VEA Options History — January 2024

In January 2024, VEA traded between $46.19 and $47.69. ATM implied volatility averaged 13.1%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.7% (HV 20d: 12.4%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2024-01-23: Highest Volume — 1,068 contracts
  • 2024-01-08: Largest IV drop — 17.0% change
  • 2024-01-17: Highest IV Rank — 20.2%
  • 2024-01-17: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.15$46.19$47.69$47.34$47.38
Max Pain$46.00$46.00$46.00$46.00$46.00
ATM IV13.1%10.7%14.9%13.3%14.3%
Expected Move3.8%3.5%4.3%3.8%4.1%
HV 20d12.4%11.4%13.2%12.4%11.4%
HV 60d13.3%12.1%13.7%13.7%12.1%
IV Rank12.1%1.4%20.2%13.0%17.5%
IV Percentile30.1%1.6%61.9%30.6%54.8%
Term Structure0.1%-0.8%0.9%0.9%-0.7%
VWIV12.7%10.8%13.5%12.9%13.2%
Skew 25d3.1%1.9%3.9%3.8%1.9%
Skew 10d7.2%1.2%12.3%3.8%1.2%
Call IV 25d11.8%10.3%13.3%10.3%13.3%
Put IV 25d14.9%14.0%16.7%14.1%15.2%
Bid-Ask Spread %82.7031.3993.6858.4485.09
Gamma HHI0.320.200.620.320.21
Net GEX2.4M1.4M5.2M2.4M1.5M
Net DEX-15.8M-22.0M-9.9M-20.6M-13.2M
Net VEX-54.9K-61.7K-49.3K-58.4K-49.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.004.884.880.35
Total Volume190.8181,06829466
Total OI9,472.5248,40510,6809,4388,588

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$47.34$46.0013.3%3.8%12.4%13.0%12.9%3.8%0.9%2.4M-20.6M-58.4K4.8858.44N/AN/A502447,8091,629
2024-01-03$47.03$46.0013.2%3.8%12.3%12.4%13.2%3.5%0.7%2.5M-17.6M-61.7K0.2982.39N/AN/A69207,8311,868
2024-01-04$47.14$46.0012.9%4.0%12.2%11.1%11.2%3.9%0.0%2.6M-18.3M-60.3K0.0084.76N/AN/A31517,8441,884
2024-01-05$47.14$46.0012.9%3.8%12.2%11.1%12.4%3.1%0.6%2.7M-18.6M-61.2K0.2487.88N/AN/A3487,9951,885
2024-01-08$47.59$46.0010.7%3.5%12.5%1.4%13.2%3.1%0.7%2.7M-21.6M-57.5K0.0392.67N/AN/A12848,0281,888
2024-01-09$47.16$46.0012.3%3.8%13.0%8.5%12.5%2.9%0.8%3.1M-19.3M-59.3K0.6087.78N/AN/A538,1491,888
2024-01-10$47.42$46.0013.4%3.8%13.1%13.2%12.4%3.4%0.3%3.0M-21.4M-57.1K0.0088.59N/AN/A1408,1521,889
2024-01-11$47.34$46.0013.1%3.8%13.1%12.1%11.4%2.9%0.2%3.3M-20.6M-56.7K0.2582.76N/AN/A1238,1631,889
2024-01-12$47.56$46.0012.2%3.5%12.0%8.1%10.8%3.0%0.5%3.2M-22.0M-55.7K0.0989.71N/AN/A3238,1691,954
2024-01-16$46.70$46.0013.6%3.9%13.1%14.2%13.5%3.8%0.0%3.8M-14.1M-53.3K0.8987.21N/AN/A1771588,1931,957
2024-01-17$46.19$46.0014.9%4.3%13.2%20.2%13.4%3.8%-0.8%2.0M-9.9M-51.0K2.1984.86N/AN/A1603518,1842,024
2024-01-18$46.59$46.0013.0%3.7%13.1%11.6%12.6%3.8%0.2%2.6M-11.4M-53.4K0.1190.53N/AN/A3648,2862,379
2024-01-19$46.77$46.0013.1%3.8%12.7%12.2%13.1%3.0%0.1%5.2M-12.7M-53.1K0.0893.68N/AN/A7268,2992,381
2024-01-22$46.89$46.0013.6%3.9%12.5%14.4%13.1%3.7%-0.6%1.4M-12.3M-51.8K1.4681.31N/AN/A2854176,2162,226
2024-01-23$46.80$46.0012.9%3.7%11.7%11.0%12.4%3.3%-0.1%1.6M-12.0M-55.8K0.0185.67N/AN/A1,06086,4832,490
2024-01-24$47.16$46.0013.4%3.8%12.0%13.5%12.8%2.3%-0.2%1.4M-12.1M-52.9K0.1282.58N/AN/A6685,9142,491
2024-01-25$47.20$46.0013.8%3.9%11.8%15.0%12.6%2.5%-0.5%1.4M-12.2M-52.4K0.3631.39N/AN/A1455,9572,488
2024-01-26$47.42$46.0013.2%3.8%11.8%12.7%12.7%2.4%-0.2%1.4M-13.3M-51.4K0.0084.35N/AN/A1105,9682,490
2024-01-29$47.69$46.0013.0%3.7%12.0%11.5%13.4%2.6%-0.3%1.4M-14.5M-50.5K0.9585.30N/AN/A41395,9722,490
2024-01-30$47.64$46.0012.7%3.6%12.0%10.1%13.0%2.7%-0.2%1.5M-14.3M-49.3K0.1889.82N/AN/A66126,0082,525
2024-01-31$47.38$46.0014.3%4.1%11.4%17.5%13.2%1.9%-0.7%1.5M-13.2M-49.4K0.3585.09N/AN/A49176,0572,531