VEA Options History — October 2024

In October 2024, VEA traded between $50.06 and $52.48. ATM implied volatility averaged 16.0%, placing in the 73.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.0% (HV 20d: 12.9%). Max pain ranged from $51.00 to $52.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.69.

Notable Days

  • 2024-10-21: Highest Volume — 488 contracts
  • 2024-10-31: Largest IV spike — 33.4% change
  • 2024-10-31: Highest IV Rank — 100.0%
  • 2024-10-31: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.39$50.06$52.48$52.48$50.06
Max Pain$51.83$51.00$52.00$52.00$51.00
ATM IV16.0%11.8%21.2%16.8%21.2%
Expected Move4.8%3.7%6.1%4.8%6.1%
HV 20d12.9%10.0%15.5%15.0%10.5%
HV 60d15.9%13.5%16.6%16.6%13.7%
IV Rank73.0%40.0%100.0%80.4%100.0%
IV Percentile82.4%30.6%100.0%92.9%100.0%
Term Structure-0.1%-4.0%7.1%1.7%-3.4%
VWIV15.5%9.4%19.9%13.7%19.9%
Skew 25d2.6%-5.9%10.8%6.2%9.6%
Skew 10d3.0%-3.9%10.5%4.1%3.0%
Call IV 25d12.8%8.3%17.7%12.7%14.5%
Put IV 25d15.4%10.4%24.2%18.9%24.2%
Bid-Ask Spread %87.0970.1399.8986.6270.13
Gamma HHI0.200.170.390.190.17
Net GEX594.1K388.6K1.1M579.3K388.6K
Net DEX-7.1M-9.3M-4.6M-9.3M-4.6M
Net VEX-28.8K-31.5K-26.2K-31.5K-26.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.005.705.700.78
Total Volume83.652104886757
Total OI4,649.7394,4254,7934,4284,793

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-10-01$52.48$52.0016.8%4.8%15.0%80.4%13.7%6.2%1.7%579.3K-9.3M-31.5K5.7086.62N/AN/A10573,3311,097
2024-10-02$52.36$52.0016.6%4.8%15.0%78.9%17.1%9.9%0.7%569.0K-9.0M-31.2K2.1487.78N/AN/A14303,3391,106
2024-10-03$51.80$52.0011.8%5.2%15.5%40.0%9.4%1.1%-0.9%570.9K-8.0M-31.1K0.1889.56N/AN/A82153,3511,113
2024-10-04$52.16$52.0011.9%4.1%14.1%40.9%14.6%-3.8%5.2%655.3K-8.7M-31.5K0.4593.58N/AN/A44203,4271,126
2024-10-07$51.80$52.0012.2%4.9%14.1%42.8%13.4%2.4%0.1%639.2K-7.8M-30.5K0.7099.89N/AN/A47333,4491,141
2024-10-08$51.77$52.0014.7%5.1%13.9%63.5%17.4%10.8%-0.7%653.8K-7.8M-30.8K1.0089.00N/AN/A13133,4861,179
2024-10-09$51.81$52.0017.1%4.9%13.9%82.4%17.4%-3.3%0.4%661.8K-7.9M-30.2K0.1792.32N/AN/A63113,4951,199
2024-10-10$51.67$52.0016.4%4.7%13.5%76.8%14.3%-0.7%-0.7%668.2K-7.5M-30.2K0.1393.51N/AN/A1523,5271,200
2024-10-11$52.02$52.0016.0%4.6%13.6%73.6%16.0%5.2%-0.1%791.1K-8.3M-29.4K0.0077.82N/AN/A3403,5301,200
2024-10-14$52.11$52.0016.1%4.6%13.4%74.3%15.3%-0.1%-0.7%893.1K-8.5M-28.4K0.7882.37N/AN/A36283,5351,200
2024-10-15$51.33$52.0018.1%5.2%14.3%90.8%17.0%0.6%-0.9%609.6K-6.7M-27.5K1.3883.84N/AN/A8113,5461,208
2024-10-16$51.52$52.0017.5%5.0%14.4%85.6%13.3%5.0%-0.5%659.1K-6.9M-28.0K0.1487.69N/AN/A2233,5451,209
2024-10-17$51.52$52.0015.4%4.4%12.8%68.7%15.1%1.4%0.0%555.0K-6.7M-26.7K0.3790.72N/AN/A95353,5531,210
2024-10-18$51.80$52.0014.7%4.2%12.5%63.3%14.6%4.5%-0.3%1.1M-7.8M-26.4K0.0083.38N/AN/A23003,5521,193
2024-10-21$51.20$52.0016.8%4.8%13.1%79.9%15.3%1.9%-0.5%486.0K-6.7M-27.1K0.0482.09N/AN/A467213,2971,128
2024-10-22$51.00$52.0016.1%4.6%12.8%74.6%15.6%4.8%0.5%470.4K-6.3M-28.9K0.3077.61N/AN/A2373,4541,149
2024-10-23$50.47$52.0019.0%5.4%13.1%97.9%18.5%4.0%-1.4%417.1K-5.3M-27.6K0.3083.09N/AN/A3093,4721,150
2024-10-24$50.64$52.0013.1%3.7%10.1%50.2%13.4%-3.1%7.1%441.4K-5.6M-28.1K0.1893.51N/AN/A1123,4591,156
2024-10-25$50.47$52.0014.5%4.2%10.0%62.0%16.0%4.6%-1.8%424.2K-5.3M-27.0K0.0090.49N/AN/A15003,4621,156
2024-10-28$50.91$51.0017.9%5.1%10.7%89.3%16.6%2.4%-1.5%489.3K-6.3M-28.1K0.0491.12N/AN/A13653,5101,156
2024-10-29$50.70$51.0017.8%5.1%10.7%88.0%17.8%2.9%-1.8%489.0K-6.0M-28.1K0.0495.01N/AN/A2413,6061,161
2024-10-30$50.47$51.0015.9%4.6%10.7%74.3%14.6%-5.9%-4.0%472.7K-5.6M-27.8K1.0081.83N/AN/A553,6261,162
2024-10-31$50.06$51.0021.2%6.1%10.5%100.0%19.9%9.6%-3.4%388.6K-4.6M-26.2K0.7870.13N/AN/A32253,6261,167