VEA Options History — July 2024

In July 2024, VEA traded between $49.41 and $51.55. ATM implied volatility averaged 11.0%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 1.4% (HV 20d: 12.5%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2024-07-12: Highest Volume — 248 contracts
  • 2024-07-30: Largest IV spike — 39.0% change
  • 2024-07-30: Highest IV Rank — 63.5%
  • 2024-07-30: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.48$49.41$51.55$49.41$51.05
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV11.0%8.6%14.8%10.5%13.5%
Expected Move3.1%2.5%4.3%3.0%3.9%
HV 20d12.5%11.4%13.7%12.4%13.7%
HV 60d11.9%11.6%12.3%12.0%12.2%
IV Rank32.2%12.1%63.5%28.1%52.4%
IV Percentile21.8%2.0%82.9%5.6%65.1%
Term Structure1.4%-5.3%5.6%2.2%-0.8%
VWIV11.2%7.7%14.1%10.5%11.0%
Skew 25d0.0%-8.1%6.2%-0.2%1.1%
Skew 10d1.4%-4.5%6.6%3.6%3.8%
Call IV 25d9.9%6.5%15.7%9.8%8.3%
Put IV 25d10.0%6.9%14.1%9.6%9.4%
Bid-Ask Spread %101.7490.19110.73101.1696.99
Gamma HHI0.230.160.270.160.27
Net GEX847.0K386.1K1.2M386.1K1.2M
Net DEX-6.4M-9.0M-3.3M-3.3M-8.1M
Net VEX-23.4K-26.1K-21.2K-25.4K-22.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.400.380.16
Total Volume77.864102483359
Total OI3,785.4553,2614,1123,2614,112

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$49.41$50.0010.5%3.0%12.4%28.1%10.5%-0.2%2.2%386.1K-3.3M-25.4K0.38101.16N/AN/A2492,338923
2024-07-02$49.58$50.009.7%2.8%12.3%20.8%12.7%6.2%4.5%480.3K-3.5M-22.8K0.45101.26N/AN/A2092,356917
2024-07-03$50.11$50.0010.0%2.9%12.9%23.4%10.3%-0.1%3.9%461.1K-4.4M-26.1K0.02108.39N/AN/A22742,365914
2024-07-05$50.53$50.009.8%2.8%13.1%21.7%10.9%-4.5%-5.3%694.5K-5.8M-22.7K0.06101.84N/AN/A9662,558917
2024-07-08$50.30$50.0012.8%2.8%13.1%47.0%11.1%-2.1%5.6%695.5K-5.7M-23.3K0.05109.36N/AN/A4222,581917
2024-07-09$50.09$50.0011.0%2.7%12.6%32.1%0.0%-4.9%1.5%662.5K-5.0M-24.2K0.24107.66N/AN/A1742,591918
2024-07-10$50.75$50.009.1%2.6%13.4%16.5%10.6%2.5%1.2%756.5K-6.4M-22.1K0.05107.51N/AN/A231122,599918
2024-07-11$51.03$50.008.8%2.5%12.9%13.7%10.8%-8.1%3.5%790.7K-7.6M-24.3K0.32108.23N/AN/A31102,831924
2024-07-12$51.55$50.008.6%2.5%12.8%12.1%10.6%-0.7%1.2%823.3K-9.0M-21.2K0.00108.66N/AN/A24802,813917
2024-07-15$51.11$50.009.8%2.8%12.4%22.1%0.0%0.6%2.5%954.2K-8.3M-24.0K0.18109.27N/AN/A1733,033917
2024-07-16$51.36$50.009.7%2.8%11.6%21.2%11.8%0.2%2.3%885.0K-8.8M-24.4K0.33110.73N/AN/A2793,037917
2024-07-17$51.09$50.0012.4%3.6%11.8%43.3%0.0%4.4%2.0%857.8K-8.3M-24.9K0.1198.60N/AN/A913,061926
2024-07-18$50.61$50.0010.6%3.0%12.4%28.8%11.3%3.1%0.3%972.0K-7.2M-23.8K0.05101.89N/AN/A15683,062925
2024-07-19$50.30$50.0012.9%3.7%12.6%47.6%12.1%2.1%1.2%1.0M-6.5M-23.5K0.1397.07N/AN/A127163,142927
2024-07-22$50.81$50.0010.0%2.9%11.6%23.9%8.2%1.1%2.7%1.1M-7.5M-24.2K0.20103.45N/AN/A4083,050836
2024-07-23$50.56$50.0011.6%3.3%11.4%36.8%12.1%2.3%0.9%1.0M-7.0M-22.7K0.1094.14N/AN/A3033,074844
2024-07-24$49.98$50.0012.8%3.7%12.2%46.4%7.7%4.0%0.4%973.0K-5.7M-22.3K0.0691.51N/AN/A5333,102845
2024-07-25$49.75$50.0013.3%3.8%11.9%51.1%13.4%0.9%-1.2%936.5K-5.2M-22.4K1.4093.53N/AN/A20283,153848
2024-07-26$50.22$50.0010.4%3.0%12.3%27.1%12.2%-3.2%2.6%1.0M-5.9M-22.6K0.0097.31N/AN/A2703,163866
2024-07-29$50.11$50.0010.7%3.1%12.4%29.2%12.4%-2.2%0.3%1.0M-5.8M-22.6K0.2599.62N/AN/A44113,185866
2024-07-30$50.16$50.0014.8%4.3%12.4%63.5%14.1%-1.7%0.1%991.2K-5.9M-22.7K0.1090.19N/AN/A2023,216876
2024-07-31$51.05$50.0013.5%3.9%13.7%52.4%11.0%1.1%-0.8%1.2M-8.1M-22.5K0.1696.99N/AN/A5183,234878