VEA Options History — September 2024

In September 2024, VEA traded between $50.39 and $53.30. ATM implied volatility averaged 13.4%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 1.3% (HV 20d: 14.7%). Max pain ranged from $48.00 to $52.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2024-09-30: Highest Volume — 798 contracts
  • 2024-09-30: Largest IV spike — 102.0% change
  • 2024-09-10: Highest IV Rank — 94.6%
  • 2024-09-06: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.78$50.39$53.30$51.41$52.73
Max Pain$51.45$48.00$52.00$48.00$52.00
ATM IV13.4%7.6%18.6%15.6%15.3%
Expected Move3.8%2.2%5.0%4.5%4.4%
HV 20d14.7%13.7%16.2%13.7%16.2%
HV 60d16.1%15.6%16.7%16.1%16.6%
IV Rank53.1%6.1%94.6%70.3%68.2%
IV Percentile58.7%0.8%98.4%88.5%85.3%
Term Structure1.9%-2.8%9.1%-2.8%2.4%
VWIV12.7%7.0%16.8%13.9%16.8%
Skew 25d3.2%-2.4%10.4%0.7%-1.1%
Skew 10d1.8%-2.6%10.0%4.2%-2.6%
Call IV 25d9.4%6.4%15.5%11.3%15.5%
Put IV 25d12.7%8.5%18.8%12.0%14.4%
Bid-Ask Spread %95.1584.90110.6990.7388.54
Gamma HHI0.250.180.370.220.19
Net GEX921.5K520.1K1.4M1.1M544.1K
Net DEX-7.5M-11.7M-4.9M-8.3M-6.3M
Net VEX-23.5K-29.5K-20.5K-25.0K-29.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.046.321.090.10
Total Volume159.952379890798
Total OI4,462.52,7205,1874,9443,663

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$51.41$48.0015.6%4.5%13.7%70.3%13.9%0.7%-2.8%1.1M-8.3M-25.0K1.0990.73N/AN/A43473,6991,245
2024-09-04$51.30$48.0013.6%3.9%13.9%54.3%13.1%6.1%0.1%1.0M-7.8M-25.3K0.7792.19N/AN/A13103,7111,285
2024-09-05$51.30$52.0016.5%4.7%13.9%77.6%14.5%0.2%-0.4%1.1M-7.8M-24.7K0.1996.10N/AN/A2753,7171,269
2024-09-06$50.39$52.0015.0%5.0%15.1%65.8%14.7%9.3%-0.0%845.6K-5.3M-24.5K0.1691.53N/AN/A62103,7351,270
2024-09-09$50.89$52.0016.0%4.6%15.4%74.1%14.3%-2.4%0.5%1.1M-6.6M-23.2K0.0590.04N/AN/A8643,7351,279
2024-09-10$50.67$52.0018.6%3.4%15.5%94.6%10.1%-0.9%6.7%1.0M-6.0M-22.9K0.40100.22N/AN/A25103,7661,283
2024-09-11$50.89$52.0015.5%4.4%14.5%69.8%12.7%10.4%0.5%1.1M-6.6M-22.5K1.0888.65N/AN/A39423,7841,289
2024-09-12$51.42$52.0015.3%4.4%14.8%68.0%12.0%1.9%1.3%1.2M-8.0M-22.7K0.2195.70N/AN/A2963,7931,330
2024-09-13$51.59$52.0010.8%3.1%14.2%32.2%7.0%8.0%5.9%1.3M-9.0M-21.7K0.0498.56N/AN/A6833,8091,334
2024-09-16$51.97$52.0013.3%3.8%14.3%52.2%0.0%1.6%1.5%1.4M-9.9M-21.2K0.04101.50N/AN/A2513,8151,335
2024-09-17$51.70$52.0014.1%4.1%13.9%58.8%9.8%2.8%0.3%1.4M-9.0M-21.5K0.0898.81N/AN/A10793,8221,335
2024-09-18$51.63$52.0010.9%3.1%13.9%32.6%16.7%0.5%-1.9%1.2M-8.9M-20.7K0.04110.69N/AN/A13653,8051,349
2024-09-19$52.55$52.0012.2%3.5%15.1%43.2%11.9%1.9%2.0%520.1K-11.7M-20.5K0.0695.92N/AN/A377213,8331,354
2024-09-20$52.03$52.0013.4%3.8%15.4%52.5%13.4%6.2%1.9%611.7K-4.9M-22.2K0.2496.35N/AN/A118282,7551,375
2024-09-23$52.16$51.0010.5%3.0%13.9%29.3%12.2%4.9%1.4%634.3K-6.2M-22.4K6.3291.42N/AN/A573602,296424
2024-09-24$52.50$51.0012.8%3.7%14.0%48.5%12.4%3.7%1.3%586.6K-6.4M-24.8K0.1084.90N/AN/A8182,346747
2024-09-25$52.16$51.0013.6%3.9%14.1%54.3%12.7%5.3%2.4%623.0K-5.9M-25.3K0.6588.54N/AN/A34222,426753
2024-09-26$53.30$52.007.9%2.3%15.9%8.9%10.7%2.1%6.2%538.1K-7.8M-24.6K0.04107.83N/AN/A4522,456774
2024-09-27$53.03$52.007.6%2.2%16.1%6.1%13.0%3.9%9.1%570.9K-7.4M-24.9K1.7894.74N/AN/A1572792,480774
2024-09-30$52.73$52.0015.3%4.4%16.2%68.2%16.8%-1.1%2.4%544.1K-6.3M-29.5K0.1088.54N/AN/A728702,6181,045