VET Options History — October 2015

In October 2015, VET traded between $32.03 and $37.83. ATM implied volatility averaged 67.5%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 28.5% (HV 20d: 39.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2015-10-01: Highest Volume — 163 contracts
  • 2015-10-09: Largest IV spike — 210.8% change
  • 2015-10-12: Highest IV Rank — 94.3%
  • 2015-10-01: Largest Expected Move — 30.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.78$32.03$37.83$32.03$35.21
Max Pain$34.33$30.00$35.00$30.00$35.00
ATM IV67.5%30.2%161.5%107.1%78.7%
Expected Move15.0%8.7%30.7%30.7%22.6%
HV 20d39.0%33.7%45.2%36.6%42.6%
HV 60d48.3%46.6%50.0%47.2%46.6%
IV Rank30.1%5.9%94.3%57.7%35.9%
IV Percentile61.1%3.6%99.6%98.4%90.1%
Term Structure-9.3%-39.9%18.4%-39.9%-19.1%
VWIV54.6%27.0%87.0%87.0%77.0%
Skew 25d18.2%-15.2%48.9%8.3%43.9%
Skew 10d26.5%-3.8%74.0%25.3%16.2%
Call IV 25d49.9%34.0%85.1%85.1%38.1%
Put IV 25d68.0%37.9%112.1%93.4%82.0%
Bid-Ask Spread %119.9588.63130.64122.77125.37
Gamma HHI0.350.270.460.310.38
Net GEX5.8K2.1K8.3K2.3K5.1K
Net DEX-182.1K-342.6K33.6K11.1K-117.7K
Net VEX-1.9K-2.1K-1.6K-1.7K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.001.320.921.02
Total Volume110.273316316387
Total OI372.773338403382356

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$32.03$30.00107.1%30.7%36.6%57.7%87.0%8.3%-39.9%2.3K11.1K-1.7K0.92122.77N/AN/A8578225157
2015-10-02$32.56$30.0074.9%21.5%36.3%36.0%80.2%35.9%-22.3%2.1K33.6K-1.7K0.92130.64N/AN/A8578227157
2015-10-05$34.18$0.0067.6%13.8%40.3%31.0%0.0%-15.2%-23.2%3.7K-43.5K-1.7K0.00128.62N/AN/A30227157
2015-10-06$36.31$0.00112.6%12.4%45.2%61.4%0.0%15.2%-4.8%3.5K-166.6K-1.8K1.32121.33N/AN/A5978230157
2015-10-07$37.17$0.0088.1%11.7%43.2%44.9%0.0%7.4%1.8%5.5K-255.0K-2.1K1.32116.22N/AN/A5978239153
2015-10-08$37.83$0.0035.9%10.7%43.3%9.7%0.0%12.6%-0.5%6.8K-276.3K-1.9K1.2588.63N/AN/A5974239153
2015-10-09$37.77$0.00111.7%9.9%37.0%60.8%0.0%27.8%18.4%7.9K-320.0K-2.1K1.25126.10N/AN/A5974239154
2015-10-12$36.98$0.00161.5%13.3%38.2%94.3%0.0%22.6%-9.8%5.6K-242.9K-1.9K1.25120.73N/AN/A5974239154
2015-10-13$37.16$0.0058.8%15.9%37.9%25.1%38.1%21.3%-3.0%6.0K-244.2K-1.9K1.07115.20N/AN/A6974239154
2015-10-14$37.41$35.0032.6%9.3%34.1%7.5%30.0%1.4%5.5%6.8K-250.5K-1.8K1.21114.34N/AN/A6174249154
2015-10-15$37.68$35.0042.0%12.0%34.0%13.8%44.4%18.4%-0.6%7.4K-273.4K-1.9K1.21120.70N/AN/A6174249154
2015-10-16$37.74$35.0044.5%12.8%33.7%15.5%42.9%13.7%0.0%8.3K-342.6K-2.1K1.21123.52N/AN/A6174249154
2015-10-19$36.47$35.0032.1%9.2%36.8%7.2%27.4%16.0%6.8%7.3K-265.4K-1.9K0.61119.42N/AN/A573523999
2015-10-20$36.70$35.0030.2%8.7%36.1%5.9%27.0%3.7%11.9%7.2K-226.7K-1.8K0.69101.38N/AN/A5135239102
2015-10-21$35.26$35.0045.5%13.0%38.2%16.1%49.7%4.7%-16.7%7.4K-198.8K-1.9K0.73112.65N/AN/A5137241102
2015-10-22$35.82$35.0059.3%17.0%38.4%25.5%57.2%48.9%-17.3%6.3K-186.7K-1.9K0.73126.84N/AN/A5137241104
2015-10-23$35.52$35.0039.0%11.2%38.7%8.0%38.4%3.9%3.8%6.6K-175.9K-2.0K1.02125.85N/AN/A4344241104
2015-10-26$34.46$35.0063.5%18.2%39.9%25.2%69.4%46.1%-31.1%6.7K-165.0K-2.1K1.02126.32N/AN/A4344242114
2015-10-27$33.38$35.0057.7%16.5%41.8%21.1%61.8%34.2%-18.1%4.6K-73.1K-1.6K1.02123.90N/AN/A4344242114
2015-10-28$34.63$35.0073.5%21.1%42.9%32.2%73.8%5.5%-28.0%4.4K-109.4K-1.7K1.02122.23N/AN/A4344242114
2015-10-29$34.96$35.0068.3%19.6%42.8%28.5%68.7%23.5%-17.5%5.4K-116.2K-1.7K1.02126.24N/AN/A4344242114
2015-10-30$35.21$35.0078.7%22.6%42.6%35.9%77.0%43.9%-19.1%5.1K-117.7K-1.8K1.02125.37N/AN/A4344242114