VET Options History — September 2020 In September 2020, VET traded between $2.33 and $3.86. ATM implied volatility averaged 93.9%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 25.7%. IV traded above realized volatility by 29.1% (HV 20d: 64.8%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.79.
Notable Days 2020-09-08 : Highest Volume — 325 contracts2020-09-21 : Largest IV spike — 93.2% change2020-09-24 : Highest IV Rank — 40.9%2020-09-24 : Largest Expected Move — 36.3%Monthly Statistics Metric Avg Min Max Open Close Price $2.97 $2.33 $3.86 $3.86 $2.33 Max Pain $2.98 $2.50 $7.50 $7.50 $2.50 ATM IV 93.9% 57.4% 126.5% 65.7% 93.8% Expected Move 25.7% 16.4% 36.3% 18.8% 26.9% HV 20d 64.8% 43.9% 81.9% 44.5% 81.9% HV 60d 69.7% 63.3% 75.8% 75.8% 71.7% IV Rank 28.8% 15.3% 40.9% 18.3% 28.8% IV Percentile 71.0% 45.2% 86.9% 53.6% 69.0% Term Structure -2.1% -91.3% 165.4% -5.4% -1.2% VWIV 98.1% 58.2% 149.1% 149.1% 94.0% Skew 25d -8.5% -70.3% 48.5% -70.3% 23.5% Skew 10d -4.3% -70.3% 45.0% -70.3% 35.7% Call IV 25d 93.7% 59.4% 149.1% 149.1% 68.9% Put IV 25d 85.2% 48.3% 125.3% 78.8% 92.4% Bid-Ask Spread % 68.35 26.49 120.57 52.73 26.49 Gamma HHI 0.43 0.33 0.52 0.51 0.35 Net GEX 1.4K 330 2.5K 2.5K 535 Net DEX 290.3K -41.3K 562.3K 562.3K 55.9K Net VEX -947 -1.4K -514 -884 -826 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.00 5.31 0.00 0.07 Total Volume 133.286 16 325 20 80 Total OI 7,801.19 3,260 11,077 9,912 3,862
Daily Data (21 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 2020-09-01 $3.86 $7.50 65.7% 18.8% 44.5% 18.3% 149.1% -70.3% -5.4% 2.5K 562.3K -884 0.00 52.73 N/A N/A 20 0 7,753 2,159 2020-09-02 $3.68 $7.50 108.1% 31.0% 44.4% 34.1% 141.0% -65.8% -91.3% 2.2K 533.2K -902 0.13 54.54 N/A N/A 56 7 7,750 2,159 2020-09-03 $3.58 $2.50 116.7% 21.1% 44.2% 37.3% 90.9% -48.6% 28.8% 2.2K 520.3K -857 0.00 48.64 N/A N/A 16 0 7,792 2,137 2020-09-04 $3.55 $2.50 100.2% 20.6% 43.9% 31.2% 63.8% -49.8% 9.8% 2.0K 521.6K -775 0.09 67.50 N/A N/A 191 17 7,814 2,137 2020-09-08 $3.14 $2.50 79.4% 18.2% 54.6% 23.4% 63.1% 15.1% 50.2% 1.5K 456.9K -822 4.24 120.57 N/A N/A 62 263 7,999 2,154 2020-09-09 $3.19 $2.50 101.6% 29.1% 56.1% 31.7% 0.0% 6.7% -71.7% 549 528.9K -514 0.36 75.73 N/A N/A 14 5 8,021 2,365 2020-09-10 $2.96 $2.50 87.2% 25.0% 58.5% 26.3% 0.0% -31.2% -26.2% 470 477.3K -767 1.25 103.20 N/A N/A 44 55 8,026 2,365 2020-09-11 $2.93 $2.50 99.0% 28.4% 58.7% 30.7% 141.6% 8.6% -44.5% 330 445.6K -807 0.00 77.65 N/A N/A 181 0 8,050 2,293 2020-09-14 $2.95 $2.50 91.1% 26.1% 57.2% 27.8% 95.1% 35.2% -1.4% 1.4K 401.5K -908 0.10 100.36 N/A N/A 135 13 8,226 2,293 2020-09-15 $2.93 $2.50 121.0% 34.7% 56.6% 38.9% 0.0% -29.1% -47.3% 1.9K 369.1K -1.1K 0.09 79.49 N/A N/A 46 4 8,461 2,302 2020-09-16 $3.25 $2.50 88.6% 25.4% 72.2% 26.9% 93.1% -0.8% 22.1% 2.4K 363.6K -1.4K 0.38 118.36 N/A N/A 65 25 8,493 2,304 2020-09-17 $3.05 $2.50 62.9% 18.0% 74.1% 17.3% 58.2% -31.1% 7.6% 1.7K 413.6K -1.0K 0.23 97.02 N/A N/A 238 55 8,501 2,312 2020-09-18 $3.01 $2.50 57.4% 16.4% 74.1% 15.3% 78.6% 36.1% 165.4% 2.3K 333.4K -1.3K 0.06 74.81 N/A N/A 84 5 8,730 2,347 2020-09-21 $2.76 $2.50 110.9% 31.8% 76.1% 35.1% 88.6% 48.5% 1.3% 2.0K -41.3K -1.1K 0.28 51.25 N/A N/A 153 43 2,557 703 2020-09-22 $2.76 $2.50 80.3% 23.0% 74.3% 23.8% 102.1% -43.7% -17.3% 1.8K -23.9K -1.2K 2.13 67.18 N/A N/A 45 96 2,709 743 2020-09-23 $2.59 $2.50 95.2% 27.3% 74.9% 29.3% 95.3% 1.7% 7.4% 1.2K 15.5K -1.0K 5.31 46.06 N/A N/A 35 186 2,735 803 2020-09-24 $2.56 $2.50 126.5% 36.3% 75.1% 40.9% 125.1% -7.6% -32.1% 1.0K 36.2K -903 0.19 58.33 N/A N/A 26 5 2,768 859 2020-09-25 $2.40 $2.50 100.6% 28.8% 76.4% 31.3% 100.6% -8.9% -2.7% 892 27.7K -969 1.35 39.41 N/A N/A 117 158 2,765 860 2020-09-28 $2.55 $2.50 87.4% 25.0% 80.9% 26.4% 87.4% 3.2% 10.6% 627 42.8K -926 0.20 32.39 N/A N/A 101 20 2,800 915 2020-09-29 $2.40 $2.50 97.8% 28.0% 81.8% 30.3% 97.8% 29.0% -6.8% 514 56.3K -852 0.13 43.69 N/A N/A 118 15 2,870 933 2020-09-30 $2.33 $2.50 93.8% 26.9% 81.9% 28.8% 94.0% 23.5% -1.2% 535 55.9K -826 0.07 26.49 N/A N/A 75 5 2,930 932
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