VET Options History — March 2016

In March 2016, VET traded between $28.53 and $32.15. ATM implied volatility averaged 52.6%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 0.1% (HV 20d: 52.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2016-03-30: Highest Volume — 174 contracts
  • 2016-03-08: Largest IV spike — 92.6% change
  • 2016-03-08: Highest IV Rank — 75.8%
  • 2016-03-22: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.97$28.53$32.15$28.55$29.27
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV52.6%38.1%133.7%49.3%44.7%
Expected Move13.8%10.9%20.6%14.1%12.8%
HV 20d52.7%47.8%60.0%59.9%50.5%
HV 60d62.5%61.0%66.2%65.7%61.8%
IV Rank21.6%11.9%75.8%19.4%16.3%
IV Percentile33.7%8.3%98.8%32.1%22.6%
Term Structure-1.9%-28.6%5.3%-6.7%-1.0%
VWIV46.0%36.5%58.4%58.4%44.6%
Skew 25d8.8%-25.8%56.6%7.4%-0.5%
Skew 10d10.1%-43.7%78.4%-2.6%1.4%
Call IV 25d47.7%37.7%88.5%52.5%44.8%
Put IV 25d56.5%39.7%115.2%60.0%44.3%
Bid-Ask Spread %115.1292.70132.44116.07120.46
Gamma HHI0.370.260.520.320.39
Net GEX8.3K3.7K19.0K6.2K6.8K
Net DEX-158.8K-296.8K-36.6K-36.6K-139.9K
Net VEX-1.2K-1.4K-840-1.1K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.140.800.780.21
Total Volume115.3186417487173
Total OI435.909252510464376

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$28.55$30.0049.3%14.1%59.9%19.4%58.4%7.4%-6.7%6.2K-36.6K-1.1K0.78116.07N/AN/A4938340124
2016-03-02$28.98$30.0045.0%12.9%57.1%16.6%53.5%9.2%3.6%7.0K-36.8K-1.1K0.71114.19N/AN/A5136350128
2016-03-03$30.01$0.0044.6%13.5%53.8%16.3%0.0%-0.1%-2.0%10.6K-127.1K-1.1K0.80112.43N/AN/A4637350129
2016-03-04$31.26$0.0046.7%12.5%55.2%17.7%0.0%5.3%-2.3%16.0K-277.9K-1.1K0.62117.19N/AN/A6037361131
2016-03-07$31.36$0.0069.4%13.8%54.4%32.9%0.0%7.2%1.1%19.0K-296.8K-1.3K0.72108.43N/AN/A6043358131
2016-03-08$29.43$0.00133.7%15.8%60.0%75.8%0.0%-25.8%4.7%9.5K-231.0K-1.4K0.65118.73N/AN/A6039356138
2016-03-09$29.97$0.0045.6%13.1%48.1%16.9%0.0%23.1%3.5%10.2K-154.1K-1.2K0.65112.84N/AN/A6039356141
2016-03-10$29.25$0.0045.8%13.1%47.8%17.1%0.0%1.3%4.7%8.4K-95.5K-1.2K0.74111.53N/AN/A5037356141
2016-03-11$30.69$0.0043.8%12.6%49.5%15.8%0.0%7.7%0.3%10.9K-171.9K-1.1K0.7492.70N/AN/A5037360142
2016-03-14$29.87$0.0053.8%15.4%50.8%22.5%0.0%1.5%-5.3%9.1K-123.3K-1.1K0.66112.22N/AN/A5033360145
2016-03-15$29.54$0.0049.8%14.3%51.3%19.7%0.0%16.2%-3.7%8.0K-80.2K-9760.61110.75N/AN/A5433360145
2016-03-16$30.94$0.0066.5%19.1%50.8%30.9%0.0%56.6%-28.6%3.7K-230.7K-8760.56132.44N/AN/A6235357145
2016-03-17$32.15$0.0041.9%12.0%51.6%14.5%0.0%6.6%1.3%7.5K-279.6K-9360.43116.19N/AN/A8235365145
2016-03-18$31.48$0.0054.0%15.5%52.9%22.6%0.0%7.3%-16.5%5.0K-176.6K-1.1K0.44116.57N/AN/A7935341145
2016-03-21$31.06$0.0044.3%12.7%52.1%16.1%0.0%4.5%5.3%4.5K-173.8K-1.1K0.45113.83N/AN/A442016686
2016-03-22$31.00$0.0072.0%20.6%48.5%34.5%0.0%9.5%-8.5%6.1K-181.8K-8400.15121.36N/AN/A1362016891
2016-03-23$29.28$0.0046.8%13.4%53.8%17.7%0.0%18.8%-1.8%7.9K-164.1K-1.4K0.15123.17N/AN/A1332026291
2016-03-24$29.00$30.0039.6%11.3%53.8%12.9%43.2%12.6%1.4%6.2K-115.9K-1.2K0.14107.98N/AN/A1402026691
2016-03-28$28.65$30.0041.6%11.9%53.9%14.3%46.4%14.1%2.1%7.1K-157.5K-1.4K0.14112.16N/AN/A1402027091
2016-03-29$28.53$30.0038.1%10.9%53.1%11.9%36.5%10.8%3.7%6.0K-110.0K-1.3K0.21117.54N/AN/A1403027091
2016-03-30$29.14$30.0039.6%11.4%50.8%13.0%39.6%-0.5%2.8%5.8K-131.9K-1.3K0.21123.84N/AN/A14430270101
2016-03-31$29.27$30.0044.7%12.8%50.5%16.3%44.6%-0.5%-1.0%6.8K-139.9K-1.4K0.21120.46N/AN/A14330275101