VET Options History — April 2015

In April 2015, VET traded between $42.54 and $48.72. ATM implied volatility averaged 56.2%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 20.2% (HV 20d: 36.0%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.69.

Notable Days

  • 2015-04-10: Highest Volume — 301 contracts
  • 2015-04-06: Largest IV spike — 114.5% change
  • 2015-04-06: Highest IV Rank — 100.0%
  • 2015-04-27: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.30$42.54$48.72$43.09$48.19
Max Pain$41.67$30.00$45.00$45.00$45.00
ATM IV56.2%39.4%89.8%53.0%66.9%
Expected Move15.0%11.7%20.3%15.2%19.2%
HV 20d36.0%30.5%42.4%33.9%30.5%
HV 60d46.4%39.0%53.1%52.4%39.0%
IV Rank57.0%36.2%100.0%58.1%70.1%
IV Percentile86.9%62.7%100.0%90.9%97.6%
Term Structure-17.6%-48.9%8.9%-10.5%-41.7%
VWIV59.5%35.8%84.8%71.1%73.8%
Skew 25d1.0%-26.5%37.0%21.8%23.7%
Skew 10d21.9%-13.3%59.5%6.4%17.7%
Call IV 25d68.4%43.1%103.7%85.6%87.2%
Put IV 25d69.3%31.5%110.9%107.3%110.9%
Bid-Ask Spread %115.6991.19124.79119.48124.79
Gamma HHI0.380.280.460.300.43
Net GEX8.3K1.9K14.3K6.0K11.5K
Net DEX-225.3K-436.1K8.9K-82.5K-310.5K
Net VEX-2.8K-3.7K-1.8K-2.0K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.102.471.321.59
Total Volume248.23822301232262
Total OI481.524354624354624

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$43.09$45.0053.0%15.2%33.9%58.1%71.1%21.8%-10.5%6.0K-82.5K-2.0K1.32119.48N/AN/A100132197157
2015-04-02$43.96$30.0039.4%12.7%33.6%38.4%0.0%10.8%-10.8%7.3K-110.3K-1.8K1.2697.63N/AN/A109137198157
2015-04-06$44.43$30.0084.6%13.0%33.7%100.0%43.9%-16.4%-1.4%9.1K-151.6K-2.0K1.36118.26N/AN/A109148208162
2015-04-07$44.81$40.0089.8%12.9%33.3%100.0%54.3%-8.0%1.7%8.5K-130.5K-2.0K1.36120.75N/AN/A109148208173
2015-04-08$42.54$40.0043.8%12.5%38.2%40.0%0.0%-10.3%-6.6%7.0K-91.8K-2.0K0.10119.60N/AN/A202208171
2015-04-09$43.33$40.0041.7%12.0%38.7%37.4%35.8%-11.5%-4.4%6.1K-88.2K-1.9K2.23106.54N/AN/A91203208175
2015-04-10$43.87$40.0048.8%14.0%38.9%46.6%46.2%-26.5%-9.8%1.9K8.9K-2.7K2.07116.67N/AN/A98203214248
2015-04-13$43.90$40.0047.9%13.7%38.9%45.4%48.1%-23.6%-12.7%3.2K-37.5K-2.7K1.97122.60N/AN/A98193231248
2015-04-14$45.00$40.0043.7%12.5%39.6%39.9%45.5%-23.0%8.9%4.6K-67.3K-2.8K1.97123.18N/AN/A98193231249
2015-04-15$47.17$40.0050.0%14.3%42.4%48.2%46.1%-22.9%-7.0%7.2K-199.6K-2.8K2.08117.16N/AN/A93193231249
2015-04-16$48.20$40.0059.3%17.0%40.8%60.2%58.7%-21.4%-18.3%7.8K-307.3K-2.8K1.81110.64N/AN/A103186240249
2015-04-17$48.09$45.0040.8%11.7%36.8%36.2%40.3%2.7%-4.4%8.2K-422.7K-2.9K2.4791.19N/AN/A79195250259
2015-04-20$48.33$45.0050.4%14.5%36.7%48.7%49.1%-1.9%-19.7%10.5K-330.5K-3.0K1.57101.85N/AN/A83130248257
2015-04-21$48.04$45.0053.5%15.3%36.2%52.7%64.4%29.8%-24.3%9.7K-294.7K-3.2K1.48116.35N/AN/A88130254266
2015-04-22$47.96$45.0056.2%16.1%36.1%56.2%65.7%-5.7%-23.8%10.3K-319.1K-3.3K1.68120.51N/AN/A88148260266
2015-04-23$48.72$45.0055.5%15.9%36.1%55.3%67.2%26.0%-21.5%10.5K-376.0K-3.2K1.57119.76N/AN/A94148260286
2015-04-24$48.33$45.0058.5%16.8%36.3%59.2%80.8%37.0%-48.9%14.3K-436.1K-3.1K1.74122.55N/AN/A94164260286
2015-04-27$48.48$45.0070.7%20.3%32.2%75.1%76.7%31.5%-39.0%11.1K-399.3K-3.4K1.95118.03N/AN/A84164260302
2015-04-28$47.94$45.0061.4%17.6%31.2%63.0%84.8%4.0%-38.4%11.3K-334.1K-3.4K2.11121.04N/AN/A76160266302
2015-04-29$47.91$45.0063.5%18.2%31.2%65.7%77.8%4.2%-36.8%7.5K-249.9K-3.4K1.89120.91N/AN/A90170269325
2015-04-30$48.19$45.0066.9%19.2%30.5%70.1%73.8%23.7%-41.7%11.5K-310.5K-3.7K1.59124.79N/AN/A101161289335