VET Options History — January 2020

In January 2020, VET traded between $14.43 and $16.82. ATM implied volatility averaged 27.1%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 2.2% (HV 20d: 29.3%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.78.

Notable Days

  • 2020-01-03: Highest Volume — 2,136 contracts
  • 2020-01-27: Largest IV spike — 38.8% change
  • 2020-01-31: Highest IV Rank — 32.4%
  • 2020-01-31: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.07$14.43$16.82$16.13$14.43
Max Pain$16.19$15.00$17.50$17.50$15.00
ATM IV27.1%21.6%35.4%23.9%35.4%
Expected Move7.9%6.2%10.2%6.8%10.2%
HV 20d29.3%24.6%34.3%32.1%34.3%
HV 60d41.1%32.7%42.7%42.7%32.7%
IV Rank18.2%8.9%32.4%12.8%32.4%
IV Percentile14.4%1.6%62.3%2.8%62.3%
Term Structure2.4%-3.5%11.7%2.4%1.6%
VWIV27.2%16.9%35.4%19.0%35.4%
Skew 25d2.6%-8.9%13.9%-2.3%-3.6%
Skew 10d4.5%-7.5%16.4%-0.4%-1.5%
Call IV 25d24.0%13.1%32.7%21.2%32.7%
Put IV 25d26.6%17.3%32.5%18.9%29.1%
Bid-Ask Spread %79.4156.1297.3369.0277.86
Gamma HHI0.590.450.660.510.45
Net GEX353.1K102.8K479.3K274.1K102.8K
Net DEX-5.1M-8.9M163.5K-4.9M163.5K
Net VEX-39.4K-46.8K-32.3K-37.6K-33.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.018.198.190.83
Total Volume552.048812,1366431,603
Total OI19,686.42916,90920,86316,97220,863

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$16.13$17.5023.9%6.8%32.1%12.8%19.0%-2.3%2.4%274.1K-4.9M-37.6K8.1969.02N/AN/A7057312,5934,379
2020-01-03$16.40$17.5025.8%7.4%30.1%16.0%22.4%-5.9%-3.5%337.0K-6.0M-38.4K0.0177.93N/AN/A2,1251112,6454,264
2020-01-06$16.82$17.5024.5%8.1%30.4%13.8%28.6%5.0%1.7%454.9K-8.7M-45.5K0.0975.75N/AN/A1,38611914,6994,263
2020-01-07$16.81$17.5027.2%8.3%29.7%18.5%23.3%-5.2%0.1%479.3K-8.9M-46.8K2.2785.98N/AN/A17539715,1244,266
2020-01-08$16.38$17.5027.4%8.6%31.8%18.8%28.9%4.7%3.7%402.6K-7.1M-45.4K0.3984.88N/AN/A33913115,2224,263
2020-01-09$16.51$17.5023.3%8.7%31.4%11.8%28.1%-8.9%1.7%426.3K-7.3M-46.0K0.3985.29N/AN/A1224715,3434,378
2020-01-10$16.32$17.5029.3%8.4%31.5%21.9%29.3%2.4%3.6%410.4K-6.9M-44.5K0.6497.33N/AN/A835315,3984,393
2020-01-13$16.30$15.0033.4%8.1%30.2%29.0%28.8%2.1%1.0%419.8K-6.4M-42.1K2.8889.00N/AN/A11232315,4644,377
2020-01-14$16.54$15.0029.6%7.5%29.8%22.6%31.3%-6.3%3.5%462.0K-7.1M-43.9K0.2390.61N/AN/A661515,5464,690
2020-01-15$16.23$15.0031.5%9.0%29.5%25.8%31.7%4.5%-0.1%408.9K-5.9M-41.9K0.3792.11N/AN/A1254615,5624,678
2020-01-16$16.43$15.0023.8%6.8%29.0%12.7%26.5%4.9%3.8%468.4K-6.3M-40.4K2.6676.95N/AN/A12633515,5994,724
2020-01-17$16.32$17.5022.6%6.5%29.1%10.7%23.1%5.6%5.1%457.9K-5.6M-39.3K1.9990.34N/AN/A7514915,5484,972
2020-01-21$16.24$17.5023.9%6.9%29.0%12.9%27.1%5.0%10.2%432.3K-5.5M-38.8K1.7080.03N/AN/A6310714,7944,375
2020-01-22$16.04$17.5022.0%6.3%29.3%9.6%27.9%13.9%11.7%387.0K-4.5M-36.1K3.7577.91N/AN/A10740114,8344,453
2020-01-23$16.05$15.0029.5%8.5%24.6%22.4%29.5%13.3%-0.8%367.6K-4.3M-36.8K1.5256.12N/AN/A25038014,7684,795
2020-01-24$15.82$15.0021.6%6.2%24.9%8.9%16.9%-0.1%3.1%295.6K-3.5M-36.1K6.4765.94N/AN/A3623314,9824,970
2020-01-27$15.16$15.0029.9%8.6%26.5%23.1%29.9%5.9%1.3%160.0K-1.2M-32.3K1.2286.11N/AN/A32739914,9765,149
2020-01-28$15.47$15.0027.7%7.9%27.6%19.3%27.6%6.4%-2.3%226.3K-2.4M-35.3K0.7763.76N/AN/A886815,1375,472
2020-01-29$15.64$15.0028.9%8.3%27.4%21.3%29.0%8.2%-0.7%234.9K-2.6M-33.6K0.4363.31N/AN/A26011215,1225,521
2020-01-30$15.36$15.0027.1%7.8%27.3%18.2%27.3%5.1%3.4%208.0K-1.9M-33.7K0.6881.38N/AN/A936315,1905,624
2020-01-31$14.43$15.0035.4%10.2%34.3%32.4%35.4%-3.6%1.6%102.8K163.5K-33.7K0.8377.86N/AN/A87672715,2125,651