VET Options History — May 2023

In May 2023, VET traded between $10.82 and $12.59. ATM implied volatility averaged 48.4%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 2.1% (HV 20d: 50.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2023-05-03: Highest Volume — 4,594 contracts
  • 2023-05-30: Largest IV spike — 28.6% change
  • 2023-05-30: Highest IV Rank — 31.3%
  • 2023-05-03: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.86$10.82$12.59$12.50$10.82
Max Pain$12.84$12.50$15.00$15.00$12.50
ATM IV48.4%40.5%59.2%55.3%55.6%
Expected Move13.8%11.6%17.0%15.9%16.0%
HV 20d50.6%44.2%54.5%44.2%44.3%
HV 60d43.8%41.5%44.9%41.5%44.4%
IV Rank10.0%0.0%31.3%17.8%29.0%
IV Percentile9.5%0.0%32.5%22.6%30.2%
Term Structure1.2%-6.0%8.1%-6.0%-3.4%
VWIV48.8%40.8%60.0%53.3%55.7%
Skew 25d10.2%-0.7%18.6%5.8%-0.7%
Skew 10d16.9%0.3%29.5%7.7%0.3%
Call IV 25d44.6%35.4%58.3%41.8%55.5%
Put IV 25d54.8%47.6%70.1%47.6%54.8%
Bid-Ask Spread %14.704.1545.6421.025.39
Gamma HHI0.190.160.210.210.17
Net GEX238.0K160.8K343.6K265.5K161.1K
Net DEX-8.7M-14.4M-3.1M-11.4M-3.1M
Net VEX-205.0K-232.5K-164.6K-224.5K-164.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.053.453.450.59
Total Volume1,274.6822324,5941,185325
Total OI93,770.31889,98197,56589,98191,597

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$12.50$15.0055.3%15.9%44.2%17.8%53.3%5.8%-6.0%265.5K-11.4M-224.5K3.4521.02N/AN/A26691970,57219,409
2023-05-02$11.66$15.0056.5%16.2%45.6%19.8%60.0%18.6%-3.6%194.1K-6.0M-199.9K1.5728.33N/AN/A1,7622,76770,69419,595
2023-05-03$11.46$15.0059.2%17.0%45.6%24.3%59.3%7.1%-6.0%160.8K-5.0M-201.7K0.3945.64N/AN/A3,3111,28370,92021,720
2023-05-04$11.93$12.5055.2%14.8%48.7%17.7%54.4%7.9%0.0%213.9K-9.2M-216.0K0.589.59N/AN/A74943472,60321,778
2023-05-05$12.59$12.5049.4%14.1%52.8%8.0%50.7%7.8%3.3%264.7K-14.4M-232.5K0.758.65N/AN/A81861172,60421,760
2023-05-08$12.45$12.5050.5%14.1%52.9%9.9%49.9%8.5%1.9%239.1K-13.1M-227.1K0.1520.69N/AN/A5668572,98822,010
2023-05-09$12.52$12.5051.4%14.0%52.5%11.3%48.5%9.3%3.0%250.2K-13.9M-230.7K0.5120.01N/AN/A1547873,24322,023
2023-05-10$12.23$12.5047.4%13.6%53.0%4.7%47.2%7.5%3.5%213.4K-11.1M-221.9K0.1214.07N/AN/A1,12214073,32022,062
2023-05-11$11.75$12.5046.8%13.4%53.0%3.7%50.9%7.0%4.4%181.2K-7.0M-205.3K0.357.43N/AN/A1,04136373,84222,164
2023-05-12$11.73$12.5047.0%13.5%53.0%5.0%49.3%17.8%4.1%190.9K-7.0M-207.9K0.308.76N/AN/A49414974,94022,355
2023-05-15$11.79$12.5043.2%12.4%52.8%0.0%46.4%14.6%7.8%206.8K-6.3M-203.6K0.1920.27N/AN/A54410175,03322,302
2023-05-16$11.39$12.5046.2%13.2%52.9%6.1%45.8%9.2%3.8%207.2K-4.9M-196.0K0.3518.46N/AN/A64322575,33222,028
2023-05-17$11.77$12.5042.1%12.1%54.5%0.0%42.2%12.2%8.1%219.5K-6.3M-200.9K0.118.39N/AN/A4134575,46421,874
2023-05-18$11.89$12.5042.4%12.2%53.5%0.7%46.2%15.2%3.1%267.0K-7.3M-205.4K0.357.38N/AN/A47716875,68621,879
2023-05-19$12.02$12.5041.3%11.9%53.8%0.0%41.3%12.0%3.7%280.9K-9.3M-205.8K0.154.15N/AN/A1,92728975,88220,764
2023-05-22$12.00$12.5040.5%11.6%52.5%0.0%40.8%14.6%2.8%318.1K-11.4M-203.7K0.654.21N/AN/A40326171,96518,171
2023-05-23$12.16$12.5044.5%12.8%51.4%7.7%44.3%15.0%0.3%343.6K-12.5M-207.0K0.1117.32N/AN/A8109172,31618,186
2023-05-24$12.09$12.5045.1%12.9%47.1%8.9%45.1%16.8%-0.6%334.3K-12.0M-205.0K0.0528.03N/AN/A2561372,40518,301
2023-05-25$11.48$12.5044.3%12.7%50.4%7.4%44.4%6.4%0.3%258.4K-8.0M-191.4K0.0610.98N/AN/A1,5769972,35718,320
2023-05-26$11.57$12.5044.2%12.7%47.8%7.2%44.9%5.1%-0.2%267.6K-8.0M-189.8K0.075.48N/AN/A3272472,90118,265
2023-05-30$11.07$12.5056.9%16.3%49.7%31.3%51.9%6.7%-4.7%197.5K-4.6M-169.8K0.389.16N/AN/A1,39252273,02318,294
2023-05-31$10.82$12.5055.6%16.0%44.3%29.0%55.7%-0.7%-3.4%161.1K-3.1M-164.6K0.595.39N/AN/A20512072,78318,814