VEA Options History — May 2024

In May 2024, VEA traded between $48.61 and $51.16. ATM implied volatility averaged 11.5%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.6% (HV 20d: 10.9%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2024-05-24: Highest Volume — 277 contracts
  • 2024-05-13: Largest IV spike — 41.0% change
  • 2024-05-14: Highest IV Rank — 55.4%
  • 2024-05-01: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.31$48.61$51.16$48.61$50.58
Max Pain$47.14$47.00$48.00$48.00$47.00
ATM IV11.5%7.1%14.9%14.9%10.2%
Expected Move3.5%2.6%4.3%4.3%2.9%
HV 20d10.9%8.9%13.5%12.6%10.8%
HV 60d11.0%10.5%11.7%11.4%11.0%
IV Rank32.3%0.0%55.4%54.1%25.3%
IV Percentile22.1%0.0%81.3%81.3%2.8%
Term Structure0.2%-4.5%16.2%0.7%-3.5%
VWIV11.3%6.7%14.4%13.2%9.4%
Skew 25d1.8%-5.5%6.4%-1.9%-2.9%
Skew 10d1.4%-4.8%5.2%-1.1%2.5%
Call IV 25d10.0%6.3%14.6%14.6%11.9%
Put IV 25d11.8%7.9%15.0%12.7%9.0%
Bid-Ask Spread %104.8197.99111.27102.44109.34
Gamma HHI0.220.180.240.180.22
Net GEX1.1M878.6K1.3M878.6K1.2M
Net DEX-12.6M-16.6M-7.2M-7.2M-12.0M
Net VEX-27.9K-34.6K-23.1K-34.6K-23.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.005.200.930.08
Total Volume83.091132775669
Total OI6,024.7735,6996,2765,9055,989

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$48.61$48.0014.9%4.3%12.6%54.1%13.2%-1.9%0.7%878.6K-7.2M-34.6K0.93102.44N/AN/A29274,3931,512
2024-05-02$49.06$48.0014.1%4.0%12.9%45.9%12.6%2.8%-0.5%1.0M-8.6M-33.7K0.1397.99N/AN/A2434,4131,535
2024-05-03$49.53$48.0011.1%3.2%13.4%15.3%12.5%1.1%-0.4%1.1M-9.7M-32.9K0.01100.32N/AN/A13914,4241,534
2024-05-06$49.89$47.0011.8%3.8%13.5%22.3%11.1%4.1%1.6%1.2M-11.7M-31.4K0.00102.66N/AN/A11804,4781,534
2024-05-07$50.00$47.0011.7%4.1%13.5%21.4%10.1%4.3%-1.8%1.2M-11.9M-32.7K0.09101.11N/AN/A3334,5341,534
2024-05-08$49.95$47.0011.4%3.6%12.4%17.8%0.0%6.3%2.0%1.3M-12.5M-30.7K0.00104.93N/AN/A2704,5621,534
2024-05-09$50.30$47.007.1%3.9%12.5%0.0%14.1%6.4%-0.8%1.2M-13.3M-31.4K0.39105.18N/AN/A33134,5861,534
2024-05-10$50.34$47.008.5%3.9%10.3%11.4%8.0%5.7%-1.7%1.2M-13.7M-29.6K0.03105.24N/AN/A6224,5991,523
2024-05-13$50.33$47.0012.0%3.9%10.1%40.2%12.4%5.7%-0.9%1.2M-13.5M-30.0K0.24105.31N/AN/A58144,6031,521
2024-05-14$50.66$47.0013.9%2.6%9.4%55.4%13.8%0.8%3.4%1.2M-14.9M-27.1K0.23108.43N/AN/A52124,6141,534
2024-05-15$51.16$47.0011.3%3.3%9.6%34.7%10.0%0.7%0.9%1.1M-16.6M-23.8K0.03109.31N/AN/A10034,6241,545
2024-05-16$50.92$47.0012.1%3.5%9.9%40.8%11.2%0.4%16.2%1.0M-15.8M-25.8K0.13103.21N/AN/A150194,6441,550
2024-05-17$51.09$47.0010.8%3.1%9.8%30.2%9.4%3.5%0.7%1.2M-16.6M-23.9K0.0299.61N/AN/A4314,7151,561
2024-05-20$51.14$47.0012.4%3.6%9.2%43.6%10.6%5.2%-1.6%965.0K-14.7M-23.9K0.86102.25N/AN/A1351164,2381,461
2024-05-21$51.03$47.0011.7%3.4%8.9%37.6%6.7%5.1%-4.5%971.9K-14.1M-23.4K0.12107.93N/AN/A115144,2531,575
2024-05-22$50.50$47.0012.3%3.5%9.7%42.6%10.5%-5.5%-4.4%999.2K-11.8M-27.9K0.89104.81N/AN/A19174,3581,588
2024-05-23$50.25$47.0010.7%3.1%9.8%29.1%12.2%-1.3%-0.5%1.0M-11.7M-26.9K5.20111.27N/AN/A5264,3701,601
2024-05-24$50.69$47.0010.4%3.0%10.0%27.0%14.4%-1.2%1.4%1.1M-12.9M-24.5K0.01105.38N/AN/A27524,3691,620
2024-05-28$50.66$47.0012.5%3.6%9.9%44.3%11.5%1.0%-2.3%1.1M-12.5M-25.0K0.04102.41N/AN/A2414,3711,625
2024-05-29$49.88$47.0011.5%3.3%10.8%36.2%10.2%0.2%-1.8%1.1M-9.9M-25.3K1.07106.21N/AN/A15164,3831,626
2024-05-30$50.20$47.0011.6%3.3%10.9%36.5%13.3%-1.0%2.0%1.0M-10.6M-26.5K0.00110.46N/AN/A1304,3461,632
2024-05-31$50.58$47.0010.2%2.9%10.8%25.3%9.4%-2.9%-3.5%1.2M-12.0M-23.1K0.08109.34N/AN/A6454,3571,632