VET Options History — May 2016

In May 2016, VET traded between $31.62 and $33.91. ATM implied volatility averaged 52.2%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 12.6% (HV 20d: 39.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2016-05-09: Highest Volume — 244 contracts
  • 2016-05-27: Largest IV spike — 115.4% change
  • 2016-05-10: Highest IV Rank — 66.7%
  • 2016-05-27: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.82$31.62$33.91$33.36$33.18
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV52.2%33.7%120.1%38.3%45.3%
Expected Move13.8%9.7%22.0%11.0%13.0%
HV 20d39.6%34.8%44.5%38.1%35.6%
HV 60d45.2%42.5%49.4%48.9%42.5%
IV Rank21.4%9.0%66.7%12.1%16.7%
IV Percentile35.8%4.4%97.6%10.7%27.4%
Term Structure-6.0%-33.6%14.6%2.6%-10.6%
VWIV51.3%37.3%85.0%45.5%51.0%
Skew 25d20.3%-5.6%77.8%-5.6%2.1%
Skew 10d20.9%-7.1%62.2%8.6%16.3%
Call IV 25d43.5%34.1%56.0%39.1%51.5%
Put IV 25d63.8%33.5%123.6%33.5%53.6%
Bid-Ask Spread %114.53106.07127.64119.49115.60
Gamma HHI0.450.340.570.390.57
Net GEX15.3K9.9K20.3K17.8K17.0K
Net DEX-379.0K-529.0K-241.0K-529.0K-320.2K
Net VEX-2.4K-2.8K-2.0K-2.4K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.731.280.731.28
Total Volume227.714194244215194
Total OI586.048557627557572

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$33.36$30.0038.3%11.0%38.1%12.1%45.5%-5.6%2.6%17.8K-529.0K-2.4K0.73119.49N/AN/A12491379178
2016-05-03$32.19$30.0041.4%11.9%40.7%14.1%43.1%5.4%14.6%15.3K-377.2K-2.2K0.73114.61N/AN/A12491379178
2016-05-04$32.34$30.0051.6%14.8%40.7%21.0%49.6%1.0%-6.6%17.1K-360.8K-2.1K0.94121.41N/AN/A124116379178
2016-05-05$33.18$30.0053.8%17.5%40.7%22.4%62.7%14.7%-22.7%13.9K-478.6K-2.8K0.94115.36N/AN/A124116379208
2016-05-06$33.00$30.0052.0%10.8%40.8%21.2%41.6%15.7%4.5%17.2K-404.1K-2.5K0.94109.57N/AN/A124116379208
2016-05-09$31.62$30.0098.9%19.1%44.4%52.5%55.4%42.0%-17.7%13.4K-323.8K-2.3K0.97109.17N/AN/A124120379208
2016-05-10$32.11$30.00120.1%20.5%43.5%66.7%82.8%70.7%-10.9%9.9K-402.8K-2.8K0.97126.05N/AN/A124120379212
2016-05-11$32.66$30.0043.8%12.5%43.5%15.7%42.8%13.2%0.7%18.2K-328.0K-2.0K0.97111.29N/AN/A124120379212
2016-05-12$32.94$30.0033.7%9.7%42.7%9.0%39.0%33.5%-1.1%17.1K-398.5K-2.5K0.97114.60N/AN/A124120379212
2016-05-13$32.23$30.0039.3%11.3%43.3%12.8%46.2%2.9%12.8%17.1K-358.7K-2.1K0.97111.98N/AN/A124120379212
2016-05-16$33.40$30.0035.0%10.0%44.5%9.9%37.3%9.6%4.1%20.3K-450.6K-2.4K0.95108.71N/AN/A125119379212
2016-05-17$33.62$30.0046.7%13.4%37.9%17.7%44.7%12.2%-5.5%15.1K-414.5K-2.7K0.95108.60N/AN/A125119381246
2016-05-18$32.84$30.0060.5%17.3%38.6%26.9%71.9%49.0%-33.6%11.5K-444.4K-2.8K0.99121.45N/AN/A120119378246
2016-05-19$32.72$30.0051.0%14.6%38.5%20.5%57.1%10.8%-9.5%12.5K-396.7K-2.4K0.99120.75N/AN/A120119378246
2016-05-20$32.52$30.0035.0%10.0%35.4%9.9%38.9%0.6%0.8%14.5K-263.0K-2.4K0.98110.05N/AN/A121119359246
2016-05-23$32.52$30.0035.0%10.0%35.0%9.9%39.3%7.6%-4.9%14.6K-241.0K-2.3K0.94106.07N/AN/A10599347226
2016-05-24$32.30$30.0044.8%12.8%34.8%16.4%43.5%7.4%-4.7%14.2K-258.2K-2.3K0.94108.90N/AN/A10599347226
2016-05-25$33.91$30.0057.8%16.6%38.5%25.1%58.0%33.4%-28.2%14.1K-374.2K-2.3K0.94116.06N/AN/A10599347226
2016-05-26$33.47$30.0035.7%10.2%37.4%10.3%41.0%21.7%-2.1%17.4K-372.1K-2.4K0.87107.69N/AN/A10591347226
2016-05-27$33.04$30.0076.9%22.0%37.3%37.9%85.0%77.8%-7.9%12.7K-462.4K-2.4K0.94127.64N/AN/A10599352224
2016-05-31$33.18$30.0045.3%13.0%35.6%16.7%51.0%2.1%-10.6%17.0K-320.2K-2.2K1.28115.60N/AN/A85109352220