VEA Options History — July 2023

In July 2023, VEA traded between $44.91 and $47.64. ATM implied volatility averaged 12.8%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 3.0% (HV 20d: 15.8%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.32.

Notable Days

  • 2023-07-28: Highest Volume — 473 contracts
  • 2023-07-28: Largest IV drop — 20.2% change
  • 2023-07-10: Highest IV Rank — 19.8%
  • 2023-07-10: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.82$44.91$47.64$46.28$47.64
Max Pain$46.60$46.00$47.00$46.00$47.00
ATM IV12.8%10.5%14.8%11.5%11.4%
Expected Move3.7%3.0%4.1%3.3%3.3%
HV 20d15.8%14.1%18.2%14.2%14.1%
HV 60d14.1%13.0%14.7%13.0%14.1%
IV Rank10.7%0.4%19.8%4.9%4.5%
IV Percentile8.1%0.4%21.0%2.0%1.6%
Term Structure0.4%-1.0%1.2%1.0%0.3%
VWIV12.0%10.9%13.6%11.0%11.4%
Skew 25d3.1%2.0%4.7%3.1%2.5%
Skew 10d7.0%3.5%12.3%5.3%3.5%
Call IV 25d11.2%9.6%12.3%9.6%10.8%
Put IV 25d14.3%12.2%16.9%12.8%13.3%
Bid-Ask Spread %56.7819.8783.4179.3383.41
Gamma HHI0.260.220.340.280.26
Net GEX1.1M619.8K1.5M1.1M1.1M
Net DEX-9.5M-12.3M-4.5M-7.8M-10.5M
Net VEX-41.0K-46.0K-35.8K-41.8K-46.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.017.380.330.09
Total Volume170.15344736036
Total OI6,726.656,2427,6136,2947,613

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$46.28$46.0011.5%3.3%14.2%4.9%11.0%3.1%1.0%1.1M-7.8M-41.8K0.3379.33N/AN/A45155,0281,266
2023-07-05$45.75$46.0012.1%3.5%14.7%7.8%12.2%2.0%0.6%909.1K-6.4M-40.0K0.8652.37N/AN/A59515,0681,269
2023-07-06$44.91$47.0013.9%4.1%15.8%15.8%11.5%4.7%0.5%619.8K-4.5M-38.3K0.1337.18N/AN/A246315,0641,318
2023-07-07$45.36$46.0013.8%4.0%16.0%15.3%12.1%3.6%0.7%715.6K-5.1M-37.0K0.0178.45N/AN/A8814,9011,341
2023-07-10$45.45$46.0014.8%4.1%15.6%19.8%13.4%4.0%0.4%735.2K-5.2M-35.8K0.0673.14N/AN/A3424,9241,342
2023-07-11$45.86$46.0013.1%3.7%16.0%11.9%13.6%3.6%0.4%897.3K-6.7M-38.0K0.5279.31N/AN/A23124,9641,343
2023-07-12$46.75$46.0012.2%3.5%17.4%8.1%12.6%3.5%0.2%1.2M-9.5M-40.0K0.5764.63N/AN/A104594,9771,355
2023-07-13$47.53$46.0012.2%3.5%18.1%8.1%12.7%4.3%0.6%1.3M-12.3M-39.7K0.0949.17N/AN/A254225,0411,394
2023-07-14$47.22$46.0012.7%3.6%18.2%10.2%12.9%3.0%0.9%1.4M-11.7M-42.2K0.0781.76N/AN/A161115,2631,402
2023-07-17$47.20$47.0013.2%3.8%17.9%12.7%13.0%2.6%0.4%1.4M-11.5M-40.9K6.7929.59N/AN/A563805,2271,411
2023-07-18$47.50$47.0013.2%3.8%18.0%12.6%11.3%2.5%0.1%1.4M-12.1M-42.5K0.0657.12N/AN/A3225,2531,791
2023-07-19$47.50$47.0013.5%3.9%16.0%13.6%11.9%3.1%0.1%1.3M-12.0M-42.8K7.3819.87N/AN/A8595,2751,789
2023-07-20$47.20$47.0012.7%3.6%16.2%10.4%12.1%3.7%0.4%1.5M-10.6M-42.4K0.0956.15N/AN/A170165,2741,836
2023-07-21$47.28$47.0012.9%3.7%15.9%11.1%11.5%2.8%-0.3%1.1M-11.3M-42.9K0.1433.19N/AN/A275395,3351,843
2023-07-24$47.23$47.0012.9%3.7%14.5%11.3%11.2%2.4%0.4%1.1M-9.9M-41.3K0.1355.58N/AN/A3955,0271,748
2023-07-25$47.39$47.0013.2%3.8%14.5%12.5%11.0%3.5%0.3%1.1M-10.4M-41.4K0.3756.17N/AN/A90335,0621,752
2023-07-26$47.45$47.0012.9%3.7%14.3%11.4%11.7%2.5%0.3%1.1M-10.5M-41.4K0.3958.22N/AN/A36145,1391,771
2023-07-27$47.22$47.0013.1%3.8%14.5%12.3%13.1%3.0%-1.0%1.1M-10.2M-42.0K7.1260.55N/AN/A523705,1511,779
2023-07-28$47.61$47.0010.5%3.0%14.6%0.4%10.9%2.3%1.2%1.2M-11.0M-43.0K1.2230.37N/AN/A2132605,1562,041
2023-07-31$47.64$47.0011.4%3.3%14.1%4.5%11.4%2.5%0.3%1.1M-10.5M-46.0K0.0983.41N/AN/A3335,1462,467