VET Options History — June 2016

In June 2016, VET traded between $30.32 and $36.12. ATM implied volatility averaged 46.4%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 10.6% (HV 20d: 35.8%). 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 1.19.

Notable Days

  • 2016-06-30: Highest Volume — 279 contracts
  • 2016-06-24: Largest IV spike — 113.4% change
  • 2016-06-24: Highest IV Rank — 45.6%
  • 2016-06-24: Largest Expected Move — 25.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.12$30.32$36.12$33.10$31.66
Max Pain$34.77$30.00$35.00$30.00$35.00
ATM IV46.4%26.6%88.4%40.4%63.6%
Expected Move13.1%7.6%25.4%11.6%18.2%
HV 20d35.8%31.7%44.4%33.1%44.4%
HV 60d39.3%37.1%42.5%42.5%39.7%
IV Rank17.5%4.3%45.6%13.5%29.0%
IV Percentile29.3%0.4%93.3%15.1%67.9%
Term Structure-6.6%-36.3%11.1%-4.3%-36.3%
VWIV39.9%26.1%58.5%44.8%58.5%
Skew 25d20.0%-11.8%82.1%11.6%-6.1%
Skew 10d26.5%-36.5%93.8%76.2%71.4%
Call IV 25d48.2%26.4%86.8%41.7%56.3%
Put IV 25d68.2%38.2%124.5%53.3%50.2%
Bid-Ask Spread %119.62106.14132.47115.33122.81
Gamma HHI0.490.310.670.600.37
Net GEX14.5K3.4K33.7K16.5K5.5K
Net DEX-266.1K-792.2K24.9K-276.5K-10.4K
Net VEX-2.3K-2.8K-1.9K-2.2K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.462.161.820.63
Total Volume215.273155279169279
Total OI564.909375656591507

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$33.10$30.0040.4%11.6%33.1%13.5%44.8%11.6%-4.3%16.5K-276.5K-2.2K1.82115.33N/AN/A60109362229
2016-06-02$33.12$35.0040.1%8.6%33.1%13.2%27.3%11.4%3.7%18.3K-285.8K-2.2K1.68116.22N/AN/A65109366229
2016-06-03$33.75$35.0035.2%9.6%32.5%10.0%33.6%15.6%4.8%22.0K-391.8K-2.3K1.68112.52N/AN/A65109369229
2016-06-06$34.73$35.0037.6%10.6%33.8%11.6%37.0%13.2%1.5%27.3K-483.7K-2.2K1.95108.25N/AN/A56109369229
2016-06-07$36.12$35.0034.2%7.9%31.7%9.3%28.6%11.8%11.1%27.9K-667.9K-2.0K2.16123.50N/AN/A50108370229
2016-06-08$35.94$35.0040.4%11.6%31.8%13.5%40.8%5.9%-2.6%25.9K-792.2K-2.1K2.16111.97N/AN/A50108374237
2016-06-09$34.99$35.0037.8%10.8%33.5%11.7%37.5%7.3%-1.9%33.7K-578.5K-2.2K2.10106.14N/AN/A50105374237
2016-06-10$33.56$35.0059.1%17.0%37.0%26.0%54.8%15.8%-23.0%16.3K-410.4K-2.2K1.98132.47N/AN/A53105374237
2016-06-13$33.56$35.0044.0%12.6%36.1%15.9%44.1%11.4%-5.1%21.9K-379.0K-2.3K1.13111.02N/AN/A93105414237
2016-06-14$33.17$35.0039.1%11.2%34.1%12.6%38.9%-11.8%-1.7%21.7K-284.8K-2.1K1.11120.54N/AN/A95105414237
2016-06-15$32.78$35.0045.1%12.9%34.2%16.6%42.0%3.3%-11.5%17.1K-246.3K-2.0K1.11126.81N/AN/A95105419237
2016-06-16$32.28$35.0041.4%11.9%33.6%14.2%44.4%5.5%6.6%3.4K-162.4K-1.9K1.11118.45N/AN/A95105418237
2016-06-17$32.77$35.0036.7%10.5%34.1%11.0%34.7%33.2%-4.6%5.1K-226.8K-1.9K1.07121.36N/AN/A98105417237
2016-06-20$33.20$35.0026.6%7.6%34.3%4.3%26.1%25.3%3.8%5.0K-111.5K-2.0K0.46125.42N/AN/A17178230145
2016-06-21$33.57$35.0031.5%9.0%34.5%7.6%29.3%44.5%-3.6%10.7K-182.3K-2.5K0.46122.39N/AN/A17178329145
2016-06-22$32.58$35.0049.9%14.3%36.1%19.8%49.2%16.6%-8.3%10.4K-221.0K-2.8K0.56129.27N/AN/A17196329145
2016-06-23$33.47$35.0041.4%11.9%33.0%14.2%40.2%37.2%-8.1%9.1K-171.5K-2.7K0.61126.48N/AN/A171105329167
2016-06-24$31.34$35.0088.4%25.4%40.1%45.6%35.5%82.1%-33.2%6.0K-36.3K-2.6K0.61131.29N/AN/A171105329176
2016-06-27$30.32$35.0065.4%18.7%41.4%30.1%41.5%27.1%-15.3%4.9K24.9K-2.4K0.61118.44N/AN/A171105329176
2016-06-28$30.71$35.0046.7%13.4%41.7%17.7%53.5%36.8%-16.2%5.0K16.7K-2.3K0.61118.06N/AN/A171105329176
2016-06-29$31.92$35.0076.3%21.9%44.4%37.5%35.0%42.8%0.1%6.0K22.6K-2.3K0.61112.95N/AN/A171105329177
2016-06-30$31.66$35.0063.6%18.2%44.4%29.0%58.5%-6.1%-36.3%5.5K-10.4K-2.4K0.63122.81N/AN/A171108329178