VET Options History — June 2015

In June 2015, VET traded between $41.38 and $45.47. ATM implied volatility averaged 48.0%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 15.4% (HV 20d: 32.6%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2015-06-19: Highest Volume — 312 contracts
  • 2015-06-23: Largest IV spike — 74.8% change
  • 2015-06-08: Highest IV Rank — 45.7%
  • 2015-06-23: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.97$41.38$45.47$42.14$43.17
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV48.0%29.6%75.0%35.7%47.2%
Expected Move12.7%8.5%18.4%10.2%13.5%
HV 20d32.6%27.6%37.4%32.3%27.6%
HV 60d32.8%30.7%34.9%32.5%31.1%
IV Rank25.8%12.3%45.7%16.7%25.2%
IV Percentile64.9%25.8%96.8%41.7%67.1%
Term Structure-7.5%-35.3%9.5%2.1%-3.9%
VWIV47.3%28.7%71.8%37.7%42.0%
Skew 25d7.1%-32.9%37.5%1.6%37.5%
Skew 10d23.7%-38.4%75.2%43.8%23.7%
Call IV 25d56.3%33.1%90.2%46.0%66.9%
Put IV 25d63.4%35.5%109.6%47.5%104.5%
Bid-Ask Spread %118.33102.50125.37104.94123.20
Gamma HHI0.350.310.460.400.31
Net GEX-4.0K-18.6K5.4K-14.6K2.0K
Net DEX118.8K-153.2K474.1K453.3K97.2K
Net VEX-2.9K-3.7K-2.5K-3.1K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.001.431.270.94
Total Volume222.53312277157
Total OI613.091365738713385

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$42.14$45.0035.7%10.2%32.3%16.7%37.7%1.6%2.1%-14.6K453.3K-3.1K1.27104.94N/AN/A122155338375
2015-06-02$43.38$45.0062.2%17.8%34.5%36.3%0.0%35.1%-20.5%-2.3K181.5K-3.7K0.00109.39N/AN/A30338369
2015-06-03$42.67$45.0037.6%10.8%34.7%18.1%37.0%-0.8%-0.4%-13.2K318.0K-3.1K1.25102.50N/AN/A124155341375
2015-06-04$41.38$0.0040.5%11.0%35.8%20.3%0.0%16.0%5.5%-14.9K474.1K-3.0K1.25114.24N/AN/A124155341375
2015-06-05$42.70$0.0056.9%9.7%37.4%32.3%0.0%24.5%9.5%-3.6K273.2K-3.5K1.25119.11N/AN/A124155341375
2015-06-08$42.67$0.0075.0%12.9%33.9%45.7%0.0%-16.7%-2.2%-2.7K215.4K-3.5K1.43125.37N/AN/A115164341375
2015-06-09$43.78$0.0073.3%13.0%33.9%44.4%0.0%-28.7%-5.9%-5.8K121.2K-3.4K1.32119.31N/AN/A124164342385
2015-06-10$44.83$0.0044.5%12.8%34.2%23.2%0.0%-24.1%-2.6%-9.2K6.4K-3.1K1.43119.87N/AN/A108154353385
2015-06-11$44.88$0.0043.6%12.5%34.1%22.6%0.0%-24.1%-11.3%9672.4K-3.2K1.43119.29N/AN/A108154353384
2015-06-12$44.53$0.0044.4%12.7%34.0%23.2%0.0%-19.1%-7.3%156-15.0K-3.4K1.43122.56N/AN/A108154353384
2015-06-15$44.10$0.0036.4%10.4%34.0%17.2%0.0%-32.9%-1.5%-3.3K169.5K-2.9K1.43120.63N/AN/A108154353384
2015-06-16$45.22$0.0031.6%9.1%34.4%13.7%0.0%15.8%-2.0%-18.6K-3.5K-2.5K1.41107.29N/AN/A109154353384
2015-06-17$45.47$0.0048.0%13.8%34.0%25.8%0.0%35.0%-18.1%-12.9K-153.2K-2.7K1.41123.99N/AN/A109154353384
2015-06-18$45.36$0.0029.6%8.5%34.0%12.3%0.0%22.1%2.8%-9.2K11.5K-2.6K1.41117.88N/AN/A109154328384
2015-06-19$44.57$0.0051.8%14.8%33.3%28.6%58.4%34.7%-35.3%3.2K312.2K-2.5K1.33117.53N/AN/A134178328384
2015-06-22$44.59$45.0036.7%10.5%32.7%17.4%28.7%15.8%5.9%4.6K71.5K-2.5K0.95123.28N/AN/A8076179186
2015-06-23$44.59$45.0064.1%18.4%28.4%37.7%71.8%14.2%-26.8%780-7.2K-2.6K1.13120.69N/AN/A6776179187
2015-06-24$44.84$45.0031.2%9.0%28.2%13.4%30.8%13.4%7.2%5.4K83.5K-2.5K1.13120.42N/AN/A6776185187
2015-06-25$44.77$45.0047.5%13.6%28.0%25.4%48.0%1.6%-17.4%3.4K6.8K-2.7K0.99122.90N/AN/A7776185187
2015-06-26$44.58$45.0061.4%17.6%27.6%35.7%51.7%15.0%-17.2%1.9K-53.2K-2.9K0.99124.72N/AN/A7776198187
2015-06-29$43.11$45.0056.5%16.2%29.5%32.0%66.7%19.4%-26.2%96148.9K-2.9K0.94124.18N/AN/A8176198187
2015-06-30$43.17$45.0047.2%13.5%27.6%25.2%42.0%37.5%-3.9%2.0K97.2K-2.7K0.94123.20N/AN/A8176198187