VEA Options History — November 2023

In November 2023, VEA traded between $42.66 and $45.97. ATM implied volatility averaged 12.9%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 2.6% (HV 20d: 15.5%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2023-11-17: Highest Volume — 711 contracts
  • 2023-11-21: Largest IV spike — 20.8% change
  • 2023-11-06: Highest IV Rank — 18.8%
  • 2023-11-03: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.77$42.66$45.97$42.66$45.91
Max Pain$43.95$43.00$44.00$43.00$44.00
ATM IV12.9%11.0%14.6%14.6%12.0%
Expected Move3.7%3.2%4.3%4.2%3.4%
HV 20d15.5%14.0%17.7%14.4%14.0%
HV 60d14.3%13.1%15.0%13.1%14.3%
IV Rank11.3%2.9%18.8%18.7%7.1%
IV Percentile17.9%1.6%40.5%38.9%9.1%
Term Structure0.5%-0.6%1.2%0.5%0.0%
VWIV12.6%9.2%14.9%14.6%11.9%
Skew 25d3.2%1.9%4.5%3.6%1.9%
Skew 10d6.2%-0.4%12.7%4.5%-0.4%
Call IV 25d11.5%9.8%13.3%13.3%11.3%
Put IV 25d14.7%12.5%16.9%16.9%13.2%
Bid-Ask Spread %41.2712.0578.9713.7157.51
Gamma HHI0.190.150.250.150.22
Net GEX1.0M145.3K1.6M145.3K1.5M
Net DEX-7.8M-12.5M65.6K65.6K-12.0M
Net VEX-41.9K-46.8K-31.4K-31.4K-45.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.002.690.000.75
Total Volume179.191471110414
Total OI8,584.0957,3949,2807,3949,280

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$42.66$43.0014.6%4.2%14.4%18.7%14.6%3.6%0.5%145.3K65.6K-31.4K0.0013.71N/AN/A10405,2102,184
2023-11-02$43.61$44.0013.9%4.1%16.1%15.5%12.7%4.5%1.2%488.0K-2.9M-35.8K0.1224.59N/AN/A143175,4072,183
2023-11-03$44.22$44.0014.0%4.3%16.4%16.1%14.2%4.0%0.5%699.4K-5.1M-38.3K0.2574.93N/AN/A271685,4412,170
2023-11-06$44.03$44.0014.6%4.2%16.5%18.8%12.8%3.9%1.0%677.5K-4.5M-37.3K0.0476.58N/AN/A7635,6292,166
2023-11-07$43.78$44.0014.0%4.1%15.9%15.9%12.7%3.8%0.3%600.8K-3.5M-35.8K0.4578.97N/AN/A2095,6652,167
2023-11-08$43.63$44.0013.7%3.9%15.9%14.8%12.1%3.5%1.2%559.6K-3.0M-35.3K0.0823.51N/AN/A230185,6872,168
2023-11-09$43.61$44.0013.6%3.9%15.5%14.4%13.2%2.9%0.6%617.6K-3.3M-37.3K0.0074.90N/AN/A58425,9062,182
2023-11-10$43.83$44.0013.3%3.8%15.2%12.7%12.7%3.2%1.1%786.0K-4.4M-41.8K0.1518.90N/AN/A71116,4892,183
2023-11-13$43.92$44.0013.3%3.8%15.0%13.0%12.0%3.3%0.9%848.0K-4.9M-41.0K0.3614.50N/AN/A42156,5212,185
2023-11-14$45.11$44.0013.5%3.9%17.7%13.9%13.7%3.7%0.5%1.2M-9.8M-43.0K0.1846.25N/AN/A289536,5382,184
2023-11-15$45.03$44.0013.1%3.8%16.4%12.0%13.6%3.5%0.7%1.2M-9.9M-44.4K0.2216.61N/AN/A114256,7222,223
2023-11-16$44.94$44.0012.5%3.6%15.9%9.3%12.4%3.6%0.8%1.2M-9.3M-44.0K0.1312.05N/AN/A235316,7442,243
2023-11-17$45.47$44.0012.3%3.5%15.8%8.6%12.3%3.0%0.4%1.1M-11.7M-44.1K0.0222.16N/AN/A698136,8372,243
2023-11-20$45.75$44.0011.0%3.2%15.7%2.9%10.9%2.2%0.6%1.4M-11.4M-46.5K0.1512.88N/AN/A136206,6622,165
2023-11-21$45.50$44.0013.3%3.8%16.1%13.2%12.2%2.6%-0.6%1.3M-10.5M-46.7K2.6926.80N/AN/A16436,7872,181
2023-11-22$45.59$44.0011.6%3.3%15.4%5.2%11.7%2.9%-0.2%1.3M-10.5M-46.5K0.0461.31N/AN/A21586,8002,212
2023-11-24$45.88$44.0011.2%3.2%14.8%3.7%9.2%2.9%0.1%1.5M-12.0M-46.8K2.0031.62N/AN/A16326,9652,208
2023-11-27$45.81$44.0011.8%3.4%14.6%6.3%12.8%2.7%0.3%1.5M-11.6M-45.9K0.4065.87N/AN/A40166,9732,239
2023-11-28$45.86$44.0011.9%3.4%14.1%6.7%14.9%2.8%-0.1%1.5M-11.8M-46.5K0.5865.63N/AN/A31187,0042,242
2023-11-29$45.97$44.0012.2%3.5%14.1%8.2%11.9%1.9%-0.1%1.6M-12.5M-46.2K0.3347.29N/AN/A1247,0152,256
2023-11-30$45.91$44.0012.0%3.4%14.0%7.1%11.9%1.9%0.0%1.5M-12.0M-45.4K0.7557.51N/AN/A867,0232,257