VET Options History — February 2020

In February 2020, VET traded between $9.89 and $14.62. ATM implied volatility averaged 41.6%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 0.9% (HV 20d: 40.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.25.

Notable Days

  • 2020-02-03: Highest Volume — 11,779 contracts
  • 2020-02-28: Largest IV spike — 54.0% change
  • 2020-02-28: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 29.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.56$9.89$14.62$13.97$9.89
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV41.6%22.5%102.6%28.4%102.6%
Expected Move11.7%6.4%29.4%8.1%29.4%
HV 20d40.7%32.5%62.8%34.5%62.8%
HV 60d35.6%32.8%47.1%33.3%47.1%
IV Rank40.5%10.5%100.0%20.4%100.0%
IV Percentile64.7%3.2%100.0%15.9%100.0%
Term Structure3.3%-29.7%100.6%3.2%-29.7%
VWIV40.8%24.8%84.4%24.8%84.4%
Skew 25d3.7%-29.2%33.6%-9.8%-29.2%
Skew 10d14.8%-10.7%62.9%-9.0%-10.7%
Call IV 25d42.3%20.5%134.2%33.3%134.2%
Put IV 25d46.1%22.3%105.0%23.5%105.0%
Bid-Ask Spread %71.0542.3899.2463.0199.24
Gamma HHI0.500.300.710.380.30
Net GEX263.6K9.2K596.8K43.8K19.2K
Net DEX-564.5K-4.2M3.8M1.5M3.3M
Net VEX-33.7K-47.0K-18.6K-28.9K-18.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.031.310.040.23
Total Volume2,396.57912811,77911,7795,002
Total OI25,418.36821,01329,24521,01323,568

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$13.97$15.0028.4%8.1%34.5%20.4%24.8%-9.8%3.2%43.8K1.5M-28.9K0.0463.01N/AN/A11,31546415,2985,715
2020-02-04$14.01$15.0022.5%6.4%32.5%10.5%27.3%1.8%18.1%210.0K-611.8K-35.6K0.2161.32N/AN/A1,79937517,4275,527
2020-02-05$14.53$15.0032.3%9.3%36.3%27.1%32.4%0.5%1.8%290.1K-2.9M-41.1K0.0864.32N/AN/A1,2489618,2435,592
2020-02-06$14.62$15.0045.2%11.7%35.9%48.9%40.8%11.4%-5.6%331.3K-4.2M-47.0K0.0749.85N/AN/A5,35036819,3945,606
2020-02-07$14.27$15.0044.1%10.6%36.1%47.1%36.4%3.5%-3.3%363.5K-2.4M-40.6K1.3168.94N/AN/A15820720,2975,668
2020-02-10$14.02$15.0035.1%10.0%36.2%31.9%35.2%4.5%-0.9%314.5K-782.3K-36.0K0.2670.14N/AN/A2506420,4075,802
2020-02-11$14.22$15.0037.3%10.4%37.0%35.6%34.3%2.5%-4.2%357.8K-1.7M-37.4K0.0569.02N/AN/A169820,3845,815
2020-02-12$14.43$15.0036.5%10.5%37.0%34.3%37.3%6.5%-3.9%437.0K-2.5M-38.8K0.1562.26N/AN/A2724120,4525,817
2020-02-13$14.22$15.0035.3%10.1%36.8%32.2%35.3%1.7%-2.7%373.5K-1.3M-36.7K0.4578.88N/AN/A884020,4695,854
2020-02-14$14.11$15.0033.9%9.7%36.2%29.9%32.2%0.7%-3.2%330.5K-567.4K-33.2K0.2075.32N/AN/A1523020,5425,866
2020-02-18$14.16$15.0033.3%9.5%36.4%28.7%36.5%0.7%-3.2%328.2K-433.3K-30.5K0.1183.34N/AN/A1,37915420,5855,884
2020-02-19$14.40$15.0033.5%9.6%37.4%29.1%33.6%3.2%-3.8%447.7K-2.0M-35.8K0.1375.26N/AN/A3524521,9635,903
2020-02-20$14.55$15.0033.5%9.6%37.7%29.1%33.2%5.0%-5.4%596.8K-3.0M-37.6K0.0376.93N/AN/A1,4343722,2535,905
2020-02-21$14.31$15.0038.8%11.1%37.9%38.0%38.3%2.6%-6.3%331.8K-2.6M-41.6K0.0866.25N/AN/A2,45019823,3475,898
2020-02-24$13.38$15.0035.0%10.0%43.7%31.8%46.3%-2.1%11.9%150.8K264.8K-34.2K0.0742.38N/AN/A5,37137620,1615,461
2020-02-25$12.65$15.0047.7%13.7%45.3%53.2%47.2%33.6%4.7%57.6K1.9M-29.0K0.3177.69N/AN/A71622418,6875,564
2020-02-26$11.60$15.0049.1%14.1%51.6%55.5%49.3%8.3%-6.1%9.2K3.8M-18.8K0.1675.26N/AN/A3,30953918,3435,634
2020-02-27$10.31$15.0066.6%19.1%62.3%85.3%69.4%25.6%100.6%14.5K3.6M-19.1K0.8290.46N/AN/A79865717,7425,876
2020-02-28$9.89$15.00102.6%29.4%62.8%100.0%84.4%-29.2%-29.7%19.2K3.3M-18.6K0.2399.24N/AN/A4,05694617,6235,945