VET Options History — December 2022

In December 2022, VET traded between $16.91 and $19.34. ATM implied volatility averaged 56.0%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 8.7% (HV 20d: 47.4%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2022-12-06: Highest Volume — 5,901 contracts
  • 2022-12-12: Largest IV spike — 20.7% change
  • 2022-12-12: Highest IV Rank — 30.8%
  • 2022-12-12: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.77$16.91$19.34$19.31$17.69
Max Pain$18.57$15.00$20.00$15.00$17.50
ATM IV56.0%49.6%68.1%55.0%50.1%
Expected Move15.7%14.2%17.1%15.8%14.4%
HV 20d47.4%36.4%64.9%64.8%44.4%
HV 60d59.7%53.0%64.3%64.3%53.0%
IV Rank8.4%0.0%30.8%2.6%0.9%
IV Percentile8.0%0.0%44.0%0.8%0.4%
Term Structure4.5%-1.1%6.7%-1.1%6.7%
VWIV54.7%49.3%59.7%55.3%49.3%
Skew 25d4.0%-0.0%7.2%-0.0%7.2%
Skew 10d3.6%-8.6%20.6%-8.6%20.6%
Call IV 25d54.0%48.9%58.0%57.0%48.9%
Put IV 25d58.0%55.2%61.7%56.9%56.1%
Bid-Ask Spread %38.4011.3061.8117.7126.54
Gamma HHI0.160.150.200.200.16
Net GEX588.2K453.7K1.1M1.1M490.6K
Net DEX-36.5M-59.0M-24.1M-59.0M-29.6M
Net VEX-298.0K-351.7K-274.8K-351.7K-288.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.121.060.350.25
Total Volume2,096.6198245,9011,163903
Total OI106,207.09581,071125,765121,55884,537

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$19.31$15.0055.0%15.8%64.8%2.6%55.3%-0.0%-1.1%1.1M-59.0M-351.7K0.3517.71N/AN/A860303100,62120,937
2022-12-02$19.34$15.0051.7%14.8%64.5%0.0%51.4%3.0%2.9%1.0M-58.5M-343.6K0.1717.87N/AN/A992166100,56520,458
2022-12-05$18.38$20.0061.7%16.7%64.9%18.8%57.9%4.9%5.6%789.0K-47.2M-317.1K0.1561.81N/AN/A4,182647101,16820,553
2022-12-06$17.95$20.0062.5%16.7%64.1%20.4%58.1%2.8%5.1%658.8K-41.9M-302.8K0.2149.05N/AN/A4,8751,026100,30420,617
2022-12-07$17.41$20.0060.4%16.8%64.2%16.3%58.9%1.7%4.1%588.3K-37.7M-286.6K1.0641.40N/AN/A1,7321,831101,18720,387
2022-12-08$17.29$20.0059.1%17.0%57.9%13.9%59.7%3.4%2.6%568.9K-37.3M-287.4K0.7245.15N/AN/A1,6421,185102,28920,471
2022-12-09$17.05$20.0056.4%16.5%47.1%8.8%58.1%3.2%5.9%537.6K-35.5M-289.0K0.1848.19N/AN/A1,621290103,31621,255
2022-12-12$17.34$20.0068.1%17.1%42.7%30.8%59.4%4.4%3.4%534.9K-37.4M-291.1K0.2749.50N/AN/A1,372375103,50021,401
2022-12-13$17.70$20.0065.4%16.6%42.3%25.8%56.2%4.9%5.9%569.9K-40.7M-298.0K0.2451.57N/AN/A1,294315104,08121,673
2022-12-14$18.02$20.0057.0%16.3%41.6%9.9%56.5%4.4%6.2%574.6K-44.5M-304.4K0.3056.71N/AN/A1,880571104,02521,740
2022-12-15$17.80$20.0054.8%15.7%36.4%5.8%54.6%3.9%4.6%545.8K-41.7M-298.1K0.2557.24N/AN/A1,563386103,79021,952
2022-12-16$17.30$20.0054.2%15.5%37.0%4.6%54.7%2.9%3.9%472.6K-28.3M-283.6K0.4749.19N/AN/A1,861880101,62321,813
2022-12-19$16.91$20.0053.8%15.4%36.5%3.9%54.6%1.3%3.9%453.7K-24.1M-274.8K0.2111.30N/AN/A2,43852466,48614,585
2022-12-20$17.38$17.5051.9%14.9%37.7%0.3%52.1%3.1%5.1%482.4K-27.4M-289.7K0.1959.59N/AN/A86216367,46515,031
2022-12-21$17.84$17.5053.0%15.2%37.3%2.5%51.9%5.8%3.0%510.7K-30.4M-296.6K0.1222.19N/AN/A1,19514567,80115,080
2022-12-22$17.24$17.5054.3%15.6%38.4%4.9%53.4%5.3%3.1%461.2K-26.0M-280.8K0.1342.92N/AN/A1,54520667,60615,127
2022-12-23$17.95$17.5052.4%15.0%41.5%1.3%52.0%6.1%5.3%530.5K-31.2M-301.2K0.2925.80N/AN/A64118368,32515,309
2022-12-27$18.23$17.5052.6%15.1%41.3%1.6%52.3%7.2%6.4%549.1K-33.0M-300.2K0.3718.29N/AN/A83130768,63615,382
2022-12-28$17.23$17.5053.0%15.2%45.1%2.5%52.9%2.5%5.0%454.4K-25.7M-280.0K0.1426.58N/AN/A94813168,72815,588
2022-12-29$17.71$17.5049.6%14.2%44.8%0.0%49.9%6.0%6.2%497.5K-29.3M-292.8K0.2227.82N/AN/A95020869,18315,754
2022-12-30$17.69$17.5050.1%14.4%44.4%0.9%49.3%7.2%6.7%490.6K-29.6M-288.8K0.2526.54N/AN/A72118269,26015,277