VEA Options History — December 2023

In December 2023, VEA traded between $45.88 and $47.97. ATM implied volatility averaged 12.5%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.9% (HV 20d: 11.6%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.23.

Notable Days

  • 2023-12-13: Highest Volume — 2,160 contracts
  • 2023-12-14: Largest IV spike — 57.7% change
  • 2023-12-14: Highest IV Rank — 28.1%
  • 2023-12-14: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.92$45.88$47.97$46.41$47.92
Max Pain$45.40$44.00$46.00$44.00$46.00
ATM IV12.5%10.6%16.7%12.5%11.3%
Expected Move3.5%3.0%4.8%3.6%3.2%
HV 20d11.6%9.4%12.6%12.6%11.9%
HV 60d14.2%13.4%14.5%14.4%13.5%
IV Rank9.5%0.9%28.1%9.5%4.0%
IV Percentile18.6%1.2%74.2%13.1%5.6%
Term Structure1.3%-0.5%2.2%-0.5%1.8%
VWIV11.2%7.4%13.1%12.1%10.3%
Skew 25d2.8%0.6%4.5%3.6%2.2%
Skew 10d7.4%2.0%24.0%7.1%6.3%
Call IV 25d10.2%8.6%11.3%9.5%10.4%
Put IV 25d13.0%11.1%14.5%13.1%12.6%
Bid-Ask Spread %74.3226.2999.9274.7958.78
Gamma HHI0.300.220.580.220.29
Net GEX2.1M1.5M3.8M1.7M2.2M
Net DEX-17.6M-24.1M-11.7M-14.3M-24.0M
Net VEX-51.0K-63.7K-41.0K-45.5K-57.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.250.080.03
Total Volume346.1242,1604136
Total OI9,439.28,12211,4059,2839,434

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$46.41$44.0012.5%3.6%12.6%9.5%12.1%3.6%-0.5%1.7M-14.3M-45.5K0.0874.79N/AN/A3837,0242,259
2023-12-04$46.03$45.0013.6%3.6%12.5%14.4%11.7%3.0%1.1%1.6M-12.5M-44.4K0.0489.32N/AN/A2317,0152,277
2023-12-05$45.88$45.0013.1%3.5%12.4%11.9%12.2%2.8%1.7%1.5M-11.7M-43.4K0.0393.06N/AN/A9837,0232,278
2023-12-06$45.98$45.0012.8%3.7%12.1%11.0%11.6%3.5%0.5%1.6M-12.6M-43.5K0.0593.12N/AN/A5837,0672,279
2023-12-07$46.23$45.0013.2%3.6%11.9%12.7%11.6%3.5%0.5%1.7M-13.3M-43.1K0.0889.98N/AN/A3637,0832,281
2023-12-08$46.30$45.0012.7%3.5%11.9%10.5%12.0%2.6%0.7%1.7M-13.7M-42.5K0.0387.64N/AN/A19557,0882,284
2023-12-11$46.41$45.0015.0%3.5%11.9%20.8%7.4%4.5%1.3%1.8M-13.2M-41.0K0.1481.56N/AN/A170237,0902,292
2023-12-12$46.39$45.0014.8%3.2%11.9%19.6%12.6%3.0%2.1%1.8M-13.1M-41.5K0.9281.55N/AN/A3353077,1422,316
2023-12-13$47.14$45.0010.6%3.0%9.4%0.9%10.7%1.8%2.2%2.0M-16.3M-42.0K0.0196.04N/AN/A2,145157,1692,379
2023-12-14$47.61$45.0016.7%4.8%9.7%28.1%10.5%0.6%1.6%3.8M-24.1M-49.5K0.0199.92N/AN/A47348,9942,380
2023-12-15$47.13$45.0011.0%3.2%10.6%2.8%9.4%2.5%1.7%3.5M-20.4M-52.3K0.4198.73N/AN/A5922459,0162,389
2023-12-18$46.64$46.0011.0%3.1%10.9%2.7%11.1%2.5%1.7%2.2M-15.6M-55.9K1.2580.55N/AN/A2503126,8431,279
2023-12-19$47.09$46.0011.5%3.3%11.2%5.1%11.2%4.4%0.9%2.2M-18.7M-58.0K0.3656.54N/AN/A6282237,0921,386
2023-12-20$46.75$46.0011.9%3.4%11.3%6.7%11.1%2.5%1.4%2.3M-17.4M-63.7K0.3458.70N/AN/A119407,6161,591
2023-12-21$47.31$46.0012.2%3.5%11.9%7.9%13.1%2.9%1.1%2.2M-20.2M-63.1K0.2957.19N/AN/A41127,6001,627
2023-12-22$47.47$46.0011.8%3.4%11.8%6.2%10.5%1.9%1.8%2.2M-21.0M-62.0K0.1359.89N/AN/A2337,6371,625
2023-12-26$47.73$46.0011.5%3.3%11.8%5.0%10.6%3.0%1.5%2.2M-22.7M-58.1K0.0352.15N/AN/A14447,6441,622
2023-12-27$47.95$46.0011.3%3.2%11.9%3.8%11.7%2.2%1.4%2.2M-24.0M-56.2K0.2950.55N/AN/A3197,6991,624
2023-12-28$47.97$46.0011.9%3.4%11.9%6.6%11.8%3.1%1.4%2.1M-23.6M-56.7K0.0026.29N/AN/A27117,7121,628
2023-12-29$47.92$46.0011.3%3.2%11.9%4.0%10.3%2.2%1.8%2.2M-24.0M-57.5K0.0358.78N/AN/A3517,8051,629