VET Options History — November 2021

In November 2021, VET traded between $9.10 and $11.93. ATM implied volatility averaged 70.0%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 11.0% (HV 20d: 59.0%). 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 7 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2021-11-10: Highest Volume — 4,565 contracts
  • 2021-11-10: Largest IV drop — 27.3% change
  • 2021-11-09: Highest IV Rank — 50.2%
  • 2021-11-26: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.36$9.10$11.93$11.18$10.04
Max Pain$7.86$7.50$10.00$10.00$7.50
ATM IV70.0%61.2%88.8%75.5%70.9%
Expected Move19.3%17.6%21.9%21.6%20.3%
HV 20d59.0%41.2%76.5%50.3%75.8%
HV 60d63.1%60.0%67.0%62.7%67.0%
IV Rank32.7%24.6%50.2%37.8%33.6%
IV Percentile45.2%16.7%86.9%63.1%52.4%
Term Structure-1.6%-9.1%4.4%-6.8%-3.0%
VWIV68.0%60.4%76.5%72.3%75.1%
Skew 25d-0.0%-15.5%8.8%2.6%-15.5%
Skew 10d1.1%-25.0%16.6%16.6%-25.0%
Call IV 25d70.6%64.6%82.6%73.7%77.8%
Put IV 25d70.6%62.4%82.1%76.3%62.4%
Bid-Ask Spread %33.476.5158.5617.3537.41
Gamma HHI0.420.340.520.360.50
Net GEX216.5K166.1K298.9K232.9K222.6K
Net DEX-14.8M-22.4M-9.5M-17.5M-13.6M
Net VEX-71.5K-77.3K-66.0K-70.7K-69.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.131.640.190.63
Total Volume1,945.0487754,5651,4561,750
Total OI36,614.95232,51841,24532,51835,901

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$11.18$10.0075.5%21.6%50.3%37.8%72.3%2.6%-6.8%232.9K-17.5M-70.7K0.1917.35N/AN/A1,22722928,2424,276
2021-11-02$10.93$10.0073.1%21.0%43.8%35.7%76.5%-5.8%-6.4%235.7K-16.8M-71.6K0.4953.12N/AN/A53726128,9674,288
2021-11-03$10.75$10.0074.1%21.3%41.2%36.6%74.5%-4.4%-9.1%228.6K-16.2M-70.5K0.4919.03N/AN/A55426929,0694,333
2021-11-04$10.94$7.5077.9%19.0%41.6%40.1%67.9%1.5%-1.2%238.7K-17.0M-72.3K0.3446.31N/AN/A79927029,3664,354
2021-11-05$11.51$7.5078.4%19.5%45.3%40.6%68.3%-1.6%-2.7%261.0K-19.8M-74.2K0.2438.75N/AN/A1,40233629,6124,380
2021-11-08$11.88$7.5086.4%20.0%46.3%48.0%70.9%-0.5%-3.2%274.0K-21.8M-75.1K0.1558.56N/AN/A1,90829029,9644,358
2021-11-09$11.93$7.5088.8%20.1%44.9%50.2%72.1%-2.4%-4.1%298.9K-22.4M-75.0K0.1340.77N/AN/A2,66934731,3054,374
2021-11-10$10.48$7.5064.5%18.5%65.3%27.7%65.6%-0.4%-0.2%227.2K-15.1M-69.5K0.3544.22N/AN/A3,3751,19033,0954,483
2021-11-11$10.32$7.5064.0%18.3%64.4%27.1%61.2%2.4%0.2%207.0K-14.3M-71.2K0.4142.71N/AN/A1,99982833,8575,207
2021-11-12$10.19$7.5063.9%18.3%64.5%27.1%65.6%-0.8%1.8%202.1K-14.4M-77.3K0.6442.63N/AN/A1,21977735,2885,649
2021-11-15$10.16$7.5064.8%18.6%63.9%27.9%66.3%0.5%1.9%197.3K-14.2M-75.3K0.6631.07N/AN/A1,5411,02135,2795,774
2021-11-16$10.12$7.5061.8%17.7%63.8%25.2%60.4%3.2%3.4%186.3K-13.5M-74.3K0.4031.95N/AN/A87535435,1226,032
2021-11-17$9.76$7.5062.6%17.9%63.1%25.9%69.2%-1.1%4.4%169.3K-11.7M-71.7K1.5510.65N/AN/A48074235,1776,068
2021-11-18$9.75$7.5061.4%17.6%62.9%24.8%61.8%-1.0%1.4%166.1K-11.7M-71.1K1.6445.81N/AN/A29448135,1775,956
2021-11-19$9.26$7.5064.3%18.4%64.5%27.5%65.8%2.9%-1.9%185.5K-9.5M-67.0K0.6111.00N/AN/A1,25676135,1935,912
2021-11-22$9.48$7.5061.2%17.6%62.7%24.6%61.4%1.2%0.5%194.1K-11.4M-68.5K0.1626.97N/AN/A1,29920929,3394,698
2021-11-23$9.92$7.5063.7%18.3%65.6%26.9%63.6%7.3%-2.0%212.1K-13.2M-71.0K0.176.51N/AN/A1,47925429,5144,769
2021-11-24$9.99$7.5063.7%18.3%63.0%26.9%62.4%8.8%-1.4%219.8K-13.6M-72.1K0.1430.33N/AN/A1,64623529,9644,857
2021-11-26$9.10$7.5076.2%21.9%69.7%38.5%75.6%-0.5%-0.1%176.5K-10.1M-66.0K0.1558.35N/AN/A2,77442730,0054,926
2021-11-29$9.85$7.5072.3%20.7%76.5%34.9%71.8%3.2%-5.1%210.6K-12.6M-67.1K0.369.44N/AN/A1,82365929,5445,240
2021-11-30$10.04$7.5070.9%20.3%75.8%33.6%75.1%-15.5%-3.0%222.6K-13.6M-69.9K0.6337.41N/AN/A1,07667430,3445,557