VET Options History — January 2024 In January 2024, VET traded between $10.59 and $12.29. ATM implied volatility averaged 39.5%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 0.6% (HV 20d: 40.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.20.
Notable Days 2024-01-16 : Highest Volume — 10,604 contracts2024-01-30 : Largest IV drop — 43.4% change2024-01-16 : Highest IV Rank — 34.6%2024-01-16 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $11.29 $10.59 $12.29 $11.96 $10.79 Max Pain $11.19 $10.00 $12.50 $12.50 $10.00 ATM IV 39.5% 25.5% 45.4% 39.5% 30.7% Expected Move 11.4% 7.3% 13.0% 11.3% 8.8% HV 20d 40.1% 34.0% 48.5% 48.5% 37.0% HV 60d 38.1% 36.3% 39.4% 38.9% 39.4% IV Rank 26.4% 7.1% 34.6% 26.4% 14.3% IV Percentile 29.0% 0.8% 52.0% 25.8% 1.2% Term Structure 4.7% -0.9% 19.0% -0.9% 6.6% VWIV 39.9% 25.6% 46.9% 39.5% 36.1% Skew 25d 4.6% -7.2% 17.1% -4.2% -7.2% Skew 10d 13.8% -3.5% 54.9% -3.5% 7.4% Call IV 25d 36.0% 21.7% 47.9% 37.7% 29.3% Put IV 25d 40.6% 22.1% 46.1% 33.6% 22.1% Bid-Ask Spread % 32.17 8.96 69.77 65.62 52.38 Gamma HHI 0.26 0.23 0.28 0.27 0.24 Net GEX 374.7K 290.5K 456.1K 408.4K 344.9K Net DEX -14.5M -18.0M -10.5M -14.9M -14.4M Net VEX -163.2K -180.1K -143.8K -151.2K -173.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.20 0.02 0.59 0.27 0.52 Total Volume 1,732.762 100 10,604 1,166 100 Total OI 90,186.429 66,159 111,586 99,283 69,416
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2024-01-02 $11.96 $12.50 39.5% 11.3% 48.5% 26.4% 39.5% -4.2% -0.9% 408.4K -14.9M -151.2K 0.27 65.62 N/A N/A 920 246 85,795 13,488 2024-01-03 $12.29 $12.50 36.7% 10.5% 47.9% 22.5% 36.7% 1.1% 3.9% 456.1K -18.0M -161.0K 0.02 20.39 N/A N/A 954 22 86,518 13,519 2024-01-04 $12.07 $12.50 38.3% 11.2% 47.3% 24.7% 39.1% 2.5% 4.5% 429.9K -16.3M -157.8K 0.21 22.53 N/A N/A 275 59 87,203 13,522 2024-01-05 $12.16 $12.50 37.8% 11.4% 44.7% 24.0% 40.1% 1.7% 2.3% 442.6K -16.9M -158.7K 0.09 32.60 N/A N/A 604 52 87,392 13,557 2024-01-08 $11.91 $12.50 39.6% 10.8% 45.4% 26.6% 37.3% 8.3% 5.1% 416.7K -14.9M -154.3K 0.14 32.22 N/A N/A 573 79 87,478 13,573 2024-01-09 $11.82 $12.50 36.4% 11.3% 44.9% 22.2% 39.3% 7.5% 1.5% 404.4K -14.2M -152.3K 0.07 12.80 N/A N/A 833 55 87,778 13,590 2024-01-10 $11.66 $12.50 37.7% 10.8% 44.5% 24.0% 37.8% 6.6% 5.0% 397.4K -13.5M -151.2K 0.36 22.97 N/A N/A 526 192 88,500 13,615 2024-01-11 $11.75 $12.50 37.2% 10.7% 43.0% 23.3% 37.2% 5.4% 5.4% 402.3K -13.9M -151.2K 0.02 9.58 N/A N/A 1,122 23 88,724 13,571 2024-01-12 $11.84 $12.50 37.4% 10.7% 36.1% 23.6% 37.5% 8.3% 4.3% 411.7K -14.3M -156.1K 0.17 45.88 N/A N/A 954 161 89,714 13,555 2024-01-16 $10.96 $12.50 45.4% 13.0% 40.4% 34.6% 43.1% 1.5% 4.5% 290.5K -10.5M -143.8K 0.05 34.29 N/A N/A 10,119 485 90,617 13,693 2024-01-17 $10.75 $10.00 44.1% 12.7% 40.4% 32.8% 46.9% -1.8% 6.0% 336.8K -12.8M -162.4K 0.16 46.59 N/A N/A 5,557 894 96,055 13,233 2024-01-18 $10.64 $10.00 42.9% 12.3% 38.7% 31.1% 39.9% -0.6% 6.2% 333.4K -12.4M -166.9K 0.10 31.68 N/A N/A 2,581 267 98,085 13,054 2024-01-19 $10.66 $10.00 44.4% 12.7% 35.9% 33.2% 44.2% 0.2% 3.2% 325.8K -12.7M -169.1K 0.25 12.50 N/A N/A 725 182 98,385 13,201 2024-01-22 $10.75 $10.00 44.1% 12.6% 36.2% 32.7% 44.1% -0.6% 2.6% 338.8K -14.4M -170.5K 0.10 8.96 N/A N/A 981 100 57,585 8,574 2024-01-23 $10.59 $10.00 42.9% 12.3% 36.0% 31.1% 43.4% -1.8% 3.0% 330.7K -13.6M -166.9K 0.59 36.05 N/A N/A 606 359 58,115 8,543 2024-01-24 $10.66 $10.00 41.7% 11.9% 36.4% 29.4% 41.6% 13.9% 5.1% 335.9K -13.9M -169.5K 0.03 15.34 N/A N/A 2,692 76 58,517 8,844 2024-01-25 $10.88 $10.00 42.0% 12.0% 35.4% 29.9% 42.5% 17.1% 4.9% 369.2K -15.5M -177.0K 0.42 47.85 N/A N/A 456 193 60,179 8,825 2024-01-26 $10.93 $10.00 40.5% 11.6% 34.6% 27.9% 40.5% 15.3% 4.4% 371.1K -15.9M -180.1K 0.10 69.77 N/A N/A 1,074 108 60,337 8,925 2024-01-29 $10.84 $10.00 45.0% 12.9% 34.0% 34.0% 45.0% 16.9% 3.1% 358.2K -14.7M -174.4K 0.22 39.27 N/A N/A 356 78 60,260 9,022 2024-01-30 $11.13 $10.00 25.5% 7.3% 35.8% 7.1% 25.6% 6.6% 19.0% 363.8K -16.3M -179.8K 0.26 16.30 N/A N/A 595 154 60,280 9,078 2024-01-31 $10.79 $10.00 30.7% 8.8% 37.0% 14.3% 36.1% -7.2% 6.6% 344.9K -14.4M -173.4K 0.52 52.38 N/A N/A 66 34 60,196 9,220
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