VET Options History — September 2023

In September 2023, VET traded between $13.98 and $15.68. ATM implied volatility averaged 35.6%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 2.8% (HV 20d: 32.8%). 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 0.33.

Notable Days

  • 2023-09-05: Highest Volume — 4,154 contracts
  • 2023-09-13: Largest IV spike — 45.2% change
  • 2023-09-27: Highest IV Rank — 23.4%
  • 2023-09-27: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.83$13.98$15.68$15.04$14.57
Max Pain$14.88$12.50$15.00$12.50$15.00
ATM IV35.6%24.5%40.5%31.6%38.1%
Expected Move10.3%9.1%11.6%9.1%10.9%
HV 20d32.8%28.7%35.9%34.9%35.9%
HV 60d39.4%37.8%41.6%41.6%38.7%
IV Rank13.3%0.0%23.4%0.0%19.9%
IV Percentile6.1%0.0%17.5%0.0%10.3%
Term Structure4.7%2.4%6.4%4.3%4.8%
VWIV35.7%31.6%40.4%31.6%36.8%
Skew 25d2.4%-6.5%14.2%6.2%-1.0%
Skew 10d9.0%-10.8%47.2%10.1%1.5%
Call IV 25d33.4%27.7%37.2%28.2%32.4%
Put IV 25d35.8%29.0%45.9%34.4%31.4%
Bid-Ask Spread %7.403.4036.626.144.87
Gamma HHI0.280.270.300.290.28
Net GEX877.1K703.9K1.0M945.3K827.8K
Net DEX-37.9M-51.1M-26.8M-41.0M-33.6M
Net VEX-247.5K-262.9K-228.6K-252.1K-241.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.053.700.183.70
Total Volume1,740.756194,1541,520621
Total OI100,932.3595,094107,221101,85297,835

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$15.04$12.5031.6%9.1%34.9%0.0%31.6%6.2%4.3%945.3K-41.0M-252.1K0.186.14N/AN/A1,28923183,25618,596
2023-09-05$15.13$15.0036.1%10.2%33.8%7.3%35.4%4.2%5.7%958.4K-42.5M-251.2K0.1136.62N/AN/A3,73741783,57318,554
2023-09-06$14.98$15.0037.2%10.4%34.0%9.1%33.7%-6.3%4.2%941.5K-40.3M-255.8K0.089.71N/AN/A1,41711284,79818,974
2023-09-07$14.59$15.0032.6%10.1%29.4%1.7%35.9%1.0%4.7%904.6K-35.4M-249.4K0.389.36N/AN/A62923885,51318,962
2023-09-08$14.89$15.0032.9%10.1%28.9%2.1%34.8%2.7%4.5%979.6K-38.9M-251.0K0.093.40N/AN/A1,23910685,56619,108
2023-09-11$15.00$15.0039.9%9.8%28.7%13.5%34.2%2.2%4.7%1.0M-41.0M-251.9K0.149.06N/AN/A2,16230986,16319,126
2023-09-12$15.68$15.0024.5%10.0%30.9%0.0%33.4%-0.0%4.9%957.8K-51.1M-262.0K0.546.32N/AN/A2,3991,29287,02219,225
2023-09-13$15.48$15.0035.6%10.2%29.6%16.2%35.1%-0.9%4.3%992.9K-48.4M-261.3K0.119.44N/AN/A1,08911987,31519,535
2023-09-14$15.64$15.0033.5%9.6%29.7%13.1%33.1%-1.8%6.3%983.0K-50.2M-262.9K0.135.62N/AN/A1,77222387,53319,550
2023-09-15$15.27$15.0033.5%9.6%31.4%13.1%33.5%-2.7%6.4%901.5K-45.7M-253.1K0.093.86N/AN/A1,11710387,66919,552
2023-09-18$15.04$15.0034.6%9.9%32.1%14.7%35.1%-6.5%5.9%877.5K-38.7M-250.7K0.253.88N/AN/A49512480,75814,336
2023-09-19$14.68$15.0034.8%10.0%33.4%15.1%33.5%11.6%4.9%801.8K-33.5M-240.9K0.073.79N/AN/A1,1748280,90214,440
2023-09-20$14.38$15.0034.9%10.0%34.3%15.2%35.0%6.8%4.5%775.7K-30.6M-236.5K0.073.97N/AN/A8916381,53414,489
2023-09-21$14.02$15.0036.7%10.5%34.2%17.8%37.4%1.0%5.1%706.9K-27.3M-229.4K0.189.05N/AN/A1,68229681,72914,542
2023-09-22$13.98$15.0037.9%10.9%33.8%19.5%38.2%2.7%4.4%703.9K-26.8M-228.6K0.056.33N/AN/A1,8779582,15014,788
2023-09-25$14.50$15.0039.1%11.2%35.4%21.4%39.1%9.2%3.2%795.9K-32.5M-242.0K0.084.06N/AN/A1,36711082,78114,879
2023-09-26$14.32$15.0040.4%11.6%35.4%23.2%39.4%6.1%2.4%767.6K-30.5M-237.1K0.164.19N/AN/A1,67427082,81514,912
2023-09-27$14.75$15.0040.5%11.6%35.7%23.4%40.4%14.2%3.9%834.3K-35.4M-247.3K0.074.38N/AN/A2,32517283,20315,022
2023-09-28$14.73$15.0038.0%10.9%35.7%19.8%37.9%-1.1%4.9%852.6K-35.4M-245.8K0.113.99N/AN/A1,35114682,86215,080
2023-09-29$14.57$15.0038.1%10.9%35.9%19.9%36.8%-1.0%4.8%827.8K-33.6M-241.1K3.704.87N/AN/A13248982,68815,147