VET Options History — August 2020

In August 2020, VET traded between $3.97 and $4.67. ATM implied volatility averaged 72.6%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 12.4% (HV 20d: 60.2%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2020-08-04: Highest Volume — 339 contracts
  • 2020-08-28: Largest IV spike — 79.6% change
  • 2020-08-03: Highest IV Rank — 37.0%
  • 2020-08-03: Largest Expected Move — 33.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.35$3.97$4.67$4.12$3.97
Max Pain$8.93$5.00$10.00$5.00$7.50
ATM IV72.6%41.1%115.8%115.8%75.2%
Expected Move21.0%11.8%33.2%33.2%21.6%
HV 20d60.2%43.7%80.0%80.0%45.6%
HV 60d87.9%78.7%92.9%92.7%78.7%
IV Rank20.9%9.2%37.0%37.0%21.9%
IV Percentile59.9%42.1%85.3%85.3%59.1%
Term Structure4.7%-22.3%31.0%-21.3%1.7%
VWIV76.2%43.3%162.4%94.8%72.8%
Skew 25d5.6%-41.3%52.7%-19.0%-41.3%
Skew 10d8.3%-41.3%47.6%-38.1%-41.3%
Call IV 25d70.8%40.2%121.2%90.5%121.2%
Put IV 25d76.4%62.0%113.3%71.6%80.0%
Bid-Ask Spread %46.7710.2567.2767.2710.25
Gamma HHI0.600.430.740.430.52
Net GEX9.3K2.5K17.4K3.9K2.6K
Net DEX655.6K526.7K802.7K765.3K580.0K
Net VEX-1.5K-2.3K-898-1.3K-898
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.0030.000.020.00
Total Volume115.1432833923536
Total OI10,544.9059,82010,95610,5419,880

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$4.12$5.00115.8%33.2%80.0%37.0%0.0%-19.0%-21.3%3.9K765.3K-1.3K0.0267.27N/AN/A23057,7072,834
2020-08-04$4.26$5.0082.8%23.7%79.9%24.7%94.8%-8.2%-22.3%9.5K702.3K-1.6K0.0641.44N/AN/A320197,8672,831
2020-08-05$4.41$5.0088.0%25.2%79.7%26.6%86.4%17.5%1.6%10.9K597.1K-2.3K0.0844.22N/AN/A5348,1182,829
2020-08-06$4.46$10.0069.6%24.7%78.8%19.8%83.1%25.8%-7.3%12.1K670.7K-1.9K0.4761.25N/AN/A38188,1252,831
2020-08-07$4.47$10.0064.7%24.8%74.5%18.0%72.2%4.3%-2.0%12.7K645.7K-2.0K30.0039.80N/AN/A1308,1062,844
2020-08-10$4.67$10.00112.3%21.6%74.3%35.7%75.4%13.4%31.0%14.4K602.0K-2.3K0.0257.90N/AN/A9128,1072,814
2020-08-11$4.59$10.0072.3%24.8%73.0%20.8%86.7%7.3%-9.3%14.8K629.8K-2.1K0.0640.20N/AN/A8958,1222,814
2020-08-12$4.63$10.0065.9%18.9%66.9%18.4%65.8%6.1%13.7%15.6K674.1K-1.8K0.0449.97N/AN/A277108,1132,784
2020-08-13$4.53$10.0073.4%21.0%66.6%21.2%73.6%4.4%26.9%13.6K642.8K-1.9K0.0350.58N/AN/A11137,9972,774
2020-08-14$4.64$10.0063.2%18.1%65.2%17.4%62.4%8.1%15.7%14.2K661.2K-1.8K0.4549.25N/AN/A89408,0662,775
2020-08-17$4.66$10.0057.7%16.5%64.9%15.4%57.6%10.7%20.8%17.4K694.2K-1.7K0.0237.47N/AN/A16538,0592,759
2020-08-18$4.51$10.0065.4%18.8%45.2%18.2%67.1%-0.7%8.9%7.2K802.7K-1.4K0.0046.02N/AN/A6808,1122,758
2020-08-19$4.42$10.0062.3%17.9%45.2%17.1%69.6%6.3%8.8%7.1K675.3K-1.4K0.0055.97N/AN/A12408,1332,541
2020-08-20$4.32$10.0054.8%15.7%45.2%14.3%64.5%-3.7%0.0%6.9K679.4K-1.3K0.0452.55N/AN/A2718,0382,541
2020-08-21$4.04$10.0058.8%16.9%50.3%15.8%84.5%29.4%15.0%5.2K668.5K-1.2K0.4151.77N/AN/A99418,0582,540
2020-08-24$4.16$10.0080.2%23.0%52.0%23.7%82.0%-26.6%-19.5%2.5K704.8K-9840.0151.75N/AN/A9417,4952,405
2020-08-25$4.20$10.0085.2%24.4%44.8%25.6%44.0%52.7%30.2%6.2K638.7K-1.1K0.1941.42N/AN/A91177,5812,404
2020-08-26$4.12$10.0061.8%17.7%45.2%16.9%162.4%24.3%12.2%6.2K637.7K-1.2K0.0256.03N/AN/A10127,6172,411
2020-08-27$4.04$7.5041.1%11.8%43.7%9.2%43.3%3.6%-5.4%4.4K569.3K-1.0K0.2422.85N/AN/A3487,6672,153
2020-08-28$4.12$7.5073.8%21.2%43.8%21.4%72.8%3.2%-4.8%7.0K526.7K-1.2K0.0054.14N/AN/A7107,6742,159
2020-08-31$3.97$7.5075.2%21.6%45.6%21.9%0.0%-41.3%1.7%2.6K580.0K-8980.0010.25N/AN/A3607,7212,159