VET Options History — April 2016

In April 2016, VET traded between $26.69 and $34.45. ATM implied volatility averaged 49.5%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 6.3% (HV 20d: 43.2%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2016-04-25: Highest Volume — 224 contracts
  • 2016-04-25: Largest IV spike — 104.0% change
  • 2016-04-12: Highest IV Rank — 39.7%
  • 2016-04-25: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.82$26.69$34.45$28.28$34.45
Max Pain$27.38$25.00$30.00$30.00$30.00
ATM IV49.5%32.0%79.6%47.1%39.8%
Expected Move12.9%9.2%21.7%13.5%11.4%
HV 20d43.2%35.8%50.2%50.2%40.2%
HV 60d56.1%48.4%62.2%62.2%48.4%
IV Rank19.6%7.8%39.7%17.9%13.0%
IV Percentile33.1%2.8%90.1%28.6%12.7%
Term Structure-1.5%-17.6%19.4%1.5%-0.2%
VWIV44.6%30.9%64.5%47.9%40.5%
Skew 25d5.6%-38.9%46.8%-7.5%-1.2%
Skew 10d15.7%-24.8%44.3%0.7%7.3%
Call IV 25d43.6%34.3%82.1%45.5%36.1%
Put IV 25d49.1%34.9%95.0%38.1%34.9%
Bid-Ask Spread %111.1084.70124.94121.02110.57
Gamma HHI0.330.240.440.340.43
Net GEX8.7K2.0K20.0K6.2K20.0K
Net DEX-186.5K-634.3K13.0K-109.4K-634.3K
Net VEX-1.5K-2.3K-1.0K-1.3K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.210.840.210.73
Total Volume186.857132224173215
Total OI446.857378543381543

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$28.28$30.0047.1%13.5%50.2%17.9%47.9%-7.5%1.5%6.2K-109.4K-1.3K0.21121.02N/AN/A14330280101
2016-04-04$27.05$30.0069.8%15.5%49.5%33.1%43.3%5.2%3.3%5.2K-80.2K-1.2K0.24114.55N/AN/A14434280101
2016-04-05$26.69$30.0043.8%14.1%49.4%15.8%43.9%7.1%0.1%3.6K-4.1K-1.1K0.3384.70N/AN/A13846278108
2016-04-06$27.14$30.0051.9%15.2%45.5%21.1%47.0%5.1%-17.6%2.8K13.0K-1.0K0.74120.92N/AN/A7656278121
2016-04-07$26.99$25.0079.1%15.1%44.7%39.4%48.2%11.7%-6.8%2.0K10.7K-1.1K0.75102.99N/AN/A7657247131
2016-04-08$27.64$25.0040.5%12.5%45.3%13.6%47.7%2.8%-3.0%2.3K4.4K-1.1K0.5489.50N/AN/A10557247133
2016-04-11$28.21$25.0065.5%11.8%42.1%30.2%45.3%7.3%-4.1%3.7K-35.0K-1.2K0.58102.89N/AN/A10561277133
2016-04-12$29.12$25.0079.6%11.9%43.0%39.7%45.1%8.7%2.8%4.5K-75.6K-1.3K0.57113.32N/AN/A11565277139
2016-04-13$28.93$25.0042.2%12.1%42.9%14.7%48.6%13.3%-3.2%5.7K-99.8K-1.5K0.59117.06N/AN/A11165295147
2016-04-14$28.49$25.0043.8%12.5%39.3%15.7%44.9%7.3%-5.6%5.6K-60.8K-1.4K0.50107.05N/AN/A12965296147
2016-04-15$28.10$25.0048.5%13.9%36.1%18.9%47.0%2.8%-3.8%5.7K-49.4K-1.4K0.50106.56N/AN/A12965316147
2016-04-18$28.14$25.0036.5%10.5%35.8%10.8%42.7%7.4%-0.4%5.6K-71.9K-1.2K0.44104.71N/AN/A12555309137
2016-04-19$30.20$25.0051.1%14.6%44.7%20.6%51.0%15.0%-10.4%11.6K-212.7K-1.2K0.55119.59N/AN/A12569309142
2016-04-20$30.94$25.0040.3%11.6%45.6%13.4%35.3%-12.7%5.9%10.9K-236.4K-1.8K0.64119.81N/AN/A11674309163
2016-04-21$31.28$25.0032.5%9.3%40.4%8.2%30.9%-38.9%19.4%11.8K-265.0K-1.8K0.69124.03N/AN/A12184309168
2016-04-22$32.66$30.0037.1%10.7%42.5%11.3%38.0%7.9%0.5%12.7K-349.2K-2.0K0.76122.10N/AN/A12192314178
2016-04-25$32.17$30.0075.8%21.7%42.6%37.1%64.5%46.8%-1.5%12.4K-310.5K-1.9K0.70105.88N/AN/A13292314172
2016-04-26$32.51$30.0032.0%9.2%42.5%7.8%35.0%11.3%1.4%14.8K-370.9K-1.9K0.71107.08N/AN/A13092325172
2016-04-27$33.10$30.0044.1%12.7%42.4%16.0%44.3%1.9%-4.3%16.4K-446.6K-1.8K0.84124.94N/AN/A11092328172
2016-04-28$34.07$30.0039.5%11.3%43.1%12.8%46.6%15.5%-4.5%19.8K-532.2K-2.2K0.78113.90N/AN/A11691369172
2016-04-29$34.45$30.0039.8%11.4%40.2%13.0%40.5%-1.2%-0.2%20.0K-634.3K-2.3K0.73110.57N/AN/A12491368175