VET Options History — September 2021

In September 2021, VET traded between $6.57 and $10.03. ATM implied volatility averaged 64.1%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 0.8% (HV 20d: 64.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2021-09-15: Highest Volume — 4,538 contracts
  • 2021-09-27: Largest IV spike — 11.6% change
  • 2021-09-28: Highest IV Rank — 33.2%
  • 2021-09-28: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.77$6.57$10.03$6.57$9.93
Max Pain$7.38$5.00$7.50$5.00$7.50
ATM IV64.1%59.3%71.1%61.0%63.4%
Expected Move18.4%17.3%20.4%17.5%18.2%
HV 20d64.9%60.6%72.4%63.1%69.4%
HV 60d61.4%58.2%66.1%58.2%65.4%
IV Rank26.7%22.2%33.2%23.8%26.1%
IV Percentile25.1%11.9%42.9%15.1%25.8%
Term Structure1.9%-2.7%6.2%2.3%5.2%
VWIV65.4%60.3%72.2%61.9%63.0%
Skew 25d-11.4%-23.8%4.5%-8.9%1.6%
Skew 10d-14.5%-40.1%35.9%-12.0%2.4%
Call IV 25d69.3%53.3%81.0%61.2%53.3%
Put IV 25d57.9%47.1%71.9%52.3%54.9%
Bid-Ask Spread %14.634.4440.054.446.98
Gamma HHI0.540.420.660.430.66
Net GEX123.9K57.1K243.7K91.5K164.4K
Net DEX-5.8M-11.7M-2.4M-2.7M-11.5M
Net VEX-30.5K-42.8K-19.3K-20.2K-42.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.000.900.080.86
Total Volume1,368.192074,5382071,564
Total OI26,623.38119,74431,83229,40922,984

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$6.57$5.0061.0%17.5%63.1%23.8%61.9%-8.9%2.3%91.5K-2.7M-20.2K0.084.44N/AN/A1921525,3804,029
2021-09-02$6.89$7.5060.4%17.3%65.2%23.2%64.0%-19.2%4.1%117.2K-3.5M-22.2K0.018.67N/AN/A985625,4504,029
2021-09-03$6.89$7.5059.3%17.5%65.1%22.2%60.3%-18.6%6.2%121.9K-3.6M-22.2K0.1511.12N/AN/A3344925,5464,044
2021-09-07$6.85$7.5061.9%18.5%64.6%24.7%64.1%-20.6%2.5%119.0K-2.9M-20.9K0.0112.61N/AN/A2,1741425,4894,045
2021-09-08$6.65$7.5063.3%18.2%61.7%26.0%63.4%-21.1%1.4%102.4K-2.4M-19.3K0.9012.78N/AN/A11210125,5004,081
2021-09-09$6.76$7.5061.9%17.8%61.9%24.7%62.3%3.8%3.7%117.6K-3.2M-25.9K0.0212.84N/AN/A300527,4764,085
2021-09-10$6.65$7.5065.1%18.7%61.9%27.7%65.2%-21.7%1.8%57.1K-2.6M-24.1K0.0012.78N/AN/A329127,5924,142
2021-09-13$7.38$7.5062.3%17.9%72.4%25.0%62.8%-12.1%2.5%218.6K-5.1M-29.5K0.028.39N/AN/A2,9884827,6864,145
2021-09-14$7.30$7.5063.3%18.1%66.8%25.9%64.4%-13.3%1.5%243.7K-4.7M-29.0K0.029.93N/AN/A9661927,6884,144
2021-09-15$7.88$7.5065.9%18.9%66.6%28.4%67.4%-6.9%-0.4%125.0K-8.2M-30.0K0.0336.46N/AN/A4,39514326,8124,140
2021-09-16$7.81$7.5061.9%17.8%65.7%24.7%65.4%-11.1%0.4%168.9K-8.2M-30.7K0.0317.21N/AN/A1,6384327,1084,144
2021-09-17$7.63$7.5061.1%17.5%60.7%23.9%61.8%-11.2%1.7%80.8K-6.9M-31.3K0.1227.59N/AN/A1,40417526,3174,112
2021-09-20$7.24$7.5065.1%18.7%65.2%27.7%65.5%-15.3%1.8%75.3K-3.9M-29.5K0.358.96N/AN/A74325817,0232,721
2021-09-21$7.44$7.5067.0%19.2%60.6%29.5%72.2%-16.3%-0.1%80.0K-4.3M-31.4K0.6911.64N/AN/A28119317,2862,838
2021-09-22$7.96$7.5068.3%19.6%63.6%30.7%69.2%-3.2%-1.1%91.3K-5.6M-34.9K0.0740.05N/AN/A7975217,5803,040
2021-09-23$8.41$7.5062.7%18.0%65.2%25.5%67.1%-4.8%3.2%101.9K-6.6M-36.5K0.0614.42N/AN/A1,5049717,7203,210
2021-09-24$8.59$7.5062.9%18.0%64.4%25.6%64.8%-2.1%4.2%109.2K-6.9M-37.2K0.0415.56N/AN/A5912117,8973,242
2021-09-27$9.11$7.5070.2%20.1%64.8%32.4%69.2%4.5%-2.7%126.4K-8.5M-40.0K0.2011.42N/AN/A1,39327718,5163,288
2021-09-28$9.14$7.5071.1%20.4%64.2%33.2%71.0%-18.8%-0.3%128.9K-8.7M-40.3K0.3111.50N/AN/A94228818,6163,279
2021-09-29$10.03$7.5067.2%19.3%69.7%29.6%68.0%-23.8%2.4%160.6K-11.7M-42.8K0.3211.90N/AN/A2,49180419,4243,243
2021-09-30$9.93$7.5063.4%18.2%69.4%26.1%63.0%1.6%5.2%164.4K-11.5M-42.6K0.866.98N/AN/A84072419,7013,283