VET Options History — September 2015

In September 2015, VET traded between $30.47 and $33.59. ATM implied volatility averaged 71.1%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 18.3% (HV 20d: 52.8%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2015-09-18: Highest Volume — 259 contracts
  • 2015-09-24: Largest IV spike — 46.1% change
  • 2015-09-02: Highest IV Rank — 52.5%
  • 2015-09-30: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.98$30.47$33.59$33.26$32.21
Max Pain$30.95$30.00$40.00$40.00$30.00
ATM IV71.1%51.8%98.2%79.0%98.2%
Expected Move19.5%12.8%28.2%22.7%28.2%
HV 20d52.8%37.8%61.6%60.8%37.8%
HV 60d46.9%45.3%48.2%45.6%47.4%
IV Rank34.0%21.0%52.5%39.8%51.7%
IV Percentile84.4%62.7%97.6%93.7%97.2%
Term Structure-14.7%-46.8%10.7%-30.4%-46.8%
VWIV67.4%41.5%103.5%78.5%78.6%
Skew 25d21.0%-3.5%104.2%104.2%42.3%
Skew 10d11.2%-55.5%38.3%20.4%-55.5%
Call IV 25d57.7%38.3%98.2%49.2%52.7%
Put IV 25d78.7%42.3%153.4%153.4%95.0%
Bid-Ask Spread %120.2195.06132.73113.83126.78
Gamma HHI0.250.200.320.200.28
Net GEX186-1.9K2.5K2242.3K
Net DEX261.9K-10.2K491.4K274.7K-10.2K
Net VEX-1.4K-1.8K-1.0K-1.7K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.001.040.640.93
Total Volume164.0483259171162
Total OI471.857335572508382

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$33.26$40.0079.0%22.7%60.8%39.8%78.5%104.2%-30.4%224274.7K-1.7K0.64113.83N/AN/A10467291217
2015-09-02$32.35$40.0098.2%28.2%61.6%52.5%86.9%50.4%-23.1%643350.2K-1.4K0.68112.75N/AN/A10471291220
2015-09-03$33.01$30.0075.7%13.3%59.6%37.6%84.4%7.3%10.7%301311.6K-1.6K0.65121.83N/AN/A10971291225
2015-09-04$33.05$30.0057.2%15.5%59.1%25.3%71.7%18.9%-13.9%957401.4K-1.2K0.78110.28N/AN/A10078296225
2015-09-08$33.59$30.0077.5%12.8%56.4%38.8%41.5%11.1%5.0%-162369.3K-1.4K0.00118.63N/AN/A30299235
2015-09-09$32.42$30.0058.1%16.7%57.6%25.2%56.9%6.4%7.9%-68344.0K-1.4K0.84111.41N/AN/A10286301235
2015-09-10$32.52$30.0053.1%15.2%55.9%21.9%59.8%12.9%-4.5%2.5K433.5K-1.2K0.84125.77N/AN/A10286301235
2015-09-11$30.82$30.0070.3%20.1%55.9%33.4%103.5%21.1%-16.8%-1.4K460.2K-1.0K0.84132.73N/AN/A10286301235
2015-09-14$30.59$30.0051.8%14.8%55.7%21.0%61.4%1.8%-12.5%82439.2K-1.1K0.74116.62N/AN/A10678301235
2015-09-15$30.47$30.0075.0%21.5%55.4%36.6%48.4%4.0%-31.1%318449.6K-1.1K0.00123.96N/AN/A030305237
2015-09-16$32.16$30.0076.1%21.8%59.2%37.3%73.0%55.8%-15.6%-1.9K491.4K-1.1K1.02125.40N/AN/A106108305267
2015-09-17$32.17$30.0077.4%22.2%57.1%38.1%93.0%30.8%-16.7%-1.8K438.0K-1.2K1.02124.70N/AN/A106108305267
2015-09-18$31.94$30.0065.0%18.6%56.8%29.8%56.1%10.0%-9.2%-1.5K474.6K-1.0K0.72126.99N/AN/A151108304267
2015-09-21$32.42$30.0063.9%18.3%55.6%29.1%58.9%13.4%-22.0%-57936.0K-1.4K1.01129.06N/AN/A7778184151
2015-09-22$32.00$30.0058.4%16.7%47.6%25.4%54.5%10.9%-9.7%28329.4K-1.5K1.01102.42N/AN/A7778199151
2015-09-23$31.22$30.0052.8%15.1%48.6%21.7%51.4%-3.5%-4.8%14434.8K-1.5K1.0495.06N/AN/A7578199151
2015-09-24$31.44$30.0077.1%22.1%47.2%37.9%64.4%20.0%-12.6%10659.4K-1.6K0.93122.15N/AN/A8478198157
2015-09-25$31.53$30.0066.9%19.2%43.6%30.6%66.2%4.9%-24.4%1.8K36.6K-1.6K0.93124.29N/AN/A8478225157
2015-09-28$30.96$30.0073.2%21.0%38.9%34.8%58.6%2.4%-1.4%64446.2K-1.7K0.93129.32N/AN/A8478225157
2015-09-29$31.48$30.0087.9%25.2%39.0%44.8%67.8%16.6%-36.5%1.1K30.5K-1.7K0.93130.45N/AN/A8478225157
2015-09-30$32.21$30.0098.2%28.2%37.8%51.7%78.6%42.3%-46.8%2.3K-10.2K-1.8K0.93126.78N/AN/A8478225157