VET Options History — March 2021

In March 2021, VET traded between $6.24 and $8.78. ATM implied volatility averaged 84.2%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded below realized volatility by 2.8% (HV 20d: 87.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.15.

Notable Days

  • 2021-03-10: Highest Volume — 3,768 contracts
  • 2021-03-09: Largest IV drop — 12.2% change
  • 2021-03-01: Highest IV Rank — 30.2%
  • 2021-03-01: Largest Expected Move — 32.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.61$6.24$8.78$6.24$7.30
Max Pain$7.17$5.00$7.50$5.00$7.50
ATM IV84.2%69.8%111.9%111.9%70.9%
Expected Move23.7%20.0%32.1%32.1%20.3%
HV 20d87.0%77.0%97.4%77.1%88.3%
HV 60d76.1%71.0%80.1%72.5%80.0%
IV Rank20.7%16.5%30.2%30.2%17.6%
IV Percentile38.8%12.7%81.0%81.0%14.3%
Term Structure-0.5%-24.5%7.9%-24.5%7.9%
VWIV84.3%70.9%105.2%101.0%70.9%
Skew 25d-1.8%-6.4%2.3%-4.1%2.3%
Skew 10d8.7%-16.7%27.8%-11.3%23.7%
Call IV 25d84.7%77.7%90.9%90.9%77.7%
Put IV 25d82.8%76.6%87.1%86.8%79.9%
Bid-Ask Spread %19.719.1647.1117.0411.97
Gamma HHI0.510.450.610.570.46
Net GEX91.3K58.8K157.2K58.8K68.7K
Net DEX-6.9M-10.9M-4.1M-4.1M-4.8M
Net VEX-19.3K-23.0K-14.9K-14.9K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.011.090.010.11
Total Volume1,243.5222783,7681,154357
Total OI19,872.34817,58622,81517,76819,272

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$6.24$5.00111.9%32.1%77.1%30.2%101.0%0.0%-24.5%58.8K-4.1M-14.9K0.0117.04N/AN/A1,1391515,1882,580
2021-03-02$6.28$5.0099.9%28.6%77.0%25.4%105.2%0.0%-11.1%62.4K-4.1M-15.1K0.0127.36N/AN/A311215,7492,594
2021-03-03$6.62$5.0095.4%27.3%78.1%23.6%89.8%0.0%-6.8%76.4K-4.8M-15.9K0.1213.34N/AN/A3333915,9572,596
2021-03-04$6.97$7.5096.8%25.8%78.0%24.1%93.0%0.0%-5.1%86.8K-5.6M-17.0K0.0124.72N/AN/A2,1791416,0062,562
2021-03-05$7.41$7.5094.0%24.9%79.3%23.1%90.3%0.0%-2.9%102.6K-6.7M-18.3K0.0413.85N/AN/A1,9747216,5892,568
2021-03-08$7.18$7.50100.7%24.9%81.4%25.7%90.1%-4.1%0.7%104.4K-6.4M-18.3K0.1224.62N/AN/A1,31216117,2922,582
2021-03-09$7.30$7.5088.4%24.1%79.6%20.8%84.4%0.2%-1.5%121.7K-6.6M-18.7K0.2023.21N/AN/A85517317,7862,727
2021-03-10$8.38$7.5084.3%24.2%90.0%19.1%85.1%-1.3%-2.8%130.1K-9.8M-20.8K0.0437.33N/AN/A3,62814018,0712,874
2021-03-11$8.41$7.5085.3%24.5%89.9%19.5%86.3%-0.1%-2.7%132.7K-10.0M-21.4K0.0738.72N/AN/A1,89713918,7182,965
2021-03-12$8.68$7.5085.0%24.4%87.1%19.4%88.7%-3.3%0.1%135.2K-10.6M-22.0K0.079.95N/AN/A1,43010718,8513,079
2021-03-15$8.57$7.5089.1%25.5%87.4%21.0%91.0%-2.6%-0.6%105.0K-10.3M-21.0K0.0615.00N/AN/A1,1556618,9773,066
2021-03-16$8.28$7.5083.1%23.8%87.4%18.7%82.7%-3.8%-0.8%93.0K-9.4M-20.1K0.0913.37N/AN/A1,46113419,2303,105
2021-03-17$8.78$7.5084.4%24.2%88.2%22.6%85.0%-3.5%2.9%84.6K-10.9M-23.0K0.0314.70N/AN/A1,7535219,5743,241
2021-03-18$7.87$7.5080.7%23.1%97.4%20.9%82.5%-6.4%1.1%157.2K-8.4M-20.7K0.1418.39N/AN/A1,68323119,2613,238
2021-03-19$8.18$7.5079.0%22.6%97.3%20.1%82.8%0.1%2.9%80.1K-8.9M-21.4K0.0213.06N/AN/A9051819,0433,345
2021-03-22$7.91$7.5071.3%20.5%91.1%16.5%76.3%-2.5%5.8%77.4K-6.1M-20.6K0.1414.15N/AN/A3244414,9422,644
2021-03-23$7.27$7.5073.5%21.1%96.2%17.5%76.6%-4.8%5.0%63.0K-4.8M-18.6K0.9112.54N/AN/A82474715,0562,636
2021-03-24$7.70$7.5071.5%20.5%90.7%16.5%81.5%-0.5%4.3%72.5K-5.6M-19.8K0.0415.19N/AN/A8263515,0592,880
2021-03-25$7.46$7.5075.1%21.5%90.5%18.2%75.8%-0.7%1.8%70.2K-5.1M-19.6K1.0913.71N/AN/A24426615,5202,890
2021-03-26$7.55$7.5071.0%20.4%89.3%17.7%73.3%-1.7%5.6%72.0K-5.2M-19.8K0.0147.11N/AN/A953615,5602,992
2021-03-29$7.38$7.5069.8%20.0%89.6%17.1%71.3%-0.7%6.3%73.0K-5.1M-19.4K0.0424.75N/AN/A2671116,0802,998
2021-03-30$7.38$7.5075.8%21.7%89.7%20.1%75.8%0.4%3.3%71.7K-5.0M-18.9K0.149.16N/AN/A2794016,1123,009
2021-03-31$7.30$7.5070.9%20.3%88.3%17.6%70.9%2.3%7.9%68.7K-4.8M-18.7K0.1111.97N/AN/A3233416,1933,079