VEA Options History — November 2024

In November 2024, VEA traded between $48.97 and $50.89. ATM implied volatility averaged 16.2%, placing in the 57.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.9% (HV 20d: 12.4%). Max pain ranged from $49.00 to $51.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.19.

Notable Days

  • 2024-11-13: Highest Volume — 399 contracts
  • 2024-11-06: Largest IV drop — 50.9% change
  • 2024-11-04: Highest IV Rank — 100.0%
  • 2024-11-29: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.75$48.97$50.89$50.20$50.25
Max Pain$49.85$49.00$51.00$51.00$50.00
ATM IV16.2%10.7%23.2%20.7%23.2%
Expected Move4.6%3.9%6.6%5.9%6.6%
HV 20d12.4%10.1%13.3%10.1%13.1%
HV 60d13.3%12.8%13.7%13.3%13.1%
IV Rank57.9%23.3%100.0%96.9%99.5%
IV Percentile80.3%14.7%100.0%99.6%99.6%
Term Structure-1.7%-10.9%0.4%-2.5%-10.9%
VWIV14.7%12.4%18.1%18.1%15.3%
Skew 25d3.7%-1.6%8.9%3.4%0.5%
Skew 10d4.1%-3.0%12.1%2.1%3.8%
Call IV 25d13.1%11.0%18.0%18.0%13.7%
Put IV 25d16.8%9.4%21.4%21.4%14.3%
Bid-Ask Spread %83.1664.5999.5064.5995.79
Gamma HHI0.190.150.480.170.21
Net GEX350.0K119.2K1.2M408.5K403.3K
Net DEX-3.9M-6.1M-2.6M-4.9M-4.8M
Net VEX-22.2K-27.0K-19.2K-26.7K-22.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.000.600.000.03
Total Volume104.35399530
Total OI4,934.154,7565,2224,8244,948

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$50.20$51.0020.7%5.9%10.1%96.9%18.1%3.4%-2.5%408.5K-4.9M-26.7K0.0064.59N/AN/A503,6341,190
2024-11-04$50.33$49.0023.2%5.4%10.1%100.0%17.5%8.3%-2.3%424.8K-5.3M-27.0K0.2476.37N/AN/A2973,6391,190
2024-11-05$50.72$49.0021.7%4.6%10.6%90.7%15.3%8.9%0.0%514.0K-5.9M-26.8K0.0177.42N/AN/A21233,6561,189
2024-11-06$50.14$49.0010.7%4.6%11.2%23.3%14.9%4.3%-1.5%432.5K-4.8M-24.7K0.4175.47N/AN/A69283,7681,190
2024-11-07$50.89$49.0011.4%3.9%12.6%27.9%13.4%-1.6%0.0%605.6K-6.1M-25.8K0.1984.05N/AN/A84163,7671,215
2024-11-08$50.19$50.0013.6%4.4%13.1%41.1%13.5%3.8%-1.1%392.0K-4.4M-23.9K0.3676.90N/AN/A2283,7461,227
2024-11-11$50.25$50.0015.5%4.3%13.1%52.9%13.4%0.5%-1.3%393.7K-4.6M-23.1K0.1282.77N/AN/A1723,7611,232
2024-11-12$49.41$50.0016.3%4.4%13.3%57.5%13.9%4.1%-0.0%212.8K-2.9M-20.6K0.4977.27N/AN/A138673,7691,217
2024-11-13$49.16$50.0015.4%4.4%13.2%52.6%15.2%3.1%-0.6%202.6K-2.6M-20.2K0.0675.12N/AN/A377223,7811,231
2024-11-14$49.14$50.0015.2%4.4%13.2%51.1%13.9%3.5%-2.3%376.4K-3.3M-19.9K0.2577.29N/AN/A257653,9341,216
2024-11-15$48.97$50.0014.9%4.3%12.9%49.2%13.7%3.1%-0.9%1.2M-2.7M-19.2K0.1572.25N/AN/A185283,9701,252
2024-11-18$49.33$50.0015.8%4.5%12.9%54.7%14.3%5.3%-2.9%183.0K-3.1M-22.0K0.1985.90N/AN/A107203,5091,247
2024-11-19$49.33$50.0015.7%4.5%12.9%53.8%12.4%4.8%-1.6%119.2K-2.7M-20.0K0.0499.50N/AN/A12053,5601,264
2024-11-20$49.09$50.0014.3%4.1%12.5%45.4%15.1%3.9%0.4%154.8K-2.7M-20.6K0.2194.16N/AN/A1943,5961,270
2024-11-21$49.27$50.0014.8%4.3%12.5%48.9%14.4%4.7%-2.4%151.8K-2.9M-20.1K0.2790.87N/AN/A2673,6021,271
2024-11-22$49.45$50.0014.6%4.2%12.6%47.3%14.0%3.4%-0.6%149.6K-2.9M-19.4K0.0488.75N/AN/A2513,6081,275
2024-11-25$49.78$50.0015.5%4.5%12.5%53.0%16.0%2.6%-2.2%258.4K-3.7M-20.9K0.6085.85N/AN/A20123,6361,276
2024-11-26$49.45$50.0014.7%4.2%12.6%48.1%14.4%3.3%0.1%182.9K-3.2M-20.1K0.0690.43N/AN/A1613,6481,270
2024-11-27$49.64$50.0017.4%5.0%12.6%64.4%15.0%3.7%-1.1%253.2K-3.7M-19.9K0.0392.52N/AN/A3113,6571,272
2024-11-29$50.25$50.0023.2%6.6%13.1%99.5%15.3%0.5%-10.9%403.3K-4.8M-22.1K0.0395.79N/AN/A2913,6751,273