VEA Options History — February 2024

In February 2024, VEA traded between $46.86 and $48.84. ATM implied volatility averaged 12.8%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.2% (HV 20d: 11.6%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2024-02-13: Highest Volume — 468 contracts
  • 2024-02-22: Largest IV drop — 13.9% change
  • 2024-02-20: Highest IV Rank — 15.5%
  • 2024-02-20: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.99$46.86$48.84$47.86$48.64
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV12.8%11.6%13.9%12.5%12.8%
Expected Move3.7%3.3%4.0%3.7%3.7%
HV 20d11.6%11.0%12.1%11.6%11.7%
HV 60d11.8%10.8%12.0%12.0%11.7%
IV Rank10.5%5.4%15.5%9.3%11.0%
IV Percentile27.0%10.3%51.2%17.9%26.6%
Term Structure1.8%-1.0%18.8%2.4%-1.0%
VWIV13.0%9.5%16.3%13.6%14.0%
Skew 25d2.5%1.3%3.7%3.0%1.9%
Skew 10d4.6%-2.8%9.4%9.4%-2.8%
Call IV 25d11.6%10.6%12.5%11.5%12.2%
Put IV 25d14.1%12.0%15.9%14.6%14.1%
Bid-Ask Spread %85.5479.8691.7684.3987.46
Gamma HHI0.240.200.520.210.23
Net GEX1.5M1.2M2.9M1.5M1.3M
Net DEX-15.0M-17.9M-9.8M-15.2M-17.0M
Net VEX-41.1K-49.1K-34.0K-49.1K-35.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.012.160.910.04
Total Volume136.82646865102
Total OI8,534.358,0408,8948,6328,431

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$47.86$45.0012.5%3.7%11.6%9.3%13.6%3.0%2.4%1.5M-15.2M-49.1K0.9184.39N/AN/A34316,0942,538
2024-02-02$47.52$45.0012.2%3.6%11.9%8.0%13.7%3.0%1.4%1.6M-13.7M-48.8K2.1683.29N/AN/A32696,1222,568
2024-02-05$47.27$45.0013.8%3.9%12.1%15.3%15.2%2.7%1.2%1.5M-12.3M-48.3K1.8285.39N/AN/A17316,1232,630
2024-02-06$47.45$45.0013.4%3.8%11.7%13.4%12.3%2.9%1.8%1.6M-13.4M-46.5K0.0886.30N/AN/A2426,1102,645
2024-02-07$47.56$45.0012.0%3.5%11.2%7.4%11.1%2.9%2.0%1.6M-14.0M-46.0K0.5487.52N/AN/A72396,1222,644
2024-02-08$47.47$45.0013.1%3.8%11.1%12.2%13.2%2.3%2.0%1.6M-13.5M-45.6K0.4281.85N/AN/A43186,1722,646
2024-02-09$47.61$45.0012.0%3.4%11.1%7.3%12.0%1.8%1.6%1.8M-14.4M-44.8K0.0683.52N/AN/A5136,1932,656
2024-02-12$47.77$45.0012.7%3.6%11.0%10.1%12.0%2.3%0.8%1.8M-15.0M-43.3K0.1383.49N/AN/A6286,2082,653
2024-02-13$46.86$45.0013.4%3.8%11.3%13.4%12.1%3.4%1.3%1.5M-9.8M-44.6K0.0580.85N/AN/A447216,2372,657
2024-02-14$47.47$45.0013.3%3.8%11.3%12.8%16.3%3.3%1.3%1.6M-12.7M-40.7K0.0184.84N/AN/A15615,8272,662
2024-02-15$48.00$45.0013.3%3.8%11.6%13.0%12.8%2.5%18.8%1.8M-15.7M-40.9K0.0184.56N/AN/A22335,9052,663
2024-02-16$48.08$45.0012.6%3.6%11.5%9.9%11.9%2.6%0.6%2.9M-16.4M-39.9K0.0485.28N/AN/A22485,8882,660
2024-02-20$48.22$45.0013.9%4.0%11.5%15.5%12.9%2.9%-0.5%1.2M-14.8M-38.6K0.2179.86N/AN/A85185,4292,611
2024-02-21$48.22$45.0013.8%4.0%11.5%15.1%14.9%3.7%1.5%1.3M-15.1M-37.8K1.3390.41N/AN/A12165,5062,627
2024-02-22$48.78$45.0011.9%3.4%11.8%6.6%12.3%2.4%0.6%1.2M-17.6M-34.5K0.1886.81N/AN/A94175,5212,652
2024-02-23$48.84$45.0011.6%3.3%11.8%5.4%9.5%1.4%0.8%1.2M-17.9M-34.3K0.0684.60N/AN/A339205,5612,663
2024-02-26$48.78$45.0011.7%3.3%11.8%5.7%14.5%1.5%0.7%1.2M-17.7M-34.2K0.0687.46N/AN/A232155,6122,673
2024-02-27$48.83$45.0012.3%3.5%11.7%8.7%12.9%2.5%-0.2%1.3M-17.7M-34.0K0.0191.11N/AN/A11415,6662,678
2024-02-28$48.55$45.0012.7%3.6%12.0%10.2%12.5%1.3%-0.7%1.3M-16.9M-35.2K0.5891.76N/AN/A33195,7562,678
2024-02-29$48.64$45.0012.8%3.7%11.7%11.0%14.0%1.9%-1.0%1.3M-17.0M-35.1K0.0487.46N/AN/A9845,7502,681