VET Options History — March 2015

In March 2015, VET traded between $41.92 and $45.15. ATM implied volatility averaged 51.2%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 13.0% (HV 20d: 38.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2015-03-02: Highest Volume — 307 contracts
  • 2015-03-24: Largest IV spike — 64.2% change
  • 2015-03-30: Highest IV Rank — 89.7%
  • 2015-03-30: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.19$41.92$45.15$43.29$42.04
Max Pain$45.68$45.00$50.00$50.00$45.00
ATM IV51.2%36.2%74.7%44.9%61.0%
Expected Move14.4%10.4%21.4%12.9%17.5%
HV 20d38.2%32.3%57.4%57.4%32.5%
HV 60d56.7%53.9%61.4%61.2%54.8%
IV Rank55.5%33.7%89.7%46.4%69.8%
IV Percentile87.8%58.7%99.6%84.5%96.8%
Term Structure-7.0%-26.1%11.2%-4.4%10.5%
VWIV57.4%33.0%71.6%51.6%70.4%
Skew 25d6.1%-28.9%26.1%2.1%7.3%
Skew 10d0.5%-42.8%59.4%-7.5%-30.3%
Call IV 25d59.2%29.8%101.6%59.0%101.6%
Put IV 25d65.3%44.8%109.0%61.0%109.0%
Bid-Ask Spread %115.89103.04126.14114.11116.78
Gamma HHI0.260.210.310.230.26
Net GEX6.0K3.5K9.4K5.6K3.5K
Net DEX14.4K-161.2K105.4K68.8K-429
Net VEX-1.7K-2.1K-1.5K-2.1K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.005.000.701.43
Total Volume99.2730307307224
Total OI449.409240545540330

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$43.29$50.0044.9%12.9%57.4%46.4%51.6%2.1%-4.4%5.6K68.8K-2.1K0.70114.11N/AN/A181126340200
2015-03-03$44.86$50.0052.7%15.1%57.3%57.7%50.8%8.9%4.3%6.6K57.1K-1.9K0.70110.02N/AN/A181126345200
2015-03-04$45.15$50.0053.4%15.3%50.2%58.8%61.4%14.7%-5.7%7.3K37.8K-1.9K0.70110.72N/AN/A181126345200
2015-03-05$44.03$45.0051.4%10.9%39.7%55.9%33.0%8.8%3.4%9.4K72.1K-1.7K0.70118.82N/AN/A181126345200
2015-03-06$43.63$45.0054.8%15.6%39.6%60.7%57.2%6.1%-14.3%5.1K104.0K-2.0K0.68107.65N/AN/A181123345200
2015-03-09$43.03$45.0045.1%12.6%39.4%46.7%0.0%4.8%-4.6%6.1K68.0K-1.7K5.00107.18N/AN/A210345184
2015-03-10$42.53$45.0045.6%11.7%38.3%47.5%0.0%4.7%2.2%5.1K91.3K-1.7K0.00103.04N/AN/A00347175
2015-03-11$42.46$45.0050.6%14.5%36.0%54.6%0.0%14.4%-16.9%5.1K61.2K-1.8K0.00125.50N/AN/A00347175
2015-03-12$42.31$45.0047.8%13.7%35.9%50.5%0.0%21.4%-2.6%4.8K77.0K-1.6K0.00104.54N/AN/A00347172
2015-03-13$42.18$45.0046.3%13.3%33.0%48.4%0.0%17.1%0.1%4.8K81.8K-1.6K0.00108.73N/AN/A00347172
2015-03-16$41.92$45.0054.9%15.7%32.3%60.9%0.0%25.4%-22.2%6.1K54.1K-1.7K0.00125.07N/AN/A00347172
2015-03-17$42.34$45.0049.3%14.1%32.6%52.8%0.0%-4.0%-0.9%6.0K105.4K-1.5K0.00120.53N/AN/A00347172
2015-03-18$44.11$45.0055.9%16.0%33.3%62.4%0.0%8.7%-11.9%8.3K24.4K-1.5K0.00124.93N/AN/A02347172
2015-03-19$42.22$45.0058.9%16.9%36.2%66.7%63.4%-16.9%-9.5%4.4K46.1K-1.5K0.00119.05N/AN/A100347172
2015-03-20$42.73$45.0055.6%15.9%36.4%61.9%0.0%-1.0%-23.3%6.0K44.4K-1.6K0.00125.81N/AN/A100356172
2015-03-23$43.85$45.0036.2%10.4%36.5%33.7%0.0%26.1%9.9%6.4K-82.3K-1.6K0.00125.12N/AN/A20014397
2015-03-24$43.61$45.0059.5%17.0%34.9%67.5%66.2%18.6%-22.2%6.4K-161.2K-1.8K0.00111.55N/AN/A1016397
2015-03-25$44.24$45.0036.8%10.5%33.6%34.6%0.0%-2.4%-10.9%8.8K-132.8K-1.8K0.00126.14N/AN/A20016497
2015-03-26$44.76$45.0042.8%12.3%33.6%43.4%48.7%-28.9%11.2%7.9K-156.7K-1.6K1.81106.57N/AN/A5810515899
2015-03-27$42.96$45.0048.2%13.8%35.6%51.2%0.0%-28.1%-26.1%4.4K-82.2K-2.0K0.00120.71N/AN/A00173128
2015-03-30$42.03$45.0074.7%21.4%35.3%89.7%71.6%25.9%-19.2%4.3K-61.1K-1.8K2.28116.96N/AN/A58132173130
2015-03-31$42.04$45.0061.0%17.5%32.5%69.8%70.4%7.3%10.5%3.5K-429-1.7K1.43116.78N/AN/A92132173157