VET Options History — July 2015

In July 2015, VET traded between $32.03 and $42.42. ATM implied volatility averaged 73.2%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 42.2% (HV 20d: 31.0%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2015-07-17: Highest Volume — 213 contracts
  • 2015-07-10: Largest IV spike — 66.9% change
  • 2015-07-14: Highest IV Rank — 100.0%
  • 2015-07-27: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.71$32.03$42.42$41.95$33.66
Max Pain$35.91$30.00$45.00$45.00$35.00
ATM IV73.2%38.2%169.9%55.1%75.1%
Expected Move16.1%8.2%25.7%15.8%21.5%
HV 20d31.0%26.8%39.7%28.8%39.2%
HV 60d31.5%29.4%34.8%31.6%34.8%
IV Rank40.6%16.0%100.0%31.0%39.6%
IV Percentile85.8%37.7%100.0%83.7%94.0%
Term Structure-8.8%-32.1%8.2%-19.3%-7.8%
VWIV73.0%32.8%129.6%32.8%79.2%
Skew 25d6.2%-31.1%36.7%27.2%-30.5%
Skew 10d6.9%-54.3%62.3%24.1%-31.9%
Call IV 25d69.6%33.2%110.3%33.2%110.3%
Put IV 25d75.8%35.0%135.8%60.3%79.7%
Bid-Ask Spread %119.14102.77127.34117.93109.11
Gamma HHI0.330.260.430.330.28
Net GEX-4.3K-7.8K1.6K1.6K-4.0K
Net DEX348.2K79.2K484.5K98.4K380.2K
Net VEX-1.8K-2.7K-885-2.6K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.821.630.940.95
Total Volume193.545157213157191
Total OI433.545385474385474

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$41.95$45.0055.1%15.8%28.8%31.0%32.8%27.2%-19.3%1.6K98.4K-2.6K0.94117.93N/AN/A8176198187
2015-07-02$42.42$45.0080.5%23.1%26.8%49.7%87.5%18.1%-15.5%-63879.2K-2.7K0.94126.42N/AN/A8176198187
2015-07-06$40.43$45.0039.9%8.5%29.7%19.8%33.6%1.8%2.9%-5.9K291.4K-2.0K0.82102.77N/AN/A9376198187
2015-07-07$40.76$45.0064.8%8.2%29.9%38.2%38.1%1.5%5.6%-4.5K264.8K-2.1K0.82112.49N/AN/A9376214187
2015-07-08$39.64$45.0068.2%9.7%29.3%40.6%37.6%36.7%-8.7%-3.9K295.4K-2.1K0.82120.25N/AN/A9376214187
2015-07-09$38.62$45.0072.3%8.9%28.1%43.6%36.9%0.6%4.5%-2.2K246.0K-2.2K1.09112.03N/AN/A93101214187
2015-07-10$38.79$30.00120.6%13.3%28.3%79.3%94.7%5.0%8.2%-1.9K252.5K-2.5K1.09125.57N/AN/A93101214232
2015-07-13$38.16$30.00105.9%13.6%28.5%68.5%55.5%11.5%-21.2%-5.8K396.5K-1.9K1.05111.40N/AN/A97102214232
2015-07-14$38.74$30.00169.9%14.8%29.6%100.0%64.0%9.5%1.0%-3.2K309.8K-2.1K1.05123.43N/AN/A97102222233
2015-07-15$37.21$30.0058.8%16.9%29.4%29.1%54.1%33.6%-10.4%-5.6K362.0K-1.7K1.21120.16N/AN/A96116222218
2015-07-16$36.45$30.0060.0%17.2%29.1%29.9%34.7%-31.1%-7.7%-7.4K408.7K-1.6K1.21124.75N/AN/A96116223218
2015-07-17$35.61$30.0038.2%11.0%29.2%16.0%50.4%-18.0%-1.9%-7.8K432.6K-1.3K1.20115.24N/AN/A97116223218
2015-07-20$34.43$30.0053.2%15.2%30.2%25.5%57.9%17.9%2.2%-4.8K365.3K-1.6K1.60117.78N/AN/A72115199217
2015-07-21$34.49$30.0049.6%14.2%30.3%23.3%112.9%-18.4%-26.2%-6.6K484.5K-8851.63117.42N/AN/A72117199217
2015-07-22$34.15$35.0050.6%14.5%29.9%23.9%56.2%-28.9%-5.5%-5.4K473.5K-1.2K1.38120.46N/AN/A88121203219
2015-07-23$34.36$35.0063.5%18.2%29.9%32.2%117.4%15.9%-3.8%-4.7K420.3K-1.6K1.38123.39N/AN/A88121223231
2015-07-24$33.44$35.0065.2%18.7%30.0%33.2%122.8%17.4%-1.0%-4.6K422.6K-1.5K1.38124.71N/AN/A88121223231
2015-07-27$32.03$35.0089.6%25.7%31.4%48.8%112.4%-12.8%-10.2%-3.4K460.6K-1.2K1.09123.70N/AN/A98107223230
2015-07-28$33.26$35.0078.4%22.5%36.1%41.6%129.6%34.5%-25.2%-3.4K379.6K-1.8K1.09121.53N/AN/A98107243231
2015-07-29$34.46$35.0073.6%21.1%39.7%38.6%113.5%20.1%-32.1%-5.1K416.9K-1.5K1.09127.34N/AN/A98107243231
2015-07-30$34.61$35.0078.1%22.4%39.5%41.4%84.0%24.7%-22.2%-5.4K419.5K-1.4K1.09123.18N/AN/A98107243231
2015-07-31$33.66$35.0075.1%21.5%39.2%39.6%79.2%-30.5%-7.8%-4.0K380.2K-1.6K0.95109.11N/AN/A9893243231