VEA Options History — June 2024

In June 2024, VEA traded between $49.09 and $51.16. ATM implied volatility averaged 11.7%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 0.6% (HV 20d: 12.3%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.20.

Notable Days

2024-06-06: Highest Volume — 445 contracts
2024-06-28: Largest IV spike — 60.4% change
2024-06-28: Highest IV Rank — 64.3%
2024-06-28: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.03	$49.09	$51.16	$50.84	$49.34
Max Pain	$49.53	$47.00	$50.00	$47.00	$50.00
ATM IV	11.7%	8.2%	14.9%	13.7%	14.9%
Expected Move	3.1%	2.3%	4.3%	3.9%	4.3%
HV 20d	12.3%	10.3%	14.1%	10.5%	12.7%
HV 60d	11.5%	10.8%	12.3%	10.8%	12.1%
IV Rank	37.7%	8.5%	64.3%	54.5%	64.3%
IV Percentile	31.2%	0.4%	84.1%	67.1%	84.1%
Term Structure	1.4%	-5.8%	7.5%	-5.8%	-1.6%
VWIV	11.1%	7.2%	20.7%	13.6%	9.7%
Skew 25d	1.0%	-1.6%	2.7%	1.3%	0.4%
Skew 10d	1.8%	-3.7%	6.4%	4.2%	4.0%
Call IV 25d	8.8%	6.8%	11.7%	8.8%	8.8%
Put IV 25d	9.9%	7.9%	14.4%	10.2%	9.2%
Bid-Ask Spread %	109.20	97.29	118.96	106.58	106.91
Gamma HHI	0.21	0.16	0.29	0.23	0.17
Net GEX	855.2K	236.2K	1.3M	1.1M	411.1K
Net DEX	-8.3M	-14.5M	-1.0M	-13.0M	-3.3M
Net VEX	-22.2K	-25.4K	-19.4K	-23.8K	-21.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	0.78	0.02	0.00
Total Volume	130.158	16	445	42	90
Total OI	5,132.632	2,578	6,061	6,012	3,035

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2024-06-03	$50.84	$47.00	13.7%	3.9%	10.5%	54.5%	13.6%	1.3%	-5.8%	1.1M	-13.0M	-23.8K	0.02	106.58	N/A	N/A	41	1	4,375	1,637
2024-06-04	$50.69	$47.00	12.6%	3.6%	10.3%	45.4%	14.8%	2.6%	0.1%	1.2M	-12.8M	-23.0K	0.33	109.08	N/A	N/A	21	7	4,412	1,638
2024-06-05	$51.00	$47.00	11.9%	3.4%	10.5%	38.9%	7.2%	2.0%	-3.7%	1.3M	-14.2M	-19.6K	0.09	105.50	N/A	N/A	96	9	4,423	1,638
2024-06-06	$51.16	$50.00	13.3%	2.3%	10.5%	50.4%	8.7%	0.2%	6.9%	1.2M	-14.5M	-19.4K	0.00	117.51	N/A	N/A	445	0	4,342	1,640
2024-06-07	$50.56	$50.00	12.5%	2.7%	11.2%	44.5%	9.4%	-0.1%	1.7%	1.1M	-11.8M	-23.8K	0.14	111.50	N/A	N/A	22	3	4,342	1,640
2024-06-10	$50.61	$50.00	14.2%	2.4%	11.2%	58.1%	9.0%	1.0%	5.3%	1.1M	-12.3M	-22.6K	0.00	115.48	N/A	N/A	23	0	4,356	1,643
2024-06-11	$50.05	$50.00	13.5%	2.5%	11.9%	52.1%	10.0%	0.5%	3.5%	1.1M	-9.8M	-22.9K	0.00	112.67	N/A	N/A	259	0	4,367	1,643
2024-06-12	$50.59	$50.00	8.3%	2.4%	12.3%	9.3%	7.6%	1.4%	4.5%	1.2M	-11.9M	-23.5K	0.03	118.96	N/A	N/A	102	3	4,354	1,643
2024-06-13	$49.97	$50.00	10.5%	3.0%	12.5%	28.2%	12.4%	2.6%	-0.0%	1.3M	-9.5M	-22.4K	0.04	110.05	N/A	N/A	400	18	4,402	1,645
2024-06-14	$49.44	$50.00	11.3%	3.2%	12.9%	34.3%	10.1%	0.6%	2.7%	914.9K	-6.8M	-25.4K	0.30	110.89	N/A	N/A	73	22	4,338	1,657
2024-06-17	$49.66	$50.00	11.3%	3.2%	12.9%	34.6%	20.7%	1.3%	4.8%	943.8K	-7.0M	-23.2K	0.14	110.47	N/A	N/A	51	7	4,314	1,677
2024-06-18	$49.84	$50.00	8.2%	2.3%	13.0%	8.5%	13.9%	-0.1%	7.5%	770.8K	-7.8M	-22.1K	0.38	113.51	N/A	N/A	32	12	4,311	1,681
2024-06-20	$49.86	$50.00	8.4%	2.4%	13.0%	10.7%	8.3%	2.7%	1.5%	996.3K	-7.9M	-21.3K	0.38	114.94	N/A	N/A	115	44	4,293	1,680
2024-06-21	$49.09	$50.00	11.1%	3.2%	13.6%	33.0%	11.9%	-1.4%	-0.8%	236.2K	-1.0M	-19.5K	0.60	105.56	N/A	N/A	20	12	3,237	1,720
2024-06-24	$49.58	$50.00	12.4%	3.5%	14.1%	43.2%	12.7%	2.1%	1.3%	330.4K	-3.4M	-19.6K	0.28	99.81	N/A	N/A	269	74	1,885	693
2024-06-25	$49.63	$50.00	12.2%	3.5%	13.7%	41.9%	10.3%	-1.6%	-5.1%	394.3K	-3.6M	-21.7K	0.11	100.48	N/A	N/A	61	7	2,124	760
2024-06-26	$49.22	$50.00	12.8%	3.7%	14.0%	47.1%	12.2%	2.6%	0.3%	373.4K	-3.3M	-22.2K	0.09	97.29	N/A	N/A	108	10	2,184	765
2024-06-27	$49.36	$50.00	9.3%	2.7%	13.0%	17.9%	8.3%	1.4%	4.0%	392.2K	-3.4M	-23.0K	0.78	107.66	N/A	N/A	9	7	2,253	773
2024-06-28	$49.34	$50.00	14.9%	4.3%	12.7%	64.3%	9.7%	0.4%	-1.6%	411.1K	-3.3M	-21.9K	0.00	106.91	N/A	N/A	90	0	2,255	780