VET Options History — October 2021

In October 2021, VET traded between $10.26 and $11.44. ATM implied volatility averaged 65.5%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 4.3% (HV 20d: 61.2%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2021-10-04: Highest Volume — 8,780 contracts
  • 2021-10-13: Largest IV spike — 47.4% change
  • 2021-10-05: Highest IV Rank — 44.8%
  • 2021-10-26: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.88$10.26$11.44$10.26$10.83
Max Pain$9.76$7.50$10.00$10.00$10.00
ATM IV65.5%34.7%83.5%66.4%71.5%
Expected Move19.7%18.9%20.7%19.0%20.5%
HV 20d61.2%49.9%72.0%68.9%49.9%
HV 60d64.2%62.5%67.4%65.6%62.5%
IV Rank28.5%0.0%44.8%28.9%34.1%
IV Percentile37.1%0.0%72.6%34.1%52.0%
Term Structure-3.5%-6.0%0.8%0.8%-5.1%
VWIV71.2%67.0%81.8%81.8%70.8%
Skew 25d-5.7%-19.6%8.1%-19.6%-5.3%
Skew 10d-10.5%-34.5%38.5%-31.1%5.6%
Call IV 25d72.3%63.2%81.0%81.0%74.5%
Put IV 25d66.6%58.6%73.4%61.4%69.2%
Bid-Ask Spread %20.468.5939.6614.7516.98
Gamma HHI0.410.340.650.630.35
Net GEX192.2K163.2K241.7K173.5K206.4K
Net DEX-14.4M-17.4M-12.7M-12.7M-14.5M
Net VEX-53.2K-63.2K-44.1K-45.4K-61.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.040.790.040.10
Total Volume2,354.813108,7804,6393,011
Total OI28,322.38124,39831,32024,39830,152

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$10.26$10.0066.4%19.0%68.9%28.9%81.8%-19.6%0.8%173.5K-12.7M-45.4K0.0414.75N/AN/A4,44619320,6393,759
2021-10-04$10.53$7.5069.3%19.8%68.5%31.6%71.9%-3.4%-1.7%187.5K-13.9M-44.6K0.0922.67N/AN/A8,02875220,9103,510
2021-10-05$11.32$7.5083.5%20.2%70.0%44.8%69.9%-6.7%-4.0%241.7K-17.4M-45.2K0.2812.04N/AN/A4,7891,36523,2083,465
2021-10-06$10.82$10.0067.8%19.3%71.8%30.1%69.5%-1.7%-3.1%207.6K-13.9M-44.1K0.1823.90N/AN/A1,93034422,0053,660
2021-10-07$10.90$10.0063.5%19.4%72.0%26.2%71.6%-2.6%-2.3%237.7K-14.1M-48.2K0.2616.02N/AN/A1,55140824,5404,186
2021-10-08$10.97$10.0034.7%19.2%70.8%0.0%68.6%-3.8%-3.1%163.2K-14.0M-46.5K0.2017.35N/AN/A90818224,4624,384
2021-10-11$11.12$10.0044.9%19.8%64.3%9.5%69.8%-0.9%-0.5%179.7K-14.8M-48.3K0.2919.39N/AN/A1,47242925,0744,334
2021-10-12$10.82$10.0047.3%19.3%65.7%11.7%71.6%-4.3%-2.2%164.6K-13.7M-47.5K0.0715.71N/AN/A2,10614524,9844,403
2021-10-13$10.64$10.0069.8%20.0%63.3%32.5%70.3%-13.4%-5.6%171.6K-13.3M-48.1K0.7919.76N/AN/A17313725,5544,301
2021-10-14$10.98$10.0066.2%19.0%62.9%29.2%68.4%-7.8%-1.9%177.2K-15.1M-54.1K0.0516.63N/AN/A6343326,7534,394
2021-10-15$10.93$10.0066.1%18.9%61.6%29.1%69.9%-10.4%-1.3%174.1K-15.0M-53.9K0.1015.19N/AN/A1,23311826,8264,494
2021-10-18$10.64$10.0068.5%19.7%58.3%31.4%70.2%-11.2%-4.9%177.3K-12.9M-52.6K0.1319.11N/AN/A1,72622822,1653,627
2021-10-19$10.57$10.0068.3%19.6%58.9%31.2%69.2%-9.6%-3.3%176.6K-12.8M-53.2K0.078.59N/AN/A1,57510522,5213,687
2021-10-20$10.98$10.0069.7%20.0%56.5%32.5%68.6%8.1%-5.1%189.4K-14.6M-59.1K0.2930.85N/AN/A2,01858023,8354,015
2021-10-21$10.78$10.0067.1%19.2%55.8%30.0%67.0%-7.6%-5.4%190.6K-13.9M-59.4K0.4920.09N/AN/A97047724,2934,047
2021-10-22$10.95$10.0067.0%19.2%55.7%30.0%71.3%-5.8%-3.3%193.0K-14.5M-59.7K0.4123.25N/AN/A81933924,3954,139
2021-10-25$11.44$10.0070.8%20.3%54.3%33.5%71.7%1.2%-6.0%203.5K-16.3M-60.6K0.1039.66N/AN/A2,11420224,4614,147
2021-10-26$11.30$10.0072.4%20.7%54.9%34.9%73.7%-1.3%-5.8%208.1K-16.3M-63.2K0.1338.24N/AN/A1,62021225,4004,156
2021-10-27$10.68$10.0070.6%20.2%50.6%33.3%77.4%-9.1%-5.7%202.1K-14.0M-60.9K0.2823.13N/AN/A85423625,7504,165
2021-10-28$10.93$10.0070.4%20.2%50.8%33.1%71.8%-5.0%-4.8%210.7K-14.8M-61.2K0.2716.34N/AN/A77621325,7794,191
2021-10-29$10.83$10.0071.5%20.5%49.9%34.1%70.8%-5.3%-5.1%206.4K-14.5M-61.3K0.1016.98N/AN/A2,72628525,9364,216