VET Options History — June 2020

In June 2020, VET traded between $4.22 and $7.38. ATM implied volatility averaged 88.4%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 25.7%. IV traded below realized volatility by 18.4% (HV 20d: 106.7%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2020-06-17: Highest Volume — 1,034 contracts
  • 2020-06-04: Largest IV spike — 34.0% change
  • 2020-06-11: Highest IV Rank — 38.2%
  • 2020-06-11: Largest Expected Move — 34.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.41$4.22$7.38$5.16$4.45
Max Pain$5.68$5.00$10.00$10.00$5.00
ATM IV88.4%50.5%119.0%85.4%82.4%
Expected Move25.7%14.5%34.1%24.5%23.6%
HV 20d106.7%74.3%122.8%74.3%119.0%
HV 60d129.2%109.7%182.1%182.1%109.7%
IV Rank26.8%12.7%38.2%25.6%24.5%
IV Percentile78.5%69.8%87.7%77.8%72.6%
Term Structure9.7%-26.3%69.4%6.7%3.8%
VWIV89.2%46.6%117.9%85.4%85.3%
Skew 25d14.0%-13.3%57.9%25.3%34.9%
Skew 10d32.9%-20.9%75.9%40.8%73.1%
Call IV 25d92.9%46.9%136.2%69.0%82.8%
Put IV 25d106.9%58.5%153.9%94.3%117.7%
Bid-Ask Spread %87.1413.13126.4148.07101.93
Gamma HHI0.280.190.450.410.22
Net GEX9.8K4.0K21.8K11.7K6.2K
Net DEX813.9K141.0K1.2M1.2M559.0K
Net VEX-4.7K-8.8K-2.8K-4.3K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.0013.360.170.30
Total Volume399.5601,03428860
Total OI14,818.8649,78417,45816,57410,391

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$5.16$10.0085.4%24.5%74.3%25.6%85.4%25.3%6.7%11.7K1.2M-4.3K0.1748.07N/AN/A2474111,7874,787
2020-06-02$5.46$10.0073.2%21.0%76.1%21.1%73.2%39.4%36.4%11.7K1.2M-4.2K0.1113.13N/AN/A5045611,8374,729
2020-06-03$5.56$10.0050.5%14.5%75.7%12.7%46.6%1.3%43.6%12.1K1.2M-3.7K0.0761.49N/AN/A2221612,0934,710
2020-06-04$5.78$5.0067.7%29.8%75.0%19.1%80.2%42.0%-20.7%12.0K1.0M-4.4K0.1258.33N/AN/A6918212,0754,479
2020-06-05$6.72$5.0083.4%32.0%89.6%24.9%117.9%-13.3%-26.3%14.6K719.0K-6.5K0.04104.01N/AN/A8163012,0914,478
2020-06-08$7.38$5.0098.3%29.8%93.2%30.4%102.9%-4.7%-17.5%21.8K141.0K-8.8K0.01103.90N/AN/A864512,4324,473
2020-06-09$6.94$5.00104.0%17.6%97.3%32.6%93.4%34.1%-4.5%21.0K409.2K-7.8K0.06110.73N/AN/A5313212,6564,476
2020-06-10$6.46$5.00100.9%28.9%102.4%31.4%104.5%8.1%-15.1%9.1K644.9K-6.9K0.4697.11N/AN/A1255712,6784,494
2020-06-11$5.30$5.00119.0%34.1%122.2%38.2%101.6%16.2%-14.3%12.1K987.4K-4.8K0.37124.58N/AN/A40815012,6664,522
2020-06-12$5.51$5.00103.5%29.7%122.4%32.4%105.0%-9.3%49.2%15.3K704.8K-6.5K0.1286.16N/AN/A3033512,7594,581
2020-06-15$5.42$5.00101.5%29.1%122.8%31.7%117.6%-4.5%-10.8%7.7K671.8K-5.7K0.42112.44N/AN/A984112,7424,592
2020-06-16$5.59$5.00114.7%32.9%115.7%36.5%100.5%18.9%-19.3%13.2K853.5K-5.7K0.00103.91N/AN/A72012,7834,596
2020-06-17$5.22$5.0088.3%25.3%118.5%26.8%72.9%7.3%29.0%11.2K968.7K-4.1K13.36126.41N/AN/A7296212,8114,429
2020-06-18$5.21$5.0077.0%22.1%115.8%22.5%80.2%-6.8%9.8%6.3K945.1K-4.5K0.0498.41N/AN/A113512,8104,648
2020-06-19$4.99$5.0070.2%20.1%116.7%20.0%67.3%12.5%69.4%4.6K1.2M-3.6K0.06100.65N/AN/A5092912,7504,361
2020-06-22$4.88$5.0082.2%23.6%116.6%24.5%84.9%-8.4%8.5%4.0K774.5K-3.4K0.0424.84N/AN/A341146,7453,039
2020-06-23$5.10$5.0084.3%24.2%115.4%25.3%89.5%19.1%-1.0%4.7K820.2K-3.1K0.17102.09N/AN/A473796,9503,047
2020-06-24$4.68$5.0079.4%22.8%119.1%23.4%78.7%9.2%17.7%4.3K746.5K-3.2K0.1294.17N/AN/A220266,9593,048
2020-06-25$4.57$5.0095.3%27.3%119.0%29.3%95.3%3.9%17.9%4.1K762.6K-3.0K0.1451.84N/AN/A93137,0093,048
2020-06-26$4.22$5.00103.0%29.5%121.0%32.2%99.6%24.8%6.0%4.1K740.2K-2.8K0.07109.48N/AN/A224157,0513,061
2020-06-29$4.34$5.0080.1%23.0%120.7%23.7%79.9%57.9%44.8%4.7K699.9K-3.3K0.0183.41N/AN/A11417,2493,093
2020-06-30$4.45$5.0082.4%23.6%119.0%24.5%85.3%34.9%3.8%6.2K559.0K-4.3K0.30101.93N/AN/A46147,2973,094