VEA Options History — April 2024

In April 2024, VEA traded between $47.78 and $49.97. ATM implied volatility averaged 14.0%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.3% (HV 20d: 10.7%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2024-04-22: Highest Volume — 396 contracts
  • 2024-04-26: Largest IV drop — 21.3% change
  • 2024-04-17: Highest IV Rank — 94.0%
  • 2024-04-17: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.94$47.78$49.97$49.97$48.55
Max Pain$48.82$48.00$50.00$50.00$48.00
ATM IV14.0%11.6%18.7%11.7%14.0%
Expected Move4.0%3.3%5.4%3.4%4.0%
HV 20d10.7%8.4%12.9%9.6%12.9%
HV 60d11.1%10.6%11.4%10.8%11.4%
IV Rank45.0%20.0%94.0%21.4%44.9%
IV Percentile57.6%14.3%98.8%15.5%68.3%
Term Structure0.4%-3.0%1.8%-0.4%-0.2%
VWIV13.3%8.9%17.2%11.0%14.1%
Skew 25d3.2%-1.2%8.6%1.2%1.7%
Skew 10d2.2%-2.0%11.1%1.0%4.8%
Call IV 25d11.7%7.2%15.0%10.6%13.9%
Put IV 25d14.9%9.2%20.2%11.8%15.6%
Bid-Ask Spread %99.0588.35105.6188.61103.48
Gamma HHI0.200.150.250.250.19
Net GEX792.1K322.5K1.1M983.9K910.7K
Net DEX-7.5M-11.0M-3.6M-10.6M-7.2M
Net VEX-36.9K-40.3K-34.0K-37.0K-34.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.003.000.190.17
Total Volume7743961914
Total OI5,895.0455,3966,0725,7185,897

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-04-01$49.97$50.0011.7%3.4%9.6%21.4%11.0%1.2%-0.4%983.9K-10.6M-37.0K0.1988.61N/AN/A1634,1131,605
2024-04-02$49.61$50.0012.1%3.5%10.0%25.1%12.3%1.9%1.6%948.8K-9.4M-38.6K0.3188.35N/AN/A96304,1241,606
2024-04-03$49.94$50.0011.6%3.3%10.0%20.0%12.1%1.2%0.8%1.0M-11.0M-37.1K0.0092.41N/AN/A1004,2121,635
2024-04-04$49.55$49.0013.4%3.7%9.4%38.4%13.0%2.1%0.9%911.6K-9.3M-39.3K0.05102.05N/AN/A2014,2181,635
2024-04-05$49.69$49.0012.8%3.6%8.4%32.9%15.6%6.0%1.3%932.8K-9.4M-40.3K0.03103.73N/AN/A19054,2301,635
2024-04-08$49.97$49.0012.9%3.8%8.6%33.4%11.5%2.9%0.9%1.0M-10.5M-40.1K0.0099.15N/AN/A2104,3951,636
2024-04-09$49.91$49.0013.1%3.7%8.4%35.3%0.0%-0.6%0.9%1.1M-10.8M-38.8K0.00101.76N/AN/A2604,3971,636
2024-04-10$49.20$49.0013.8%4.0%9.5%43.3%9.5%8.5%1.8%908.3K-8.4M-38.2K0.12102.34N/AN/A130164,4201,636
2024-04-11$49.44$49.0013.1%3.8%9.7%36.2%13.3%2.8%0.1%981.2K-8.8M-39.5K0.0099.22N/AN/A6504,4191,601
2024-04-12$48.56$49.0013.8%4.0%11.1%43.2%15.4%5.2%0.8%684.6K-5.8M-37.3K2.5297.22N/AN/A401014,3711,601
2024-04-15$48.34$49.0016.4%4.7%11.1%70.2%14.8%1.5%0.4%541.4K-5.0M-37.3K0.3893.83N/AN/A2494,3721,700
2024-04-16$47.92$49.0016.0%4.6%11.4%65.7%16.6%2.9%1.5%422.4K-4.1M-35.8K2.9196.43N/AN/A33964,3901,669
2024-04-17$47.89$49.0018.7%5.4%11.3%94.0%14.3%8.6%-0.7%364.5K-3.9M-35.5K0.1799.44N/AN/A1834,3761,670
2024-04-18$47.84$49.0015.4%4.4%10.3%59.2%14.6%3.6%-1.2%356.1K-3.6M-34.6K3.0097.76N/AN/A134,3811,671
2024-04-19$47.78$49.0015.0%4.3%10.2%56.0%15.1%4.7%-0.8%322.5K-4.2M-34.1K0.0199.97N/AN/A15024,3821,615
2024-04-22$48.38$48.0015.1%4.3%11.5%56.3%13.9%4.0%1.1%663.6K-5.5M-34.2K0.0494.49N/AN/A380163,9091,487
2024-04-23$48.89$48.0012.9%3.7%12.3%33.4%11.3%5.2%1.7%833.6K-7.4M-36.4K0.04102.25N/AN/A7134,2051,503
2024-04-24$48.72$48.0014.0%4.0%12.3%45.5%8.9%4.7%0.3%866.9K-7.3M-36.4K0.00104.17N/AN/A2404,2941,506
2024-04-25$48.53$48.0016.0%4.6%12.1%65.6%17.2%0.8%-3.0%807.8K-6.6M-36.5K2.00105.61N/AN/A364,3171,506
2024-04-26$48.88$48.0012.6%3.6%12.5%30.1%10.7%-1.2%0.5%890.7K-8.2M-36.3K0.11103.26N/AN/A4754,3171,507
2024-04-29$49.09$48.0013.5%3.9%12.6%39.6%13.4%3.1%-0.1%986.0K-8.9M-35.5K0.23103.60N/AN/A1334,3831,509
2024-04-30$48.55$48.0014.0%4.0%12.9%44.9%14.1%1.7%-0.2%910.7K-7.2M-34.0K0.17103.48N/AN/A1224,3861,511