VEA Options History — December 2024

In December 2024, VEA traded between $47.69 and $50.84. ATM implied volatility averaged 11.8%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.3% (HV 20d: 11.5%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.18.

Notable Days

  • 2024-12-30: Highest Volume — 997 contracts
  • 2024-12-17: Largest IV spike — 41.5% change
  • 2024-12-04: Highest IV Rank — 60.6%
  • 2024-12-04: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.36$47.69$50.84$50.41$47.84
Max Pain$49.43$48.00$50.00$50.00$48.00
ATM IV11.8%8.0%16.8%16.4%12.6%
Expected Move3.3%2.3%4.8%4.7%3.6%
HV 20d11.5%8.1%13.4%13.1%11.9%
HV 60d12.1%11.6%12.6%12.6%11.7%
IV Rank30.1%7.2%60.6%58.2%35.0%
IV Percentile34.2%1.6%92.9%90.9%43.7%
Term Structure2.7%-4.9%8.6%-2.4%-4.9%
VWIV10.8%5.9%17.0%17.0%12.6%
Skew 25d2.0%-3.8%8.0%1.5%1.9%
Skew 10d4.4%-2.2%15.2%6.2%2.6%
Call IV 25d9.7%6.4%13.5%13.5%7.8%
Put IV 25d11.7%7.9%17.4%15.0%9.7%
Bid-Ask Spread %99.7486.35111.8792.2098.60
Gamma HHI0.220.140.350.200.35
Net GEX265.1K-185.8K590.3K411.9K-185.8K
Net DEX-1.3M-5.1M6.1M-4.6M308.7K
Net VEX-15.9K-20.5K-11.0K-20.5K-17.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.180.0049.670.020.10
Total Volume196.9051199712811
Total OI4,449.9522,1405,5394,7783,714

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-12-02$50.41$50.0016.4%4.7%13.1%58.2%17.0%1.5%-2.4%411.9K-4.6M-20.5K0.0292.20N/AN/A12623,5051,273
2024-12-03$50.55$50.0013.9%4.0%13.1%43.1%16.0%3.8%-0.2%496.4K-4.4M-19.7K1.6196.64N/AN/A23373,4351,275
2024-12-04$50.58$50.0016.8%4.8%12.8%60.6%14.1%3.3%3.9%519.0K-4.7M-20.1K0.6397.07N/AN/A853,4481,280
2024-12-05$50.84$50.0012.8%3.4%12.2%36.7%6.3%3.0%3.3%517.6K-5.0M-18.1K0.16103.31N/AN/A131213,4451,283
2024-12-06$50.72$50.0010.1%3.8%11.1%20.2%11.1%5.4%3.4%590.3K-5.1M-17.5K0.00111.55N/AN/A9403,4571,282
2024-12-09$50.64$50.0014.1%3.1%9.8%44.5%13.6%8.0%3.8%580.4K-5.1M-17.6K0.01107.58N/AN/A25723,5361,282
2024-12-10$50.30$50.0012.3%3.0%10.1%33.6%10.0%3.7%6.8%499.4K-4.4M-18.4K49.67107.06N/AN/A125963,6591,283
2024-12-11$50.59$50.009.0%2.6%8.1%13.1%10.5%2.1%3.7%336.8K-2.0M-19.1K0.0098.19N/AN/A2203,6611,878
2024-12-12$50.13$50.0010.4%3.0%8.6%21.6%10.3%-2.3%3.0%157.0K-991.6K-16.5K0.0093.97N/AN/A13903,6601,878
2024-12-13$49.98$50.0010.6%3.0%8.8%23.1%5.9%1.5%7.1%137.2K-350.8K-14.7K1.83105.38N/AN/A6113,5901,936
2024-12-16$49.81$50.008.0%2.3%8.7%7.2%5.9%1.7%8.6%127.9K816.9K-14.5K0.0099.98N/AN/A24303,4041,945
2024-12-17$49.66$50.0011.3%3.2%8.5%27.4%9.7%1.3%4.1%48.5K1.2M-14.8K0.04111.87N/AN/A10543,5101,945
2024-12-18$48.38$50.009.6%2.8%12.7%16.9%11.9%2.1%7.9%-162.6K4.3M-11.2K5.00106.86N/AN/A301503,5801,948
2024-12-19$48.39$50.0011.0%3.2%12.6%25.4%13.1%1.6%2.0%-41.3K3.5M-12.9K0.27103.58N/AN/A45123,5831,907
2024-12-20$47.69$50.0010.4%3.0%13.4%21.9%12.6%1.4%2.4%-131.5K6.1M-11.6K0.21104.23N/AN/A210453,2661,915
2024-12-23$47.84$48.0013.1%3.8%13.4%38.4%12.2%-3.8%0.7%179.9K-701.6K-11.0K0.0488.36N/AN/A418161,822318
2024-12-24$47.97$48.0011.5%3.3%13.1%28.7%9.7%2.5%1.6%320.0K-1.4M-13.8K0.0191.32N/AN/A7412,221309
2024-12-26$48.24$48.009.6%2.7%13.2%16.7%8.2%-1.3%1.6%385.4K-1.8M-14.4K0.1893.73N/AN/A68122,279300
2024-12-27$48.05$48.0012.2%3.5%13.1%33.0%7.2%2.4%0.8%373.7K-1.7M-14.5K0.0186.35N/AN/A20022,335312
2024-12-30$47.95$48.0011.3%3.2%12.1%27.0%9.0%1.3%0.4%406.4K-1.8M-15.0K6.9196.80N/AN/A1268712,476314
2024-12-31$47.84$48.0012.6%3.6%11.9%35.0%12.6%1.9%-4.9%-185.8K308.7K-17.9K0.1098.60N/AN/A1012,5831,131