VET Options History — March 2020 In March 2020, VET traded between $1.72 and $10.59. ATM implied volatility averaged 156.1%, placing in the 70.7% IV rank vs the trailing year. The 30-day expected move averaged 43.2%. IV traded below realized volatility by 31.1% (HV 20d: 187.2%). Max pain ranged from $5.00 to $15.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.27.
Notable Days 2020-03-06 : Highest Volume — 1,234 contracts2020-03-16 : Largest IV spike — 387.2% change2020-03-09 : Highest IV Rank — 100.0%2020-03-16 : Largest Expected Move — 81.9%Monthly Statistics Metric Avg Min Max Open Close Price $4.38 $1.72 $10.59 $10.59 $3.03 Max Pain $8.64 $5.00 $15.00 $15.00 $5.00 ATM IV 156.1% 58.6% 285.5% 79.0% 131.4% Expected Move 43.2% 15.8% 81.9% 22.7% 37.7% HV 20d 187.2% 68.4% 264.3% 68.5% 264.3% HV 60d 121.0% 49.0% 160.6% 49.5% 160.6% IV Rank 70.7% 22.5% 100.0% 72.6% 42.8% IV Percentile 98.2% 93.7% 100.0% 99.6% 94.4% Term Structure -22.8% -204.6% 177.1% -24.6% 14.7% VWIV 135.4% 56.1% 250.4% 72.8% 149.5% Skew 25d 20.9% -52.6% 108.3% 28.3% 3.5% Skew 10d 19.7% -88.3% 127.2% 54.7% 3.5% Call IV 25d 119.6% 34.8% 220.6% 62.5% 129.7% Put IV 25d 140.6% 67.0% 257.1% 90.8% 133.2% Bid-Ask Spread % 97.06 59.94 132.00 91.74 85.70 Gamma HHI 0.24 0.18 0.36 0.33 0.20 Net GEX 2.1K -6.1K 14.9K 14.9K 1.8K Net DEX 1.7M 586.0K 4.1M 3.0M 939.2K Net VEX -6.0K -18.7K -566 -18.7K -3.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.27 0.06 6.14 1.45 0.27 Total Volume 492.318 45 1,234 812 258 Total OI 20,953.091 14,122 24,502 22,854 14,805
Daily Data (22 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 2020-03-02 $10.59 $15.00 79.0% 22.7% 68.5% 72.6% 72.8% 28.3% -24.6% 14.9K 3.0M -18.7K 1.45 91.74 N/A N/A 332 480 17,245 5,609 2020-03-03 $10.23 $15.00 85.9% 24.6% 68.6% 80.6% 75.3% 24.7% -11.1% 9.3K 3.3M -16.5K 2.85 85.72 N/A N/A 252 717 17,338 5,769 2020-03-04 $10.18 $15.00 72.3% 20.7% 68.4% 64.8% 72.5% 9.9% -10.6% -1.3K 3.7M -18.0K 1.17 72.44 N/A N/A 54 63 17,417 6,419 2020-03-05 $9.45 $12.50 97.6% 16.4% 68.4% 94.1% 57.4% 12.7% -10.7% -6.1K 4.1M -13.5K 2.65 132.00 N/A N/A 240 636 17,441 6,462 2020-03-06 $7.66 $12.50 100.9% 15.8% 94.8% 98.0% 69.1% 13.6% 177.1% 7.9K 3.1M -14.8K 0.69 108.41 N/A N/A 730 504 17,469 6,561 2020-03-09 $4.63 $12.50 184.0% 56.2% 192.1% 100.0% 193.7% 36.0% -32.8% 1.0K 2.6M -3.0K 1.37 111.90 N/A N/A 389 533 17,626 6,498 2020-03-10 $4.26 $12.50 181.9% 40.1% 191.7% 98.7% 138.4% 60.6% -48.3% 2.5K 2.0M -5.9K 0.63 95.34 N/A N/A 471 298 17,784 6,131 2020-03-11 $3.62 $10.00 114.7% 32.9% 193.0% 58.7% 172.0% -14.3% -71.4% 1.5K 1.6M -4.3K 0.94 107.89 N/A N/A 287 271 18,053 5,912 2020-03-12 $3.15 $7.50 204.3% 58.6% 191.9% 100.0% 0.0% 51.0% -52.1% 1.3K 1.5M -2.3K 0.98 119.14 N/A N/A 230 226 18,221 5,876 2020-03-13 $3.15 $7.50 58.6% 16.8% 192.6% 22.5% 0.0% 54.4% -0.7% 1.2K 1.5M -2.1K 6.14 125.63 N/A N/A 77 473 18,336 5,972 2020-03-16 $2.75 $7.50 285.5% 81.9% 192.0% 100.0% 0.0% 17.0% -88.1% -153 1.6M -732 1.67 108.51 N/A N/A 88 147 18,327 6,130 2020-03-17 $2.31 $7.50 159.7% 45.8% 191.9% 53.3% 175.5% -20.2% -45.0% -79 1.4M -566 1.18 104.99 N/A N/A 91 107 18,325 6,129 2020-03-18 $1.72 $7.50 175.2% 50.2% 200.5% 59.0% 66.4% -52.6% 169.8% 274 968.4K -753 2.63 109.53 N/A N/A 169 445 18,350 6,152 2020-03-19 $1.97 $7.50 237.7% 68.1% 214.6% 82.2% 250.4% 39.3% -204.6% 651 942.3K -2.0K 0.87 87.60 N/A N/A 273 238 18,481 5,883 2020-03-20 $2.20 $5.00 202.1% 57.9% 225.6% 69.0% 215.4% -29.8% -180.4% 2.0K 610.1K -4.7K 0.20 59.94 N/A N/A 122 25 18,493 5,803 2020-03-23 $2.06 $5.00 156.6% 44.9% 225.6% 52.1% 56.1% 108.3% 45.9% 1.4K 586.0K -3.0K 0.26 104.47 N/A N/A 140 36 9,603 4,523 2020-03-24 $2.28 $5.00 173.3% 49.7% 235.8% 58.3% 173.6% 31.8% -143.3% 1.2K 732.5K -2.6K 0.06 77.61 N/A N/A 270 15 9,629 4,493 2020-03-25 $2.83 $5.00 247.2% 70.9% 259.0% 85.8% 227.7% 65.2% -82.5% 2.4K 689.3K -4.5K 0.11 92.44 N/A N/A 245 28 9,706 4,498 2020-03-26 $2.92 $5.00 175.5% 50.3% 260.8% 59.1% 0.0% -4.3% 2.5% 1.4K 908.8K -3.2K 0.65 85.79 N/A N/A 359 232 9,807 4,500 2020-03-27 $2.70 $5.00 139.9% 40.1% 260.7% 45.9% 149.5% 31.4% 46.9% 2.3K 678.9K -4.3K 1.14 86.79 N/A N/A 21 24 10,036 4,542 2020-03-30 $2.75 $5.00 171.4% 49.1% 257.9% 57.6% 0.0% -6.1% 48.1% 1.0K 922.9K -2.4K 0.06 81.73 N/A N/A 222 13 10,048 4,566 2020-03-31 $3.03 $5.00 131.4% 37.7% 264.3% 42.8% 0.0% 3.5% 14.7% 1.8K 939.2K -3.3K 0.27 85.70 N/A N/A 203 55 10,233 4,572
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