VEA Options History — August 2023

In August 2023, VEA traded between $44.59 and $47.11. ATM implied volatility averaged 14.0%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.6% (HV 20d: 12.4%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.09.

Notable Days

  • 2023-08-29: Highest Volume — 653 contracts
  • 2023-08-30: Largest IV spike — 43.0% change
  • 2023-08-30: Highest IV Rank — 31.5%
  • 2023-08-30: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.63$44.59$47.11$47.11$45.80
Max Pain$44.78$44.00$47.00$47.00$44.00
ATM IV14.0%10.6%17.4%12.7%10.6%
Expected Move4.0%3.0%5.0%3.6%3.0%
HV 20d12.4%10.3%15.8%14.8%12.2%
HV 60d14.4%14.0%14.7%14.3%14.0%
IV Rank15.9%0.8%31.5%10.2%0.8%
IV Percentile21.0%0.8%55.6%8.3%0.8%
Term Structure0.7%-0.6%1.8%0.6%1.7%
VWIV13.2%9.9%15.4%12.3%10.8%
Skew 25d3.6%1.3%4.8%1.6%1.3%
Skew 10d7.1%-1.2%16.2%1.1%-1.2%
Call IV 25d12.1%9.9%14.0%12.1%10.9%
Put IV 25d15.7%12.2%17.4%13.6%12.2%
Bid-Ask Spread %38.0511.8683.4529.3043.16
Gamma HHI0.200.130.260.260.20
Net GEX533.9K129.5K993.4K993.4K817.6K
Net DEX-3.2M-8.2M3.3K-8.2M-5.4M
Net VEX-38.9K-46.1K-31.0K-46.1K-39.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.008.560.504.75
Total Volume185.826166537523
Total OI7,943.5227,5078,5487,6268,548

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$47.11$47.0012.7%3.6%14.8%10.2%12.3%1.6%0.6%993.4K-8.2M-46.1K0.5029.30N/AN/A50255,1572,469
2023-08-02$46.22$47.0015.4%4.4%15.8%22.6%14.9%2.9%-0.4%695.5K-4.8M-44.8K8.5656.78N/AN/A484115,1792,491
2023-08-03$46.05$46.0015.0%4.2%14.2%20.5%15.0%4.2%1.1%619.3K-3.9M-42.9K0.3627.62N/AN/A126455,1772,492
2023-08-04$46.16$46.0014.2%4.2%13.9%17.1%14.5%4.2%0.7%679.6K-4.3M-42.7K0.0144.98N/AN/A21535,1702,504
2023-08-07$46.52$45.0013.1%3.9%14.1%12.1%15.4%4.4%0.7%769.5K-5.7M-44.4K0.3639.73N/AN/A113415,3792,504
2023-08-08$46.24$45.0015.5%4.2%14.0%22.8%15.0%4.0%0.8%758.0K-4.9M-44.0K0.4738.25N/AN/A34165,5052,542
2023-08-09$46.30$45.0014.3%4.1%12.1%17.3%14.1%3.9%0.9%781.2K-5.0M-43.1K0.3337.54N/AN/A1245,5092,546
2023-08-10$46.34$45.0014.5%4.1%10.3%18.2%13.3%3.7%0.8%796.5K-5.2M-41.7K0.4311.86N/AN/A49215,5062,549
2023-08-11$46.11$45.0014.0%4.0%10.3%16.0%11.9%3.2%1.2%725.0K-4.2M-40.5K0.0339.06N/AN/A22575,5582,562
2023-08-14$45.91$45.0013.5%3.9%10.3%13.6%12.4%3.9%1.8%619.3K-2.8M-37.0K0.4442.48N/AN/A170745,4972,563
2023-08-15$45.25$45.0014.4%4.1%10.9%18.1%13.6%4.0%1.0%391.1K-1.2M-36.0K0.3233.50N/AN/A65215,4102,577
2023-08-16$44.98$45.0014.4%4.1%10.9%17.7%13.5%3.0%1.3%281.5K3.3K-33.1K0.2333.24N/AN/A56135,3582,578
2023-08-17$44.61$44.0014.1%4.0%11.0%16.5%14.4%4.8%1.1%241.6K-854.7K-31.0K5.7732.76N/AN/A714105,3952,159
2023-08-18$44.69$44.0014.2%4.1%11.0%17.0%14.9%4.4%0.6%189.1K-237.5K-34.2K1.9238.47N/AN/A1432755,4162,555
2023-08-21$44.80$44.0014.0%4.0%11.2%16.0%12.8%4.3%0.4%129.5K-278.6K-34.3K0.1037.28N/AN/A302294,7442,763
2023-08-22$44.64$44.0013.6%3.9%10.9%14.3%13.3%3.7%0.5%152.6K-55.7K-35.1K0.0037.79N/AN/A11204,9752,788
2023-08-23$45.19$44.0014.3%4.1%12.1%17.4%13.6%3.8%-0.6%336.3K-2.1M-37.6K0.1037.32N/AN/A2125,0612,788
2023-08-24$44.59$44.0013.2%3.8%12.7%12.7%13.0%3.6%0.7%129.9K-451.9K-36.3K0.0629.51N/AN/A192115,0722,787
2023-08-25$44.91$44.0013.0%3.7%12.6%11.4%11.7%3.5%0.5%280.6K-1.1M-34.9K0.2339.15N/AN/A64155,2612,796
2023-08-28$45.30$44.0013.4%3.8%13.2%13.4%11.4%4.3%-0.3%439.9K-2.6M-35.6K0.0331.04N/AN/A6425,2922,811
2023-08-29$45.91$44.0012.2%3.5%13.9%8.1%9.9%4.3%0.4%804.9K-5.2M-37.4K0.0130.78N/AN/A64945,3572,813
2023-08-30$45.86$44.0017.4%5.0%12.2%31.5%11.4%2.1%1.5%647.4K-4.8M-43.0K0.0583.45N/AN/A3925,7272,811
2023-08-31$45.80$44.0010.6%3.0%12.2%0.8%10.8%1.3%1.7%817.6K-5.4M-39.3K4.7543.16N/AN/A4195,7372,811