VEA Options History — March 2024

In March 2024, VEA traded between $48.89 and $50.22. ATM implied volatility averaged 12.1%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.1% (HV 20d: 11.0%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.40.

Notable Days

  • 2024-03-07: Highest Volume — 661 contracts
  • 2024-03-18: Largest IV spike — 25.2% change
  • 2024-03-11: Highest IV Rank — 29.4%
  • 2024-03-05: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.76$48.89$50.22$49.16$50.19
Max Pain$48.80$45.00$49.00$45.00$49.00
ATM IV12.1%9.7%17.0%12.8%10.0%
Expected Move3.3%2.8%3.7%3.7%2.9%
HV 20d11.0%9.9%12.9%11.8%10.0%
HV 60d11.6%10.9%12.2%11.7%10.9%
IV Rank10.7%0.0%29.4%10.6%3.5%
IV Percentile24.0%0.0%89.3%26.2%0.8%
Term Structure1.2%-2.7%3.3%-2.7%0.7%
VWIV11.3%9.7%13.7%13.7%9.7%
Skew 25d1.1%-3.0%4.3%-1.3%2.0%
Skew 10d5.7%-1.4%40.8%40.8%2.9%
Call IV 25d10.6%7.4%12.9%12.9%8.8%
Put IV 25d11.7%8.0%16.0%11.6%10.8%
Bid-Ask Spread %94.4279.27107.8779.2786.25
Gamma HHI0.250.190.410.240.26
Net GEX1.1M715.9K1.6M1.2M1.1M
Net DEX-15.7M-23.5M-8.1M-19.1M-11.5M
Net VEX-35.0K-40.0K-27.2K-30.8K-37.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.0015.000.0415.00
Total Volume238.1524661175112
Total OI7,247.454,6619,5738,4095,612

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$49.16$45.0012.8%3.7%11.8%10.6%13.7%-1.3%-2.7%1.2M-19.1M-30.8K0.0479.27N/AN/A16965,7252,684
2024-03-04$49.09$49.0013.3%3.3%11.4%13.1%13.0%-0.9%2.2%1.2M-18.8M-31.5K0.0595.94N/AN/A183105,8142,688
2024-03-05$48.89$49.0014.9%3.7%11.3%20.2%12.3%1.2%1.1%1.3M-18.5M-31.4K0.1295.82N/AN/A101125,8192,696
2024-03-06$49.53$49.0013.7%3.4%12.0%14.9%10.3%4.3%2.8%1.1M-20.4M-31.7K0.02107.87N/AN/A28375,8562,709
2024-03-07$50.13$49.0011.8%3.5%12.5%6.1%13.3%-0.7%2.4%1.4M-23.2M-27.2K0.01100.93N/AN/A65745,9952,713
2024-03-08$49.97$49.0013.6%3.5%12.6%14.5%12.3%4.2%1.2%1.3M-23.5M-32.6K0.1395.90N/AN/A232306,4672,713
2024-03-11$49.72$49.0017.0%3.6%12.8%29.4%11.9%-0.2%2.4%1.4M-22.4M-32.7K3.58101.67N/AN/A642296,5752,723
2024-03-12$50.06$49.0014.1%3.4%12.9%16.4%11.5%1.6%2.8%1.2M-22.7M-31.7K0.01105.57N/AN/A38946,5762,948
2024-03-13$50.11$49.0011.3%3.2%10.2%3.9%9.8%2.9%1.7%1.6M-22.3M-34.8K0.00105.41N/AN/A63906,6262,947
2024-03-14$49.66$49.0012.6%3.6%10.4%16.3%10.9%-3.0%0.9%715.9K-18.2M-33.4K0.12105.27N/AN/A337416,1562,947
2024-03-15$49.42$49.0010.1%2.9%10.1%0.0%11.6%-0.9%3.3%748.5K-8.1M-37.9K0.20103.09N/AN/A118244,1362,971
2024-03-18$49.50$49.0012.7%3.6%10.1%24.5%11.5%2.3%0.2%833.2K-9.5M-35.3K1.9284.92N/AN/A2164143,6441,017
2024-03-19$49.53$49.0011.3%3.2%10.1%11.2%11.6%2.1%-0.2%871.6K-9.7M-39.7K0.0886.80N/AN/A3733,8571,414
2024-03-20$50.08$49.0011.0%3.2%10.7%8.7%11.1%1.6%-1.3%850.0K-10.9M-40.0K0.4790.37N/AN/A45213,8811,417
2024-03-21$50.14$49.009.9%2.8%10.1%0.0%11.0%1.0%2.3%957.3K-11.4M-37.1K0.0490.63N/AN/A20183,9161,424
2024-03-22$49.94$49.0010.0%2.9%10.2%0.8%10.3%1.3%1.4%997.3K-11.0M-38.7K5.3694.24N/AN/A11594,0831,430
2024-03-25$49.94$49.0010.8%3.1%10.2%8.6%10.3%2.0%2.0%972.4K-10.7M-39.9K0.3386.54N/AN/A1864,0871,489
2024-03-26$50.00$49.009.7%2.8%10.2%0.0%10.7%0.5%2.2%1.0M-11.0M-37.9K0.3785.44N/AN/A35134,0991,494
2024-03-27$50.22$49.0010.8%3.1%9.9%11.6%10.0%2.8%-1.9%1.0M-11.7M-38.0K0.1486.39N/AN/A2234,1041,497
2024-03-28$50.19$49.0010.0%2.9%10.0%3.5%9.7%2.0%0.7%1.1M-11.5M-37.9K15.0086.25N/AN/A71054,1121,500