VET Options History — October 2020

In October 2020, VET traded between $2.26 and $2.95. ATM implied volatility averaged 89.3%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 25.4%. IV traded above realized volatility by 10.7% (HV 20d: 78.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2020-10-23: Highest Volume — 411 contracts
  • 2020-10-08: Largest IV spike — 44.8% change
  • 2020-10-12: Highest IV Rank — 33.9%
  • 2020-10-28: Largest Expected Move — 30.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.64$2.26$2.95$2.26$2.47
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV89.3%53.3%107.5%77.9%99.8%
Expected Move25.4%20.4%30.5%22.3%28.6%
HV 20d78.6%67.6%90.7%81.5%79.5%
HV 60d69.7%65.3%72.7%71.7%72.2%
IV Rank27.1%13.7%33.9%22.9%31.0%
IV Percentile64.5%39.7%81.0%54.0%75.0%
Term Structure8.6%-10.1%42.4%4.0%-5.1%
VWIV88.6%54.5%106.3%87.7%99.8%
Skew 25d14.7%-19.6%44.6%21.7%21.4%
Skew 10d23.6%-11.6%47.5%33.5%30.0%
Call IV 25d68.9%59.1%91.7%73.3%77.4%
Put IV 25d83.5%49.0%118.1%95.0%98.8%
Bid-Ask Spread %45.1722.5993.4864.3424.73
Gamma HHI0.370.340.460.360.35
Net GEX2.1K3653.2K3652.1K
Net DEX-24.9K-84.8K70.0K70.0K2.0K
Net VEX-1.0K-1.3K-701-701-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.006.440.950.06
Total Volume125.8182641117734
Total OI4,448.0453,8495,3273,8495,327

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$2.26$2.5077.9%22.3%81.5%22.9%87.7%21.7%4.0%36570.0K-7010.9564.34N/AN/A91862,917932
2020-10-02$2.36$2.5085.9%24.6%84.9%25.8%85.9%18.0%11.7%96944.9K-8633.3237.41N/AN/A371233,007895
2020-10-05$2.53$2.5093.1%27.3%90.7%28.5%0.0%30.1%5.8%1.3K15.9K-9110.3357.35N/AN/A46153,023880
2020-10-06$2.50$2.5083.4%20.6%81.7%24.9%0.0%-15.2%32.8%1.2K29.6K-8380.0193.48N/AN/A18413,039878
2020-10-07$2.60$2.5053.3%25.2%83.1%13.7%88.0%30.6%6.3%1.6K-3.8K-1.0K0.0060.82N/AN/A8103,209879
2020-10-08$2.82$2.5077.2%21.2%85.4%22.6%67.1%43.8%7.4%2.2K-59.3K-1.1K0.0169.39N/AN/A25123,284879
2020-10-09$2.82$2.5092.0%24.0%85.4%28.1%83.6%-11.8%38.6%2.2K-40.4K-1.0K0.2344.58N/AN/A2663,459879
2020-10-12$2.82$2.50107.5%24.5%85.3%33.9%86.5%-2.4%-3.4%2.0K-34.8K-9960.8641.97N/AN/A14123,456881
2020-10-13$2.71$2.5096.0%25.2%86.4%29.6%90.3%-11.1%3.2%2.2K-50.4K-1.1K0.0235.20N/AN/A4813,460891
2020-10-14$2.72$2.5093.6%26.8%76.6%28.7%93.4%35.0%0.3%1.9K-25.8K-9580.0430.31N/AN/A15263,467891
2020-10-15$2.66$2.5086.5%24.8%74.0%26.1%86.6%41.1%26.7%2.2K-45.1K-1.2K0.0376.17N/AN/A6423,600894
2020-10-16$2.61$2.5090.1%25.8%74.1%27.4%88.6%-19.6%1.0%2.0K-30.9K-1.0K0.1238.51N/AN/A126153,591895
2020-10-19$2.61$2.5089.3%25.6%67.9%27.1%89.7%-19.1%5.6%2.0K-6.1K-9340.0138.07N/AN/A26743,406784
2020-10-20$2.75$2.5088.9%25.5%70.7%27.0%88.9%26.9%-0.1%2.4K-27.6K-1.0K1.8942.58N/AN/A9173,635788
2020-10-21$2.67$2.5086.8%24.9%67.6%26.2%0.0%0.0%2.3%2.3K-22.7K-1.0K0.0327.08N/AN/A3813,637804
2020-10-22$2.90$2.5092.9%26.6%73.2%28.4%91.7%44.6%10.3%3.1K-84.8K-1.3K0.2544.19N/AN/A85213,675804
2020-10-23$2.95$2.5071.1%20.4%68.3%20.4%54.5%-2.5%42.4%3.0K-83.9K-1.2K0.0152.66N/AN/A40563,752806
2020-10-26$2.66$2.5094.0%27.0%76.6%28.9%94.0%0.0%5.9%3.2K-67.3K-1.2K6.4422.59N/AN/A9584,173806
2020-10-27$2.70$2.5096.5%27.7%73.0%29.8%97.4%26.6%-4.5%3.2K-76.1K-1.2K1.6527.72N/AN/A31514,177857
2020-10-28$2.44$2.50106.3%30.5%81.6%33.4%106.3%26.3%8.3%2.8K-49.4K-1.2K6.2127.55N/AN/A291804,180851
2020-10-29$2.48$2.50102.4%29.4%80.8%32.0%102.4%9.1%-10.1%2.2K-2.7K-1.1K0.1337.11N/AN/A119154,2041,005
2020-10-30$2.47$2.5099.8%28.6%79.5%31.0%99.8%21.4%-5.1%2.1K2.0K-1.1K0.0624.73N/AN/A3224,3101,017