.6%17.9%28.7%19.3%5.6%0.7%804.6K-8.6M-20.4K0.1767.54N/AN/A126216,0732,178
2023-03-17$42.78$44.0020.3%5.8%18.1%32.9%23.1%6.9%0.2%976.6K-7.7M-20.6K0.3362.99N/AN/A203676,0712,149
2023-03-20$43.20$44.0019.8%5.7%18.6%30.5%16.3%6.1%0.7%216.3K-2.4M-20.5K0.1357.63N/AN/A356452,656700
2023-03-21$43.78$44.0017.3%5.0%19.1%16.9%15.8%6.3%0.5%338.3K-3.2M-23.0K0.0144.13N/AN/A13613,018744
2023-03-22$43.78$44.0017.0%4.9%18.9%15.2%16.1%5.3%0.5%392.7K-4.1M-26.4K0.5670.19N/AN/A87493,151744
2023-03-23$43.64$44.0018.8%5.4%18.6%25.2%20.3%6.9%-0.1%357.1K-3.3M-23.8K0.4736.78N/AN/A53253,214789
2023-03-24$43.45$44.0020.5%5.9%17.7%34.3%17.9%4.9%0.0%346.7K-3.1M-23.8K0.0056.03N/AN/A45823,265813
2023-03-27$43.84$44.0017.9%5.1%17.5%20.0%15.7%5.7%0.1%476.4K-4.6M-27.6K0.0244.29N/AN/A34473,700815
2023-03-28$43.88$44.0017.7%5.1%17.4%19.0%16.4%5.4%0.4%546.2K-5.4M-31.6K0.0249.86N/AN/A8924,097812
2023-03-29$44.39$44.0016.9%4.8%17.8%14.7%16.8%4.8%0.4%645.5K-6.3M-32.3K0.1043.77N/AN/A171174,177812
2023-03-30$44.95$44.0015.8%4.5%18.4%8.9%16.1%4.9%0.9%748.9K-7.7M-33.8K0.1660.04N/AN/A97164,324817
2023-03-31$45.11$44.0015.7%4.5%17.8%8.4%14.7%5.2%0.5%797.5K-8.1M-34.0K0.0342.41N/AN/A351104,356828