VET Options History — November 2020

In November 2020, VET traded between $2.58 and $4.40. ATM implied volatility averaged 82.0%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded below realized volatility by 22.3% (HV 20d: 104.3%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2020-11-24: Highest Volume — 1,530 contracts
  • 2020-11-24: Largest IV spike — 118.1% change
  • 2020-11-02: Highest IV Rank — 39.4%
  • 2020-11-02: Largest Expected Move — 35.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.40$2.58$4.40$2.58$4.03
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV82.0%36.7%122.3%122.3%73.2%
Expected Move22.4%10.5%35.1%35.1%21.0%
HV 20d104.3%70.8%118.7%77.1%112.2%
HV 60d87.5%72.7%96.4%73.0%96.4%
IV Rank24.4%7.6%39.4%39.4%21.1%
IV Percentile51.2%22.6%85.7%85.7%36.5%
Term Structure1.5%-41.4%48.9%-29.0%2.7%
VWIV75.4%40.0%122.1%122.1%90.2%
Skew 25d20.2%-11.5%64.3%-6.1%0.5%
Skew 10d26.7%-6.3%92.7%1.7%7.4%
Call IV 25d64.7%39.2%90.2%74.7%90.2%
Put IV 25d84.9%52.5%141.2%68.6%90.6%
Bid-Ask Spread %36.589.1876.3724.6921.72
Gamma HHI0.470.340.670.350.45
Net GEX6.7K2.3K19.7K2.5K6.6K
Net DEX-301.4K-781.6K-20.8K-26.9K-505.8K
Net VEX-1.7K-3.1K-1.0K-1.2K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.001.710.000.04
Total Volume364.3151,53070238
Total OI6,168.555,3507,0825,3507,026

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$2.58$2.50122.3%35.1%77.1%39.4%122.1%-6.1%-29.0%2.5K-26.9K-1.2K0.0024.69N/AN/A7004,3311,019
2020-11-03$2.67$2.5097.3%27.9%77.8%30.1%97.5%24.9%1.2%2.6K-50.4K-1.2K0.0066.01N/AN/A1504,3311,019
2020-11-04$2.66$2.50100.4%28.8%76.7%31.2%100.6%12.2%-7.2%2.8K-58.7K-1.2K0.9331.72N/AN/A15144,3901,019
2020-11-05$2.69$2.50100.2%27.6%70.8%31.2%96.4%14.8%-12.6%2.7K-57.8K-1.2K0.0111.87N/AN/A13214,4031,033
2020-11-06$2.60$2.5098.3%24.8%71.6%30.4%86.4%4.7%-3.6%2.3K-20.8K-1.0K1.0012.42N/AN/A884,4061,034
2020-11-09$3.31$2.5090.6%20.9%112.9%27.6%59.6%44.6%29.0%4.4K-229.4K-1.4K0.1342.75N/AN/A1,3291694,4111,042
2020-11-10$3.40$2.50122.0%22.6%111.6%39.2%0.0%45.8%9.0%5.3K-215.5K-1.4K0.0357.35N/AN/A17265,021900
2020-11-11$3.35$2.5077.7%22.3%111.9%22.8%63.0%0.0%18.8%5.3K-210.1K-1.4K1.1165.02N/AN/A1331475,168896
2020-11-12$3.05$2.5068.5%19.6%117.5%19.4%0.0%-11.5%-10.8%3.8K-134.7K-1.2K0.0535.73N/AN/A11165,260988
2020-11-13$3.14$2.5075.3%21.6%117.3%21.9%58.2%36.0%27.5%4.7K-204.8K-1.5K1.7152.47N/AN/A28485,351992
2020-11-16$3.34$2.5051.2%14.7%118.7%13.0%46.5%21.3%31.5%2.8K-214.5K-1.2K0.4957.51N/AN/A2551265,351984
2020-11-17$3.39$2.5059.6%17.1%117.8%16.1%60.6%6.1%22.4%4.0K-298.7K-1.5K0.019.92N/AN/A40355,577900
2020-11-18$3.57$2.5088.4%25.3%117.6%26.8%57.0%41.7%-22.2%6.8K-365.9K-1.7K0.0276.37N/AN/A438105,579895
2020-11-19$3.61$2.5070.4%20.2%114.8%20.1%0.0%0.7%0.0%6.6K-376.0K-1.8K0.7315.21N/AN/A26195,810915
2020-11-20$3.59$2.5074.8%21.4%115.0%21.7%67.9%10.8%-41.4%6.6K-365.1K-1.7K0.039.18N/AN/A19655,809896
2020-11-23$4.08$2.5036.7%10.5%114.1%7.6%40.0%35.1%48.9%8.4K-416.8K-1.9K0.0235.60N/AN/A847215,365777
2020-11-24$4.40$2.5080.0%22.9%115.6%23.7%80.3%64.3%-33.6%19.7K-776.9K-3.1K0.0159.54N/AN/A1,518125,974777
2020-11-25$4.33$2.5081.0%23.2%107.0%24.0%81.7%20.9%1.4%17.6K-781.6K-2.9K0.0117.08N/AN/A64465,864776
2020-11-27$4.31$2.5072.4%20.8%107.5%20.8%73.8%17.1%-3.5%17.8K-717.6K-2.8K0.0229.34N/AN/A10326,302780
2020-11-30$4.03$2.5073.2%21.0%112.2%21.1%90.2%0.5%2.7%6.6K-505.8K-2.2K0.0421.72N/AN/A228106,245781