VET Options History — April 2020

In April 2020, VET traded between $3.00 and $4.94. ATM implied volatility averaged 142.8%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 37.3%. IV traded below realized volatility by 30.5% (HV 20d: 173.3%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2020-04-09: Highest Volume — 759 contracts
  • 2020-04-15: Largest IV spike — 50.8% change
  • 2020-04-06: Highest IV Rank — 79.7%
  • 2020-04-16: Largest Expected Move — 46.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.85$3.00$4.94$3.00$4.94
Max Pain$2.86$2.50$5.00$5.00$5.00
ATM IV142.8%73.1%231.0%156.9%109.8%
Expected Move37.3%21.0%46.8%45.0%31.5%
HV 20d173.3%122.8%272.4%264.1%127.7%
HV 60d170.6%160.2%180.0%160.2%180.0%
IV Rank47.0%21.1%79.7%52.2%34.7%
IV Percentile91.7%84.1%98.8%95.2%87.3%
Term Structure-9.0%-47.6%69.6%-9.7%-46.1%
VWIV132.5%103.6%170.6%156.9%103.6%
Skew 25d15.0%-65.4%81.8%81.0%19.9%
Skew 10d28.8%-58.5%133.7%87.4%59.9%
Call IV 25d126.6%71.2%186.7%94.2%86.6%
Put IV 25d141.6%90.4%197.0%175.2%106.5%
Bid-Ask Spread %81.9839.50122.7896.0660.12
Gamma HHI0.240.170.480.190.44
Net GEX3.8K99411.8K2.3K11.8K
Net DEX1.1M692.8K1.3M885.3K1.0M
Net VEX-4.2K-6.5K-1.8K-3.6K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.012.830.310.04
Total Volume288.1437675976471
Total OI15,535.33314,85516,26014,85516,154

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$3.00$5.00156.9%45.0%264.1%52.2%156.9%81.0%-9.7%2.3K885.3K-3.6K0.3196.06N/AN/A581810,2554,600
2020-04-02$3.41$2.50181.2%40.4%272.4%61.3%0.0%-46.1%-26.8%1.2K1.2M-2.6K0.04108.98N/AN/A3301310,2604,601
2020-04-03$3.46$2.50228.3%37.9%266.6%78.7%164.8%5.7%-29.6%2.2K886.5K-4.9K0.47103.09N/AN/A22810810,2794,603
2020-04-06$3.60$2.50231.0%41.0%203.6%79.7%170.6%-5.0%1.2%9941.2M-2.6K0.0485.22N/AN/A173710,2294,688
2020-04-07$3.92$2.50154.0%33.0%204.6%51.2%118.8%-35.3%1.4%2.1K1.2M-3.7K0.2294.63N/AN/A1643610,3254,694
2020-04-08$4.27$2.50129.4%37.1%198.0%42.0%129.4%81.8%4.6%6.0K1.1M-5.1K0.1683.69N/AN/A2373810,3634,694
2020-04-09$4.45$2.50139.3%39.9%190.4%45.7%130.4%-4.0%-44.8%2.7K1.2M-4.8K0.11117.23N/AN/A6857410,5064,718
2020-04-13$4.49$2.50148.6%42.6%190.3%49.1%142.2%25.9%1.5%10.7K956.8K-6.5K0.1995.23N/AN/A1793410,7384,725
2020-04-14$4.29$2.50103.0%29.5%183.2%32.2%110.6%54.8%14.0%4.0K1.1M-5.3K0.0783.85N/AN/A3792510,8474,694
2020-04-15$3.56$2.50155.3%44.5%185.0%51.6%0.0%41.1%69.6%2.8K850.0K-5.3K0.3061.61N/AN/A3009011,1524,698
2020-04-16$3.24$2.50163.2%46.8%149.8%54.6%133.4%-5.1%-38.4%1.9K914.0K-3.9K0.2382.95N/AN/A2535711,4214,782
2020-04-17$3.57$2.50151.4%43.4%146.8%50.2%130.4%43.4%-32.9%3.4K873.8K-4.9K0.2271.54N/AN/A1212711,5324,728
2020-04-20$3.39$2.50156.9%45.0%146.3%52.2%146.3%44.3%-26.3%2.0K999.0K-3.4K0.17122.78N/AN/A1963310,5494,574
2020-04-21$3.40$2.50125.4%35.9%142.8%40.5%128.9%-65.4%14.8%3.0K692.8K-5.2K0.20104.90N/AN/A3326610,6524,605
2020-04-22$3.65$2.50122.7%35.2%141.0%39.5%112.3%35.5%-18.5%2.6K1.0M-4.1K0.0183.95N/AN/A218210,9384,639
2020-04-23$3.97$2.50127.8%36.6%123.9%41.4%143.4%-41.5%-1.2%3.2K1.1M-4.3K0.4246.25N/AN/A1325611,1494,639
2020-04-24$3.71$2.50146.0%41.9%127.3%48.2%152.3%45.6%-47.6%2.1K1.2M-2.6K2.8371.79N/AN/A8022611,2334,632
2020-04-27$3.75$2.5073.1%21.0%122.8%21.1%0.0%31.5%-6.5%1.7K1.3M-1.8K0.2454.03N/AN/A2125111,2664,759
2020-04-28$4.10$2.5099.1%28.4%125.5%30.8%105.6%27.1%10.3%2.8K1.2M-3.2K0.1254.10N/AN/A1171411,3584,785
2020-04-29$4.60$5.0095.9%27.5%127.1%29.6%105.0%-19.2%22.5%9.4K1.2M-4.1K0.0839.50N/AN/A1961511,3854,793
2020-04-30$4.94$5.00109.8%31.5%127.7%34.7%103.6%19.9%-46.1%11.8K1.0M-5.6K0.0460.12N/AN/A4551611,3564,798