VET Options History — July 2020

In July 2020, VET traded between $4.04 and $4.97. ATM implied volatility averaged 96.9%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 24.9%. IV traded above realized volatility by 13.1% (HV 20d: 83.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.14.

Notable Days

  • 2020-07-15: Highest Volume — 771 contracts
  • 2020-07-09: Largest IV spike — 74.0% change
  • 2020-07-09: Highest IV Rank — 56.8%
  • 2020-07-01: Largest Expected Move — 43.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.45$4.04$4.97$4.45$4.08
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV96.9%49.0%169.1%150.7%49.0%
Expected Move24.9%14.1%43.2%43.2%14.1%
HV 20d83.8%66.9%118.6%118.6%79.9%
HV 60d99.6%92.9%109.5%109.5%92.9%
IV Rank30.0%12.2%56.8%49.9%12.2%
IV Percentile74.2%54.8%94.4%91.3%54.8%
Term Structure2.5%-50.5%57.6%-50.5%57.6%
VWIV85.1%51.7%137.5%137.5%53.3%
Skew 25d-9.2%-29.0%11.1%-14.4%-17.4%
Skew 10d-10.2%-44.8%27.4%18.8%-3.4%
Call IV 25d94.0%62.5%118.9%118.9%92.6%
Put IV 25d84.8%61.0%105.5%104.5%75.1%
Bid-Ask Spread %67.1019.60119.15111.7919.60
Gamma HHI0.410.280.580.280.43
Net GEX5.7K2.2K11.9K4.3K5.9K
Net DEX757.4K604.5K866.9K728.2K660.5K
Net VEX-2.1K-3.1K-1.7K-3.1K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.000.570.030.25
Total Volume191.8645177114089
Total OI10,420.7279,86810,68910,42310,521

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$4.45$5.00150.7%43.2%118.6%49.9%137.5%-14.4%-50.5%4.3K728.2K-3.1K0.03111.79N/AN/A13647,3163,107
2020-07-02$4.56$5.0092.1%26.4%117.9%28.2%94.4%0.5%0.3%5.0K835.5K-2.3K0.2181.20N/AN/A62137,3673,105
2020-07-06$4.49$5.0082.5%24.8%101.1%24.6%88.1%1.8%4.1%5.8K781.9K-2.6K0.2880.52N/AN/A4731327,4243,108
2020-07-07$4.31$5.00120.8%25.8%91.8%38.8%90.1%9.2%5.3%2.6K840.8K-2.2K0.5783.76N/AN/A42247,4763,110
2020-07-08$4.16$5.0097.2%27.2%91.0%30.0%94.6%2.6%2.4%2.2K866.9K-2.0K0.05119.15N/AN/A210107,4743,123
2020-07-09$4.04$5.00169.1%27.6%89.4%56.8%96.6%1.4%-2.7%2.2K795.5K-1.8K0.2991.49N/AN/A116347,5342,979
2020-07-10$4.35$5.00131.2%19.1%68.7%42.7%68.5%6.1%21.7%2.7K821.0K-2.0K0.0594.04N/AN/A8247,5673,002
2020-07-13$4.18$5.00145.9%28.0%66.9%48.1%65.8%-23.0%-13.8%2.5K829.9K-1.8K0.02105.75N/AN/A5017,5923,003
2020-07-14$4.38$5.0088.9%24.3%70.3%27.0%84.9%4.8%6.1%3.0K851.3K-1.9K0.1521.15N/AN/A134207,6043,004
2020-07-15$4.75$5.0084.9%24.3%76.2%25.5%85.3%-10.2%7.1%11.9K780.0K-2.3K0.2474.87N/AN/A6241477,6443,022
2020-07-16$4.62$5.0088.5%25.4%73.3%26.8%88.5%-17.7%4.1%4.1K845.0K-2.1K0.0472.19N/AN/A10547,5943,024
2020-07-17$4.42$5.0089.6%25.7%74.5%27.2%91.5%-18.7%-3.7%3.8K844.5K-1.9K0.1038.63N/AN/A169177,6653,024
2020-07-20$4.36$5.0075.0%21.5%73.4%21.8%75.2%-19.1%9.8%4.2K781.5K-1.9K0.0058.52N/AN/A23916,9202,948
2020-07-21$4.97$5.0075.4%21.6%87.8%22.0%75.4%-9.8%-2.1%7.8K716.0K-2.2K0.1258.40N/AN/A262327,1282,808
2020-07-22$4.87$5.0079.2%22.7%86.6%23.4%79.2%-7.6%17.3%8.8K604.5K-2.7K0.0957.59N/AN/A120117,3122,804
2020-07-23$4.76$5.0077.3%22.2%81.2%22.7%77.3%-29.0%2.6%8.7K676.0K-2.2K0.0126.23N/AN/A18127,3322,810
2020-07-24$4.71$5.0079.0%22.7%80.8%23.3%79.0%-10.3%7.2%9.3K632.9K-2.3K0.0122.62N/AN/A26827,4692,811
2020-07-27$4.69$5.0075.6%21.7%75.0%22.0%51.7%11.1%31.2%8.4K675.1K-2.0K0.07116.04N/AN/A145107,4212,823
2020-07-28$4.34$5.0085.4%24.5%80.0%25.7%89.5%-21.9%-17.9%8.0K706.1K-1.7K0.2641.30N/AN/A72197,5302,823
2020-07-29$4.32$5.0083.5%23.9%79.4%24.9%86.6%-22.1%-1.0%8.4K698.2K-1.7K0.1555.71N/AN/A82127,6052,834
2020-07-30$4.16$5.00112.0%32.1%80.5%35.5%118.8%-19.1%-29.1%6.5K691.1K-1.7K0.0245.65N/AN/A6017,6442,845
2020-07-31$4.08$5.0049.0%14.1%79.9%12.2%53.3%-17.4%57.6%5.9K660.5K-1.9K0.2519.60N/AN/A71187,6952,826