VEA Options History — September 2023

In September 2023, VEA traded between $43.45 and $45.83. ATM implied volatility averaged 13.6%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.5% (HV 20d: 12.1%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2023-09-18: Highest Volume — 541 contracts
  • 2023-09-13: Largest IV drop — 19.7% change
  • 2023-09-27: Highest IV Rank — 27.3%
  • 2023-09-27: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.87$43.45$45.83$45.78$43.72
Max Pain$44.95$44.00$45.00$44.00$45.00
ATM IV13.6%11.0%16.5%11.3%13.5%
Expected Move3.8%3.2%4.7%3.2%3.9%
HV 20d12.1%10.8%13.0%12.1%11.6%
HV 60d13.5%12.7%13.9%13.9%12.7%
IV Rank14.1%2.7%27.3%3.9%13.6%
IV Percentile22.9%1.2%56.0%2.0%21.8%
Term Structure0.9%0.2%1.9%0.5%1.2%
VWIV12.1%9.2%14.3%9.2%13.6%
Skew 25d3.4%2.7%4.6%4.6%3.0%
Skew 10d7.6%3.1%17.2%3.1%5.5%
Call IV 25d11.5%8.1%13.7%8.1%12.7%
Put IV 25d15.0%12.8%18.1%12.8%15.7%
Bid-Ask Spread %42.8310.6269.7644.0443.54
Gamma HHI0.170.140.320.200.16
Net GEX357.5K-108.4K1.3M817.1K-79.2K
Net DEX-1.3M-5.7M2.8M-5.2M2.3M
Net VEX-33.7K-41.0K-29.1K-39.2K-30.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.005.701.290.03
Total Volume162.8555413934
Total OI7,570.75,5668,9638,5666,655

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$45.78$44.0011.3%3.2%12.1%3.9%9.2%4.6%0.5%817.1K-5.2M-39.2K1.2944.04N/AN/A17225,7382,828
2023-09-05$45.47$45.0013.4%3.8%11.9%13.5%11.6%3.6%1.0%632.0K-3.7M-35.8K0.0025.09N/AN/A505,7312,818
2023-09-06$45.22$45.0012.9%3.8%11.9%11.1%13.2%3.6%0.7%470.6K-2.8M-34.6K0.2153.45N/AN/A3375,7332,818
2023-09-07$45.08$45.0013.0%3.7%11.9%11.6%14.2%3.4%1.9%335.5K-1.8M-32.4K5.7061.27N/AN/A331885,7152,825
2023-09-08$44.98$45.0012.9%3.7%11.9%11.2%11.5%3.3%1.0%252.2K-1.2M-31.8K1.2730.45N/AN/A55705,7173,010
2023-09-11$45.48$45.0015.0%3.6%12.6%20.7%11.8%2.7%1.4%582.1K-3.3M-32.6K0.0750.49N/AN/A153105,6773,015
2023-09-12$45.34$45.0016.5%3.6%12.5%27.3%11.0%2.7%1.4%412.5K-2.7M-31.3K0.0154.84N/AN/A21225,7113,025
2023-09-13$45.19$45.0013.3%3.8%11.5%12.7%11.7%3.1%0.9%212.6K-2.1M-31.9K0.0655.96N/AN/A351225,7483,036
2023-09-14$45.83$45.0011.1%3.2%12.3%3.2%11.4%3.8%1.6%1.3M-5.7M-33.8K0.6759.70N/AN/A85576,0182,864
2023-09-15$45.69$45.0011.0%3.2%11.9%2.7%11.0%3.4%1.7%904.4K-4.6M-33.3K0.1158.07N/AN/A268296,0712,892
2023-09-18$45.20$45.0012.8%3.7%12.6%10.9%10.7%3.4%0.2%357.4K-1.4M-33.5K0.7114.02N/AN/A3172243,4742,092
2023-09-19$45.28$45.0012.7%3.6%12.6%10.3%10.8%4.0%0.5%407.7K-1.6M-35.7K0.1012.97N/AN/A231223,7662,313
2023-09-20$45.14$45.0013.0%3.7%12.6%11.4%11.6%3.1%0.9%372.9K-1.5M-41.0K0.9950.87N/AN/A1851843,9792,332
2023-09-21$44.45$45.0014.4%4.1%13.0%17.8%13.3%3.1%0.3%192.3K188.4K-37.4K0.3410.62N/AN/A71244,1562,506
2023-09-22$44.42$45.0014.4%4.1%12.2%17.9%11.5%3.1%0.7%138.4K771.5K-34.2K0.1339.06N/AN/A1524,1512,505
2023-09-25$44.20$45.0014.2%4.1%11.9%17.1%13.9%3.0%0.9%70.3K1.3M-33.1K0.1721.45N/AN/A4274,1412,503
2023-09-26$43.61$45.0014.7%4.2%12.2%19.3%14.3%4.4%0.6%-68.7K2.6M-30.3K0.2669.76N/AN/A123324,1212,509
2023-09-27$43.45$45.0016.5%4.7%10.8%27.3%11.0%4.4%0.3%-108.4K2.8M-29.1K0.3567.65N/AN/A57204,1072,498
2023-09-28$43.84$45.0014.7%4.2%11.6%19.1%14.3%3.3%0.4%-46.4K1.9M-31.9K0.0033.22N/AN/A4804,0982,518
2023-09-29$43.72$45.0013.5%3.9%11.6%13.6%13.6%3.0%1.2%-79.2K2.3M-30.5K0.0343.54N/AN/A3314,1372,518