VET Options History — December 2020

In December 2020, VET traded between $3.98 and $5.16. ATM implied volatility averaged 77.2%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 21.8%. IV traded below realized volatility by 5.8% (HV 20d: 83.0%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.15.

Notable Days

  • 2020-12-09: Highest Volume — 1,176 contracts
  • 2020-12-03: Largest IV spike — 43.5% change
  • 2020-12-03: Highest IV Rank — 30.6%
  • 2020-12-31: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.60$3.98$5.16$3.98$4.47
Max Pain$4.55$2.50$5.00$2.50$5.00
ATM IV77.2%48.3%99.1%48.3%99.1%
Expected Move21.8%13.9%28.4%13.9%28.4%
HV 20d83.0%63.5%115.3%112.7%63.5%
HV 60d90.8%87.4%96.4%96.4%87.4%
IV Rank22.6%11.9%30.6%11.9%29.4%
IV Percentile42.0%20.6%72.2%23.8%72.2%
Term Structure-3.6%-24.9%27.6%27.6%-24.9%
VWIV79.1%61.1%100.4%67.6%99.7%
Skew 25d20.2%-44.6%52.4%-44.6%52.4%
Skew 10d26.5%-52.3%63.1%-52.3%63.1%
Call IV 25d93.0%72.1%145.9%145.9%88.2%
Put IV 25d113.2%95.4%140.7%101.2%140.7%
Bid-Ask Spread %40.9512.38102.3356.8139.45
Gamma HHI0.540.440.670.460.46
Net GEX17.5K6.2K36.1K6.2K10.9K
Net DEX-784.7K-1.3M-478.4K-499.9K-548.4K
Net VEX-3.2K-3.6K-2.2K-2.2K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.000.970.290.00
Total Volume425.909191,1768489
Total OI6,935.2735,5158,0316,9326,616

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$3.98$2.5048.3%13.9%112.7%11.9%67.6%-44.6%27.6%6.2K-499.9K-2.2K0.2956.81N/AN/A65196,161771
2020-12-02$4.24$2.5068.8%19.7%113.6%19.5%81.9%32.1%-6.3%15.7K-683.8K-2.6K0.0371.42N/AN/A348106,217786
2020-12-03$4.27$2.5098.7%22.2%113.4%30.6%77.4%40.4%-9.1%17.7K-721.9K-2.6K0.1318.36N/AN/A152206,221789
2020-12-04$4.65$2.5069.4%21.1%115.3%19.7%73.6%23.3%5.0%23.8K-925.3K-3.1K0.0255.97N/AN/A637116,270779
2020-12-07$4.65$5.0089.8%24.1%113.5%27.3%82.2%8.5%-5.5%21.1K-861.1K-3.1K0.1233.62N/AN/A506636,174790
2020-12-08$4.74$5.0078.6%22.3%81.2%23.1%77.7%28.9%0.3%26.1K-951.3K-3.1K0.0114.98N/AN/A19616,287837
2020-12-09$4.74$5.0097.4%27.9%81.4%30.1%100.4%0.0%-17.8%27.3K-989.0K-3.2K0.2234.88N/AN/A9642126,359836
2020-12-10$5.16$5.0071.6%20.5%83.9%20.5%75.5%52.4%4.4%28.1K-1.3M-3.5K0.0156.43N/AN/A1,032116,338779
2020-12-11$5.10$5.0077.9%22.3%73.3%22.9%90.3%0.0%-13.7%24.1K-1.2M-3.3K0.0118.88N/AN/A947106,133779
2020-12-14$4.98$5.0066.3%19.0%75.4%18.6%61.1%0.0%3.7%29.2K-1.2M-3.6K0.08102.33N/AN/A518446,695762
2020-12-15$4.94$5.0077.9%22.3%74.7%22.9%77.9%0.0%2.3%26.9K-1.0M-3.5K0.0058.80N/AN/A61426,557793
2020-12-16$4.85$5.0079.3%22.7%75.9%23.4%80.0%0.0%14.3%36.1K-1.0M-3.2K0.1429.45N/AN/A443606,970793
2020-12-17$4.85$5.0073.5%21.1%75.1%21.2%73.5%0.0%-4.4%12.1K-836.3K-3.2K0.1812.38N/AN/A291537,058854
2020-12-18$4.82$5.0079.7%22.8%75.4%23.5%79.8%0.0%-10.9%12.4K-833.2K-3.3K0.1829.04N/AN/A82157,155876
2020-12-21$4.44$5.0084.6%24.2%82.7%25.4%84.7%0.0%-16.5%10.1K-627.1K-2.9K0.9023.70N/AN/A4814344,920595
2020-12-22$4.24$5.0087.8%25.2%72.4%26.5%89.3%0.0%-21.6%8.8K-499.1K-3.4K0.0627.07N/AN/A155105,3121,024
2020-12-23$4.46$5.0065.1%18.7%69.5%18.1%70.0%0.0%-3.0%9.5K-522.6K-3.3K0.0159.66N/AN/A30125,2621,031
2020-12-24$4.44$5.0058.3%16.7%69.2%15.6%69.0%0.0%-2.6%10.3K-558.8K-3.5K0.0031.68N/AN/A14705,3951,032
2020-12-28$4.27$5.0082.7%23.7%70.7%24.7%81.9%0.0%-7.6%9.2K-487.1K-3.1K0.9733.89N/AN/A1091065,4211,032
2020-12-29$4.33$5.0073.2%21.0%66.3%21.1%74.1%0.0%2.8%9.2K-478.4K-3.3K0.0057.60N/AN/A1905,4201,142
2020-12-30$4.49$5.0071.3%20.4%67.0%20.4%72.2%0.0%4.0%10.2K-531.5K-3.5K0.0134.52N/AN/A19015,4131,142
2020-12-31$4.47$5.0099.1%28.4%63.5%29.4%99.7%0.0%-24.9%10.9K-548.4K-3.4K0.0039.45N/AN/A8905,4731,143