VET Options History — August 2015

In August 2015, VET traded between $29.39 and $36.77. ATM implied volatility averaged 60.4%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 9.4% (HV 20d: 51.0%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2015-08-21: Highest Volume — 213 contracts
  • 2015-08-06: Largest IV spike — 95.4% change
  • 2015-08-07: Highest IV Rank — 49.7%
  • 2015-08-31: Largest Expected Move — 25.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.42$29.39$36.77$32.20$34.62
Max Pain$43.57$35.00$45.00$35.00$45.00
ATM IV60.4%34.8%91.0%57.7%90.5%
Expected Move15.8%10.0%25.9%16.5%25.9%
HV 20d51.0%38.8%62.1%38.8%59.9%
HV 60d39.5%34.7%45.4%35.5%45.0%
IV Rank29.0%12.3%49.7%28.5%47.4%
IV Percentile72.7%21.4%97.6%81.0%96.8%
Term Structure-10.9%-39.7%23.2%7.3%-38.3%
VWIV58.9%37.2%87.9%76.6%80.5%
Skew 25d-2.5%-42.8%29.6%-36.1%12.7%
Skew 10d6.0%-67.4%69.0%-67.4%17.3%
Call IV 25d65.5%39.6%103.9%103.9%98.0%
Put IV 25d62.9%36.2%110.7%67.7%110.7%
Bid-Ask Spread %114.9590.88124.66124.34117.58
Gamma HHI0.300.220.400.400.22
Net GEX-3.2K-6.8K237-4.4K-1.3K
Net DEX398.0K291.2K487.0K487.0K291.2K
Net VEX-1.3K-1.6K-723-1.1K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.000.950.950.62
Total Volume162.71402130168
Total OI479.095461501474487

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$32.20$35.0057.7%16.5%38.8%28.5%0.0%-36.1%7.3%-4.4K487.0K-1.1K0.00124.34N/AN/A00243231
2015-08-04$33.26$35.0084.7%24.3%41.3%45.7%76.6%15.1%-39.7%-5.6K403.1K-1.4K0.95117.82N/AN/A9893243231
2015-08-05$33.26$35.0046.5%13.3%40.9%21.3%52.6%-16.4%-3.0%-4.8K449.5K-1.3K0.95106.22N/AN/A9893243231
2015-08-06$34.83$45.0090.9%13.7%44.7%49.6%56.6%12.0%-15.9%-5.3K428.9K-1.3K0.95117.98N/AN/A9893243231
2015-08-07$34.01$45.0091.0%15.1%45.0%49.7%52.2%-2.3%-19.7%-4.5K347.3K-1.6K0.94120.45N/AN/A9892243231
2015-08-10$35.73$45.0055.7%11.9%49.0%27.1%43.5%9.4%-11.6%-6.8K424.9K-9350.94115.77N/AN/A9892243231
2015-08-11$35.54$45.0074.1%16.0%48.5%38.9%51.1%-22.4%-17.0%-5.7K385.4K-1.4K0.00124.66N/AN/A20243231
2015-08-12$36.77$45.0057.2%16.4%48.4%28.1%37.7%2.5%-28.6%-5.3K407.5K-1.5K0.92111.83N/AN/A10092245231
2015-08-13$34.87$45.0044.2%12.7%51.4%19.8%37.2%4.0%-3.2%-4.7K401.2K-1.4K0.9290.88N/AN/A10092245231
2015-08-14$35.11$45.0062.4%17.9%50.9%31.5%55.2%-4.2%-21.3%-5.9K333.3K-1.5K0.92116.67N/AN/A10092245231
2015-08-17$34.30$45.0045.9%13.2%50.1%20.9%50.2%-4.8%-10.8%-6.6K426.1K-1.2K0.77116.96N/AN/A12092245231
2015-08-18$33.88$45.0034.8%10.0%50.3%12.3%38.3%6.3%-0.8%-362390.8K-1.4K0.77113.85N/AN/A12092270231
2015-08-19$32.40$45.0046.9%13.5%52.6%19.1%0.0%-23.1%-12.8%-3.8K425.5K-1.1K0.00119.65N/AN/A00270231
2015-08-20$32.93$45.0045.5%13.0%52.9%18.0%51.1%29.6%-8.8%-503417.2K-1.1K0.77119.69N/AN/A12092270231
2015-08-21$31.76$45.0041.1%11.8%53.6%15.1%75.2%-42.8%23.2%-643327.7K-1.4K0.78124.55N/AN/A12093270231
2015-08-24$29.39$45.0069.0%19.8%58.2%33.5%87.9%21.2%-7.3%-89451.7K-7230.46107.43N/AN/A11653266201
2015-08-25$29.71$45.0048.3%13.8%56.4%19.8%67.7%3.2%-0.1%-202407.6K-9230.46112.08N/AN/A11653267194
2015-08-26$30.76$45.0066.1%19.0%56.4%31.2%82.4%-3.4%-16.7%-312427.2K-8760.57121.45N/AN/A11063267194
2015-08-27$32.32$45.0058.9%16.9%59.6%26.5%62.1%9.6%-6.8%237379.1K-1.2K0.65103.26N/AN/A11072271204
2015-08-28$34.08$45.0056.9%16.3%62.1%25.1%62.1%-22.9%2.5%-548345.6K-1.5K0.60110.89N/AN/A11066271213
2015-08-31$34.62$45.0090.5%25.9%59.9%47.4%80.5%12.7%-38.3%-1.3K291.2K-1.6K0.62117.58N/AN/A10464271216