VET Options History — May 2015

In May 2015, VET traded between $42.25 and $47.41. ATM implied volatility averaged 61.8%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 32.8% (HV 20d: 29.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.40.

Notable Days

  • 2015-05-07: Highest Volume — 293 contracts
  • 2015-05-04: Largest IV spike — 85.5% change
  • 2015-05-07: Highest IV Rank — 100.0%
  • 2015-05-27: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.34$42.25$47.41$47.13$42.96
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV61.8%29.1%148.7%41.6%50.1%
Expected Move11.2%6.6%16.4%11.9%14.4%
HV 20d29.1%24.5%32.5%31.5%32.5%
HV 60d33.8%32.5%34.7%34.7%32.6%
IV Rank46.1%11.9%100.0%37.2%27.3%
IV Percentile74.9%32.1%100.0%63.1%78.2%
Term Structure-0.2%-11.7%20.1%0.3%-1.9%
VWIV41.3%27.7%56.6%42.1%56.6%
Skew 25d10.8%-13.6%43.0%3.7%-13.6%
Skew 10d21.8%-12.3%62.1%-12.3%12.1%
Call IV 25d39.9%28.2%58.9%42.1%56.3%
Put IV 25d50.7%32.1%93.7%45.8%42.7%
Bid-Ask Spread %106.5879.15120.60109.16105.96
Gamma HHI0.360.330.400.380.34
Net GEX15-11.5K9.2K7.9K-3.4K
Net DEX24.7K-258.0K336.4K-202.8K136.8K
Net VEX-3.3K-3.6K-2.7K-3.6K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.001.891.591.27
Total Volume196.32293262277
Total OI651.1579688636684

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$47.13$45.0041.6%11.9%31.5%37.2%42.1%3.7%0.3%7.9K-202.8K-3.6K1.59109.16N/AN/A101161300336
2015-05-04$47.20$45.0077.2%6.6%31.4%83.6%0.0%6.5%20.1%7.9K-209.4K-3.6K0.00120.60N/AN/A30300334
2015-05-05$46.65$45.0068.8%10.1%31.7%72.6%41.0%10.4%14.7%9.2K-258.0K-3.6K1.62100.12N/AN/A100162303336
2015-05-06$46.72$45.0089.5%9.9%24.5%99.5%39.9%8.8%2.5%7.5K-186.9K-3.4K1.7197.77N/AN/A100171303337
2015-05-07$45.58$45.0099.0%10.9%26.1%100.0%38.5%2.6%-2.0%2.7K-6.9K-3.4K1.8479.15N/AN/A103190303347
2015-05-08$47.41$45.0069.8%8.5%29.0%66.1%27.7%1.1%7.0%4.9K-98.7K-3.3K0.00107.60N/AN/A20303366
2015-05-11$45.85$45.00127.7%10.1%31.9%100.0%35.9%3.5%-3.3%1.4K11.5K-3.1K1.64100.40N/AN/A1118301366
2015-05-12$46.81$45.00148.7%7.7%31.5%100.0%32.7%2.2%5.0%225-64.0K-3.0K1.89112.13N/AN/A94178302386
2015-05-13$46.47$45.0043.6%12.5%26.8%22.6%42.6%33.7%-7.7%79324.4K-3.1K1.89113.48N/AN/A94178302386
2015-05-14$45.89$45.0045.9%13.2%25.7%24.2%45.5%-1.6%-3.3%50-1.6K-3.2K1.89108.90N/AN/A94178302386
2015-05-15$46.12$45.0030.3%8.7%25.9%12.7%30.2%1.7%2.8%1.0K-81.1K-2.9K1.8482.85N/AN/A94173302385
2015-05-18$45.05$45.0029.1%8.3%26.8%11.9%36.2%4.9%8.4%-5.7K110.5K-2.7K0.9593.95N/AN/A2019262317
2015-05-19$44.45$45.0040.9%11.7%27.0%20.5%0.0%9.9%-1.2%-9.8K191.0K-2.8K0.00118.52N/AN/A05282325
2015-05-20$44.47$45.0038.3%11.0%27.0%18.6%41.0%30.4%-10.7%-3.3K120.3K-3.2K1.34119.99N/AN/A89119282332
2015-05-21$45.62$45.0043.3%12.4%28.2%22.3%49.8%24.7%-6.4%-39039.5K-3.3K1.53118.96N/AN/A89136282332
2015-05-22$44.78$45.0051.3%14.7%28.6%28.2%48.3%43.0%-6.5%52683.0K-3.6K1.40108.65N/AN/A97136282354
2015-05-26$42.86$45.0036.6%10.5%31.8%17.4%42.4%32.8%-5.6%-11.5K336.4K-3.3K1.33103.59N/AN/A102136292354
2015-05-27$42.54$45.0057.1%16.4%31.8%32.5%41.0%-0.3%-4.5%-3.4K250.5K-3.4K1.41111.18N/AN/A103145318354
2015-05-28$42.25$45.0047.8%13.7%31.7%25.7%52.3%12.4%-11.7%-6.3K299.4K-3.3K1.41118.55N/AN/A103145319365
2015-05-29$42.96$45.0050.1%14.4%32.5%27.3%56.6%-13.6%-1.9%-3.4K136.8K-3.3K1.27105.96N/AN/A122155319365