VET Options History — January 2022

In January 2022, VET traded between $12.54 and $15.87. ATM implied volatility averaged 60.5%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 2.2% (HV 20d: 58.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2022-01-14: Highest Volume — 3,846 contracts
  • 2022-01-21: Largest IV spike — 14.7% change
  • 2022-01-26: Highest IV Rank — 43.8%
  • 2022-01-26: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.66$12.54$15.87$12.98$15.56
Max Pain$13.63$12.50$15.00$12.50$15.00
ATM IV60.5%54.7%68.5%54.7%68.3%
Expected Move17.4%15.7%19.6%15.7%19.6%
HV 20d58.3%54.1%61.6%54.4%56.4%
HV 60d62.2%59.1%63.8%59.1%62.9%
IV Rank30.6%18.6%43.8%18.6%43.5%
IV Percentile25.3%6.0%55.6%6.0%55.2%
Term Structure3.2%0.3%7.4%2.4%0.8%
VWIV61.5%53.5%69.9%53.5%69.3%
Skew 25d1.8%-9.3%11.9%11.9%2.9%
Skew 10d1.4%-17.8%19.3%19.3%-5.8%
Call IV 25d62.3%51.3%69.5%51.3%67.2%
Put IV 25d64.2%50.8%71.4%63.2%70.2%
Bid-Ask Spread %46.3318.4072.4926.4957.39
Gamma HHI0.300.240.390.300.25
Net GEX287.6K231.0K374.2K252.2K280.1K
Net DEX-28.6M-34.9M-20.3M-22.5M-30.3M
Net VEX-88.7K-91.5K-86.2K-86.6K-87.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.262.180.872.18
Total Volume2,300.21,1383,8461,9121,864
Total OI34,602.632,60737,15932,60734,204

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$12.98$12.5054.7%15.7%54.4%18.6%53.5%11.9%2.4%252.2K-22.5M-86.6K0.8726.49N/AN/A1,02289027,8894,718
2022-01-04$12.64$12.5057.5%16.5%56.1%21.1%57.6%8.8%0.7%238.1K-20.8M-88.6K1.2041.33N/AN/A72086227,9734,876
2022-01-05$12.54$12.5057.1%16.4%54.1%20.8%57.3%-9.3%1.7%231.0K-20.3M-88.1K0.9658.63N/AN/A81377827,9355,108
2022-01-06$13.81$12.5055.9%16.6%61.6%19.6%58.0%2.8%0.3%252.9K-25.9M-87.8K0.4853.76N/AN/A2,0941,00428,1515,209
2022-01-07$13.97$12.5055.9%16.7%61.2%19.7%58.4%2.6%4.8%265.8K-26.5M-90.5K0.3425.34N/AN/A2,14072328,6305,216
2022-01-10$13.92$12.5058.3%16.9%61.4%21.9%60.2%2.3%4.0%293.4K-26.7M-91.5K0.8618.93N/AN/A79267929,5515,331
2022-01-11$14.83$12.5056.6%16.8%60.5%20.3%59.8%-0.6%3.3%317.7K-31.2M-89.1K0.2619.06N/AN/A2,90976329,7105,346
2022-01-12$14.96$12.5056.5%16.2%57.7%28.3%56.7%3.1%5.6%354.9K-32.2M-90.3K0.3253.19N/AN/A2,54682730,3835,584
2022-01-13$15.11$12.5056.9%16.3%57.7%28.8%57.5%2.3%4.4%342.2K-31.5M-87.4K0.9167.20N/AN/A1,3751,24829,3165,796
2022-01-14$15.87$12.5057.4%16.5%58.8%29.4%57.9%-6.4%3.3%305.9K-34.9M-86.2K0.2863.22N/AN/A2,99385329,2306,117
2022-01-18$15.62$12.5058.3%16.7%58.3%30.6%60.3%-1.8%4.3%321.8K-33.6M-87.1K0.3661.54N/AN/A1,92668629,4486,398
2022-01-19$15.59$15.0060.4%17.3%58.8%33.3%64.0%0.6%7.4%335.3K-33.4M-91.0K0.4364.65N/AN/A1,53766030,1146,468
2022-01-20$15.24$15.0056.9%16.3%56.6%28.8%57.4%1.2%6.3%374.2K-32.4M-88.4K0.4572.49N/AN/A1,60471930,6866,473
2022-01-21$14.34$15.0065.3%18.7%60.0%39.6%65.6%-0.5%1.3%249.6K-26.2M-88.1K0.8925.67N/AN/A1,1651,03130,3806,495
2022-01-24$14.52$15.0066.7%19.1%58.9%41.5%69.9%2.3%2.2%248.8K-25.8M-88.8K0.5927.70N/AN/A1,54291628,1605,116
2022-01-25$15.44$15.0066.6%19.1%60.6%41.4%67.1%2.8%5.6%263.2K-29.8M-90.7K0.5159.06N/AN/A1,38370928,3895,425
2022-01-26$15.33$15.0068.5%19.6%60.0%43.8%69.6%1.7%0.7%273.5K-29.6M-89.0K0.6053.80N/AN/A1,16270328,4565,501
2022-01-27$15.38$15.0065.8%18.9%56.5%40.3%64.5%5.4%3.8%276.4K-29.4M-88.5K0.9718.40N/AN/A62460428,4725,622
2022-01-28$15.49$15.0066.5%19.1%56.4%41.2%66.4%4.5%2.1%274.6K-29.7M-89.7K1.1158.68N/AN/A53959928,4445,732
2022-01-31$15.56$15.0068.3%19.6%56.4%43.5%69.3%2.9%0.8%280.1K-30.3M-87.4K2.1857.39N/AN/A5871,27728,4745,730