VET Options History — September 2022

In September 2022, VET traded between $18.39 and $26.39. ATM implied volatility averaged 70.2%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded above realized volatility by 4.7% (HV 20d: 65.5%). Max pain ranged from $22.50 to $27.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2022-09-07: Highest Volume — 13,269 contracts
  • 2022-09-12: Largest IV spike — 16.3% change
  • 2022-09-27: Highest IV Rank — 64.6%
  • 2022-09-27: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.06$18.39$26.39$25.46$21.42
Max Pain$24.64$22.50$27.50$22.50$22.50
ATM IV70.2%62.1%80.0%67.8%72.8%
Expected Move20.0%18.7%22.9%19.4%20.9%
HV 20d65.5%56.1%81.1%56.8%79.7%
HV 60d74.7%67.4%81.3%79.4%68.4%
IV Rank50.7%39.0%64.6%47.2%54.4%
IV Percentile54.1%18.7%86.9%46.4%63.5%
Term Structure1.4%-1.5%6.9%0.3%3.3%
VWIV69.4%64.7%80.4%67.1%74.8%
Skew 25d4.7%2.3%8.6%2.5%5.0%
Skew 10d7.0%-10.1%16.4%3.9%13.3%
Call IV 25d68.1%63.8%78.9%66.8%73.2%
Put IV 25d72.8%68.1%83.7%69.3%78.3%
Bid-Ask Spread %26.8412.7946.0546.0528.20
Gamma HHI0.190.170.260.230.17
Net GEX1.0M687.0K1.3M1.2M1.1M
Net DEX-97.9M-142.4M-46.1M-129.7M-81.8M
Net VEX-439.2K-498.3K-350.3K-487.9K-453.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.170.870.630.77
Total Volume6,116.9052,44213,2693,9778,280
Total OI113,468.8196,314124,455117,873116,155

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$25.46$22.5067.8%19.4%56.8%47.2%67.1%2.5%0.3%1.2M-129.7M-487.9K0.6346.05N/AN/A2,4351,54294,02423,849
2022-09-02$26.39$22.5065.7%18.8%56.1%44.2%67.0%2.3%1.6%1.3M-142.4M-498.3K0.2630.33N/AN/A2,52264594,19024,829
2022-09-06$25.36$27.5072.3%20.0%58.5%53.7%69.3%5.4%-1.5%1.1M-126.1M-470.2K0.5928.45N/AN/A4,0512,37294,38925,267
2022-09-07$23.33$27.5070.9%20.1%65.4%51.7%69.2%4.0%1.0%941.8K-95.1M-448.4K0.8720.00N/AN/A7,0906,17994,45425,985
2022-09-08$23.84$25.0067.4%19.4%63.4%46.6%70.9%5.8%-0.1%926.3K-103.7M-463.2K0.7134.46N/AN/A1,9041,34696,30327,067
2022-09-09$24.65$25.0062.1%18.7%61.7%39.0%65.8%5.1%1.7%1.0M-118.1M-465.3K0.1827.06N/AN/A2,90253197,02027,435
2022-09-12$25.18$25.0072.2%19.0%61.4%53.4%65.8%4.3%1.0%1.1M-126.7M-461.7K0.7232.95N/AN/A3,6452,62996,99427,419
2022-09-13$24.61$25.0073.3%19.2%60.4%55.1%65.9%5.6%-0.4%1.1M-118.0M-451.7K0.3027.26N/AN/A5,4611,62396,31125,967
2022-09-14$25.36$25.0066.5%19.1%60.9%45.3%66.5%5.4%0.1%1.2M-129.9M-464.3K0.1832.34N/AN/A2,87250896,94026,351
2022-09-15$25.07$25.0065.2%18.7%60.9%43.6%64.7%5.6%6.9%1.2M-122.9M-453.5K0.4729.13N/AN/A1,67879496,74526,496
2022-09-16$23.07$25.0067.7%19.4%66.6%47.0%66.2%4.9%3.1%926.9K-95.5M-430.5K0.3728.54N/AN/A6,4822,39996,99326,146
2022-09-19$22.89$25.0068.0%19.5%66.5%47.5%65.9%4.7%2.4%983.9K-89.8M-431.4K0.1938.64N/AN/A3,22560980,13916,175
2022-09-20$22.59$25.0067.9%19.5%64.0%47.4%67.8%3.0%0.4%988.4K-86.0M-424.7K0.3717.69N/AN/A2,08776481,32116,576
2022-09-21$22.22$25.0066.5%19.1%61.5%45.4%66.3%2.5%2.4%964.3K-83.1M-421.6K0.1714.12N/AN/A2,62944481,77417,066
2022-09-22$21.70$25.0066.4%19.0%59.0%45.2%67.3%3.4%3.2%943.1K-77.6M-415.3K0.7240.93N/AN/A1,4231,01983,03517,367
2022-09-23$19.69$25.0071.9%20.6%64.7%53.0%71.7%3.9%3.5%752.8K-56.2M-370.8K0.2112.88N/AN/A8,1761,68283,47718,203
2022-09-26$18.39$25.0078.0%22.4%66.3%61.8%76.7%3.5%-0.4%687.0K-46.1M-350.3K0.1712.79N/AN/A6,2991,09085,64918,281
2022-09-27$20.32$25.0080.0%22.9%78.9%64.6%80.4%4.9%-0.7%859.5K-65.6M-395.3K0.2514.97N/AN/A4,9991,23886,23118,575
2022-09-28$21.56$22.5075.2%21.6%81.1%57.8%73.4%8.6%1.1%1.0M-81.2M-428.6K0.2327.11N/AN/A10,7362,45288,23718,941
2022-09-29$21.22$22.5076.6%22.0%81.1%59.7%74.2%7.9%0.6%1.1M-80.6M-437.2K0.6219.70N/AN/A5,9663,72794,44020,029
2022-09-30$21.42$22.5072.8%20.9%79.7%54.4%74.8%5.0%3.3%1.1M-81.8M-453.3K0.7728.20N/AN/A4,6773,60394,92621,229