VET Options History — December 2023

In December 2023, VET traded between $10.84 and $12.86. ATM implied volatility averaged 37.2%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 2.9% (HV 20d: 40.1%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2023-12-26: Highest Volume — 3,889 contracts
  • 2023-12-06: Largest IV spike — 80.3% change
  • 2023-12-11: Highest IV Rank — 36.1%
  • 2023-12-07: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.99$10.84$12.86$12.43$12.09
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV37.2%20.3%46.5%37.0%33.8%
Expected Move11.0%9.7%12.2%10.6%9.7%
HV 20d40.1%29.9%48.5%32.5%48.5%
HV 60d39.6%37.0%42.0%37.2%39.0%
IV Rank22.8%0.0%36.1%18.3%18.5%
IV Percentile15.8%0.0%42.9%10.3%3.6%
Term Structure2.3%-0.5%4.4%-0.5%4.4%
VWIV38.0%33.9%41.3%37.0%33.9%
Skew 25d5.1%-10.2%72.8%3.3%-1.5%
Skew 10d9.9%-16.6%116.3%5.3%-0.8%
Call IV 25d34.7%25.8%43.1%34.2%32.0%
Put IV 25d39.7%29.3%103.1%37.5%30.5%
Bid-Ask Spread %37.489.4664.1911.4961.29
Gamma HHI0.250.230.310.270.27
Net GEX424.1K296.5K603.0K427.5K419.5K
Net DEX-13.5M-21.5M-5.5M-14.3M-15.9M
Net VEX-149.4K-173.3K-120.9K-147.2K-156.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.031.160.410.08
Total Volume1,466.352253,8893381,282
Total OI100,416.9597,101106,05597,74098,851

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$12.43$12.5037.0%10.6%32.5%18.3%37.0%3.3%-0.5%427.5K-14.3M-147.2K0.4111.49N/AN/A2399984,08413,656
2023-12-04$12.00$12.5035.3%10.4%33.6%15.8%36.2%-0.2%3.4%356.9K-10.8M-138.2K0.2151.48N/AN/A1,63035084,22413,720
2023-12-05$11.68$12.5020.3%10.8%34.2%0.0%41.2%-3.8%2.1%350.1K-8.3M-131.7K0.0963.70N/AN/A1,84116185,46713,980
2023-12-06$11.23$12.5036.6%11.9%30.7%22.5%41.3%0.4%3.2%315.0K-6.3M-124.3K0.2936.13N/AN/A1,21235186,48913,944
2023-12-07$11.13$12.5042.3%12.2%29.9%30.3%38.4%4.5%1.1%305.3K-5.9M-122.9K0.1553.77N/AN/A70110386,88613,942
2023-12-08$11.39$12.5030.9%11.4%31.7%14.5%41.1%1.4%2.6%333.8K-7.7M-128.9K0.0321.17N/AN/A9823387,22113,908
2023-12-11$11.16$12.5046.5%12.2%30.0%36.1%41.2%1.5%1.9%313.4K-6.6M-125.4K0.0457.85N/AN/A1,6816887,54213,803
2023-12-12$10.84$12.5045.9%11.8%30.3%35.2%39.8%1.9%3.4%296.5K-5.5M-120.9K0.0641.08N/AN/A3,27319688,86013,484
2023-12-13$11.59$12.5039.0%11.2%40.1%25.7%38.5%4.2%3.7%380.0K-11.8M-146.8K0.2749.81N/AN/A1,57643191,61813,458
2023-12-14$12.23$12.5037.4%10.7%45.1%23.6%37.4%1.3%1.3%603.0K-16.8M-161.4K0.0628.06N/AN/A2,48915292,23213,823
2023-12-15$12.00$12.5037.5%10.8%44.6%23.7%37.5%-2.8%2.3%429.1K-14.5M-155.7K0.1022.57N/AN/A8869091,95913,884
2023-12-18$12.32$12.5038.2%11.0%44.0%24.7%38.2%0.4%1.8%480.8K-17.2M-161.8K1.1643.92N/AN/A78791284,33012,771
2023-12-19$12.73$12.5038.0%10.9%45.7%24.4%38.0%9.9%1.2%528.2K-20.3M-173.3K0.6328.64N/AN/A61038384,82913,492
2023-12-20$12.50$12.5037.7%10.8%46.0%24.0%34.2%1.0%1.5%490.6K-18.3M-167.9K0.2212.68N/AN/A97521184,90613,792
2023-12-21$12.55$12.5038.3%11.0%46.1%24.7%38.9%-10.2%1.8%513.7K-19.0M-170.9K0.389.46N/AN/A1736685,49313,901
2023-12-22$12.50$12.5037.3%10.7%46.1%23.4%34.7%6.0%2.5%490.8K-18.4M-168.6K0.4445.40N/AN/A1566985,53013,948
2023-12-26$12.86$12.5038.7%11.1%46.4%25.4%38.8%12.0%2.1%559.3K-21.5M-170.5K0.1028.98N/AN/A3,55033985,66213,971
2023-12-27$12.46$12.5036.1%10.3%47.9%21.7%36.2%72.8%3.7%459.6K-17.2M-160.4K0.8617.89N/AN/A23920585,12014,246
2023-12-28$12.16$12.5037.0%10.6%48.5%22.9%36.9%-1.0%1.7%429.3K-15.0M-155.7K0.0664.19N/AN/A7774984,92114,392
2023-12-29$12.09$12.5033.8%9.7%48.5%18.5%33.9%-1.5%4.4%419.5K-15.9M-156.1K0.0861.29N/AN/A1,1879585,40713,444