VEA Options History — June 2023

In June 2023, VEA traded between $45.17 and $47.34. ATM implied volatility averaged 12.6%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 2.3% (HV 20d: 14.9%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2023-06-16: Highest Volume — 847 contracts
  • 2023-06-12: Largest IV spike — 23.0% change
  • 2023-06-12: Highest IV Rank — 20.2%
  • 2023-06-01: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.08$45.17$47.34$45.28$46.19
Max Pain$45.29$43.00$46.00$43.00$46.00
ATM IV12.6%10.4%15.8%14.5%11.2%
Expected Move3.4%3.0%4.2%4.2%3.2%
HV 20d14.9%13.4%16.4%13.4%15.2%
HV 60d13.0%12.0%14.1%13.7%13.1%
IV Rank7.6%0.0%20.2%14.0%3.7%
IV Percentile3.6%0.0%24.2%9.9%0.8%
Term Structure1.2%-1.1%2.9%-1.1%1.0%
VWIV11.5%7.2%14.4%14.0%11.0%
Skew 25d3.3%2.0%6.3%3.2%2.4%
Skew 10d7.6%-0.5%16.4%-0.5%1.7%
Call IV 25d10.5%8.6%12.6%12.6%10.2%
Put IV 25d13.8%11.6%16.2%15.7%12.6%
Bid-Ask Spread %57.6614.8487.2965.7177.59
Gamma HHI0.290.170.520.170.27
Net GEX1.2M699.5K2.1M923.2K1.0M
Net DEX-8.8M-15.2M-5.0M-7.2M-8.0M
Net VEX-38.0K-43.3K-33.4K-34.1K-43.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.003.350.000.79
Total Volume203.2383084726393
Total OI6,735.4295,2817,7616,9646,254

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$45.28$43.0014.5%4.2%13.4%14.0%14.0%3.2%-1.1%923.2K-7.2M-34.1K0.0065.71N/AN/A26215,7421,222
2023-06-02$46.00$44.0012.5%3.6%14.6%4.5%10.8%3.3%0.3%1.2M-8.9M-35.6K0.2014.84N/AN/A92185,7831,222
2023-06-05$45.75$45.0013.9%3.6%13.4%10.9%14.4%4.7%1.6%1.2M-8.4M-35.0K0.1281.31N/AN/A5165,8671,218
2023-06-06$46.11$45.0013.8%3.7%13.8%10.6%11.4%6.3%1.2%1.3M-9.5M-34.5K0.0980.62N/AN/A10095,8831,218
2023-06-07$45.72$45.0013.0%3.5%14.0%6.9%12.1%3.4%1.4%1.2M-8.1M-33.4K0.4479.16N/AN/A55245,9441,225
2023-06-08$46.14$45.0012.7%3.3%14.4%5.3%7.2%3.5%2.0%1.4M-9.3M-34.2K0.1150.72N/AN/A2735,9301,237
2023-06-09$46.11$45.0012.9%3.3%14.3%6.3%14.2%4.2%1.5%1.4M-9.4M-33.7K2.0765.54N/AN/A911885,9251,240
2023-06-12$46.31$45.0015.8%3.4%14.3%20.2%12.2%3.8%1.7%1.5M-10.4M-36.5K0.1352.74N/AN/A330426,0361,378
2023-06-13$46.75$45.0014.3%3.1%14.4%13.1%11.0%3.4%2.3%1.8M-11.8M-37.4K0.1663.06N/AN/A154246,0591,418
2023-06-14$46.86$45.0011.1%3.2%14.0%0.0%11.0%2.5%2.2%2.1M-12.4M-38.2K0.4187.29N/AN/A2651086,1191,401
2023-06-15$47.34$45.0010.4%3.0%14.4%0.0%10.2%2.0%2.9%1.9M-14.9M-39.7K0.0125.67N/AN/A6916,2911,446
2023-06-16$47.22$45.0011.7%3.3%14.4%5.7%10.5%2.8%1.9%2.0M-15.2M-39.1K0.0152.34N/AN/A837106,3151,446
2023-06-20$46.20$46.0012.2%3.5%16.4%8.0%10.7%3.6%1.2%893.8K-7.7M-40.6K0.7341.77N/AN/A2531854,497784
2023-06-21$46.25$46.0011.9%3.4%16.4%6.7%10.9%2.7%1.4%977.0K-8.0M-42.1K3.3550.17N/AN/A692314,740965
2023-06-22$45.91$46.0011.5%3.3%16.0%4.8%11.3%2.9%1.1%885.8K-6.8M-41.9K0.4750.55N/AN/A110524,8101,111
2023-06-23$45.17$46.0012.9%3.7%16.1%11.3%12.5%3.1%0.9%699.5K-5.0M-39.4K0.1258.64N/AN/A227284,9081,152
2023-06-26$45.34$46.0013.3%3.8%16.1%13.1%12.0%3.3%0.5%761.6K-5.4M-38.5K0.5849.63N/AN/A38224,9191,169
2023-06-27$45.70$46.0011.5%3.3%16.1%4.9%13.4%3.2%0.9%842.4K-6.2M-39.7K0.1472.80N/AN/A106154,9091,191
2023-06-28$45.67$46.0011.4%3.3%15.8%4.5%10.0%3.5%0.5%859.4K-6.5M-41.0K2.8256.68N/AN/A11315,0151,203
2023-06-29$45.59$46.0011.5%3.3%15.3%5.0%10.8%2.6%0.5%850.5K-5.9M-40.4K0.8834.09N/AN/A16145,0181,234
2023-06-30$46.19$46.0011.2%3.2%15.2%3.7%11.0%2.4%1.0%1.0M-8.0M-43.3K0.7977.59N/AN/A52415,0061,248