VEA Options History — May 2023

In May 2023, VEA traded between $44.66 and $46.63. ATM implied volatility averaged 14.2%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.7% (HV 20d: 11.5%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2023-05-17: Highest Volume — 588 contracts
  • 2023-05-05: Largest IV drop — 23.6% change
  • 2023-05-24: Highest IV Rank — 22.8%
  • 2023-05-24: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.96$44.66$46.63$46.31$44.66
Max Pain$43.27$43.00$45.00$45.00$43.00
ATM IV14.2%11.5%16.4%13.3%14.3%
Expected Move4.1%3.8%4.7%3.8%4.1%
HV 20d11.5%10.4%12.5%10.4%12.3%
HV 60d13.9%13.4%14.2%14.0%13.9%
IV Rank11.0%0.0%22.8%0.0%13.1%
IV Percentile6.0%0.0%22.6%0.0%6.7%
Term Structure0.5%-1.7%2.2%1.0%-1.2%
VWIV13.7%9.1%18.0%13.2%15.3%
Skew 25d4.9%3.3%6.2%3.3%4.0%
Skew 10d11.2%5.5%35.5%7.7%5.5%
Call IV 25d12.0%10.5%13.7%11.8%13.3%
Put IV 25d17.0%15.1%19.7%15.1%17.3%
Bid-Ask Spread %56.1314.7288.1538.5059.72
Gamma HHI0.230.150.300.250.15
Net GEX1.1M726.5K1.4M1.3M726.5K
Net DEX-9.9M-12.4M-5.2M-11.6M-5.2M
Net VEX-38.6K-42.4K-30.4K-40.3K-30.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.014.001.110.61
Total Volume146.6825588139103
Total OI6,963.3186,6137,4556,6136,911

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$46.31$45.0013.3%3.8%10.4%0.0%13.2%3.3%1.0%1.3M-11.6M-40.3K1.1138.50N/AN/A66735,5791,034
2023-05-02$45.84$45.0014.1%4.0%10.8%4.4%12.2%4.3%0.9%1.1M-9.9M-40.7K0.1277.64N/AN/A111135,5741,097
2023-05-03$45.97$45.0014.5%4.2%10.8%6.3%14.0%4.0%1.3%1.1M-10.2M-41.3K0.9688.15N/AN/A1121085,5571,110
2023-05-04$45.88$43.0015.3%4.6%10.7%10.7%18.0%6.2%0.5%1.1M-9.9M-42.3K0.0354.00N/AN/A12345,6291,190
2023-05-05$46.63$43.0011.7%3.9%12.0%0.0%12.7%6.0%1.5%1.3M-12.2M-42.4K0.4748.55N/AN/A64305,6841,192
2023-05-08$46.63$43.0011.5%3.9%11.9%0.0%16.5%6.0%1.3%1.4M-12.4M-40.7K0.1676.35N/AN/A94155,7451,172
2023-05-09$46.45$43.0014.0%4.5%12.0%11.7%13.7%5.5%0.6%1.3M-11.7M-40.9K0.1967.86N/AN/A4385,8141,180
2023-05-10$46.39$43.0015.2%4.4%11.9%17.2%17.1%5.4%1.1%1.3M-11.5M-40.5K4.0056.20N/AN/A145,8351,186
2023-05-11$46.13$43.0014.5%4.2%10.9%13.9%12.3%5.0%1.5%1.2M-10.3M-39.0K0.1831.53N/AN/A146265,8351,188
2023-05-12$46.00$43.0014.0%4.0%10.8%11.5%15.9%5.0%2.2%1.1M-10.2M-38.6K0.0157.77N/AN/A24535,8241,202
2023-05-15$46.42$43.0014.4%4.1%11.2%13.7%9.1%4.9%2.1%1.4M-11.4M-39.6K0.0354.17N/AN/A10136,0141,203
2023-05-16$46.03$43.0013.5%3.9%11.5%9.4%11.4%4.8%2.2%1.1M-10.1M-38.5K0.0156.66N/AN/A13616,0111,201
2023-05-17$46.19$43.0013.9%4.0%11.5%11.2%12.2%5.1%2.2%1.1M-10.7M-38.4K0.0224.88N/AN/A577116,0471,202
2023-05-18$46.11$43.0013.6%3.9%11.5%9.7%11.5%5.7%0.2%1.1M-10.5M-38.3K0.2657.38N/AN/A126336,2131,210
2023-05-19$46.36$43.0013.7%3.9%11.5%10.4%13.2%4.3%0.2%1.1M-11.7M-38.5K0.1414.72N/AN/A165236,2291,226
2023-05-22$46.45$43.0014.3%4.1%11.5%13.0%11.9%4.6%-0.7%1.2M-10.9M-38.9K0.0760.26N/AN/A174125,5981,041
2023-05-23$45.86$43.0014.2%4.1%11.3%12.7%13.2%4.5%-0.7%1.1M-9.2M-38.6K3.0970.50N/AN/A341055,7721,050
2023-05-24$45.17$43.0016.4%4.7%12.5%22.8%14.4%5.0%-1.7%902.6K-7.0M-37.4K0.4164.74N/AN/A44185,8061,169
2023-05-25$45.06$43.0015.4%4.4%11.5%18.4%16.7%5.1%-1.2%795.4K-6.1M-33.9K0.1559.34N/AN/A117185,6521,166
2023-05-26$45.47$43.0015.3%4.4%12.1%17.5%12.2%4.5%-0.6%910.5K-7.5M-36.3K0.0152.32N/AN/A8515,6951,194
2023-05-30$45.11$43.0014.6%4.2%12.3%14.6%14.5%4.8%-0.8%853.0K-6.4M-33.2K0.1163.55N/AN/A4655,7631,193
2023-05-31$44.66$43.0014.3%4.1%12.3%13.1%15.3%4.0%-1.2%726.5K-5.2M-30.4K0.6159.72N/AN/A64395,7191,192