VEA Options History — August 2024

In August 2024, VEA traded between $47.52 and $52.38. ATM implied volatility averaged 12.5%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 7.2% (HV 20d: 19.7%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2024-08-23: Highest Volume — 410 contracts
  • 2024-08-19: Largest IV spike — 83.6% change
  • 2024-08-02: Highest IV Rank — 93.1%
  • 2024-08-02: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.37$47.52$52.38$49.56$52.31
Max Pain$47.64$47.00$50.00$50.00$48.00
ATM IV12.5%6.8%18.4%15.9%9.4%
Expected Move3.8%2.0%5.3%4.6%2.7%
HV 20d19.7%15.3%21.2%17.2%15.3%
HV 60d15.3%13.6%15.8%13.6%15.7%
IV Rank45.2%0.0%93.1%72.6%21.0%
IV Percentile45.5%0.0%98.0%90.5%4.8%
Term Structure1.1%-5.3%7.6%-0.4%4.3%
VWIV14.0%7.2%21.1%15.9%13.1%
Skew 25d0.8%-6.6%8.1%-3.2%-0.3%
Skew 10d1.6%-5.2%11.6%0.8%-2.3%
Call IV 25d11.6%6.3%20.5%16.8%8.6%
Put IV 25d12.3%7.9%20.4%13.6%8.3%
Bid-Ask Spread %92.9685.58105.0692.8194.43
Gamma HHI0.220.140.480.240.22
Net GEX847.0K278.3K1.9M826.0K1.1M
Net DEX-6.3M-11.2M-1.3M-4.4M-10.7M
Net VEX-21.6K-26.5K-18.6K-21.7K-24.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.014.930.162.41
Total Volume136.13654108192
Total OI4,370.1363,7744,8804,1174,880

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$49.56$50.0015.9%4.6%17.2%72.6%15.9%-3.2%-0.4%826.0K-4.4M-21.7K0.1692.81N/AN/A70113,232885
2024-08-02$48.69$50.0018.4%5.3%17.8%93.1%19.6%-2.8%0.2%559.3K-3.0M-21.8K0.1792.19N/AN/A194333,260883
2024-08-05$47.52$47.0018.4%4.5%19.5%92.7%21.1%-6.6%7.6%278.3K-1.3M-19.8K0.2393.44N/AN/A99233,301905
2024-08-06$47.78$47.0014.1%3.4%19.8%57.8%20.7%-5.9%3.0%290.8K-1.4M-19.7K0.13100.78N/AN/A136183,320908
2024-08-07$47.98$47.0011.6%5.3%19.1%36.6%14.4%-3.2%-0.6%323.1K-1.7M-18.6K0.1592.82N/AN/A85133,347923
2024-08-08$48.72$47.0010.2%4.1%19.9%25.5%16.0%1.4%-0.3%459.6K-2.6M-20.3K0.0493.15N/AN/A2413,365928
2024-08-09$48.89$47.009.7%4.6%19.5%20.9%14.9%2.4%0.8%533.8K-2.7M-20.0K0.6788.17N/AN/A323,377929
2024-08-12$48.88$47.0011.6%4.7%19.4%36.4%15.2%5.3%-0.3%498.3K-2.9M-18.7K0.6789.72N/AN/A963,379930
2024-08-13$49.72$47.0015.4%4.0%20.4%68.6%10.1%1.4%1.0%942.1K-4.6M-19.0K0.0898.12N/AN/A1213,381936
2024-08-14$49.89$47.0013.4%3.8%20.5%51.9%14.0%1.6%0.9%1.2M-4.9M-18.7K0.1594.21N/AN/A5993,389936
2024-08-15$50.53$47.009.2%2.6%20.8%16.8%12.9%-2.7%-2.0%1.5M-7.1M-19.0K0.45101.63N/AN/A2301033,443940
2024-08-16$50.80$47.006.8%2.0%20.8%0.0%11.0%-2.6%3.7%1.9M-7.9M-20.6K0.03105.06N/AN/A9433,5681,042
2024-08-19$51.39$47.0012.5%3.6%20.9%45.8%11.1%-2.4%-0.3%804.8K-7.5M-19.3K0.0986.90N/AN/A365322,795979
2024-08-20$51.31$47.008.7%2.5%20.8%15.3%12.9%6.4%5.1%858.8K-7.8M-22.4K3.8192.21N/AN/A26993,087979
2024-08-21$51.67$48.0012.1%3.5%20.4%42.7%10.0%1.6%-5.3%867.7K-8.6M-22.0K0.0196.95N/AN/A13913,1031,071
2024-08-22$51.36$48.0014.1%4.1%20.4%58.8%7.2%8.1%1.5%872.6K-7.9M-24.1K0.1388.96N/AN/A106143,2341,071
2024-08-23$52.33$48.0013.3%3.8%21.1%52.2%13.6%0.3%-0.3%855.4K-9.9M-23.2K0.0589.59N/AN/A391193,2391,086
2024-08-26$52.14$48.0013.6%3.9%21.2%54.1%17.9%6.2%0.8%941.7K-10.1M-24.8K0.0486.42N/AN/A342133,4821,097
2024-08-27$52.38$48.0013.8%4.0%21.2%56.4%14.4%4.5%-1.0%997.1K-11.2M-26.5K4.9385.58N/AN/A15743,6801,110
2024-08-28$52.11$48.0012.9%3.7%20.5%49.0%12.8%1.2%-0.5%1.1M-10.2M-25.6K1.7593.89N/AN/A473,6861,183
2024-08-29$52.25$48.0010.2%2.9%17.0%27.1%10.1%6.2%5.8%1.0M-10.5M-25.6K0.2988.10N/AN/A1443,6881,186
2024-08-30$52.31$48.009.4%2.7%15.3%21.0%13.1%-0.3%4.3%1.1M-10.7M-24.7K2.4194.43N/AN/A27653,6901,190