VET Options History — July 2016

In July 2016, VET traded between $31.06 and $33.38. ATM implied volatility averaged 57.5%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 18.6% (HV 20d: 39.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2016-07-11: Highest Volume — 335 contracts
  • 2016-07-08: Largest IV spike — 110.5% change
  • 2016-07-12: Highest IV Rank — 95.5%
  • 2016-07-01: Largest Expected Move — 29.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.28$31.06$33.38$31.97$33.38
Max Pain$30.31$30.00$35.00$35.00$30.00
ATM IV57.5%29.5%163.2%102.6%31.4%
Expected Move13.1%8.5%29.4%29.4%9.0%
HV 20d39.0%26.9%44.0%44.0%27.1%
HV 60d38.0%35.0%40.4%39.7%35.1%
IV Rank25.2%6.5%95.5%55.0%7.8%
IV Percentile38.7%0.8%99.6%96.4%1.6%
Term Structure0.5%-41.4%28.4%-41.4%4.1%
VWIV47.3%36.9%81.0%50.3%36.9%
Skew 25d17.2%-14.2%71.6%71.6%11.3%
Skew 10d30.9%-19.8%89.6%71.6%39.5%
Call IV 25d44.0%30.4%81.1%50.3%36.9%
Put IV 25d61.2%45.4%121.8%121.8%48.2%
Bid-Ask Spread %116.7896.61135.24135.24101.23
Gamma HHI0.420.310.500.430.40
Net GEX9.0K4.0K15.4K6.3K15.4K
Net DEX-155.1K-316.7K35.7K-39.1K-316.7K
Net VEX-2.8K-3.3K-2.2K-2.5K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.601.050.600.70
Total Volume262.2196335287224
Total OI592.75510695510695

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$31.97$35.00102.6%29.4%44.0%55.0%50.3%71.6%-41.4%6.3K-39.1K-2.5K0.60135.24N/AN/A179108329181
2016-07-05$31.06$0.0040.0%11.3%43.3%13.2%0.0%-14.2%3.9%4.0K35.7K-2.2K0.60119.29N/AN/A179108337181
2016-07-06$31.95$0.0078.8%13.3%41.9%39.1%0.0%21.3%1.8%6.0K-28.9K-2.4K0.60122.87N/AN/A179108337181
2016-07-07$31.21$0.0043.6%15.2%42.4%15.6%0.0%17.2%1.9%5.0K-51.8K-2.6K0.60127.87N/AN/A179108337181
2016-07-08$31.31$0.0091.8%14.2%41.9%47.8%47.9%14.4%-9.9%5.4K-15.2K-2.5K0.61123.32N/AN/A184112337182
2016-07-11$31.11$30.00101.3%11.5%39.6%54.1%39.5%7.0%4.0%5.0K3.5K-2.3K0.64119.35N/AN/A204131337189
2016-07-12$32.25$30.00163.2%15.2%42.1%95.5%42.8%39.5%28.4%7.7K-166.3K-2.9K0.64126.59N/AN/A204131371211
2016-07-13$32.01$30.0046.4%13.3%42.0%17.5%48.5%4.6%-10.8%8.6K-146.5K-2.9K0.64135.12N/AN/A204131371211
2016-07-14$33.02$30.0063.4%18.2%43.3%28.8%81.0%36.8%-19.3%8.5K-152.3K-2.7K0.70120.60N/AN/A188131377211
2016-07-15$32.71$30.0044.3%12.7%43.1%16.8%50.9%7.8%23.5%9.5K-199.8K-3.0K1.05116.96N/AN/A114120381211
2016-07-18$32.66$30.0041.5%11.9%42.8%14.9%46.1%23.1%5.7%9.5K-308.5K-3.2K0.89122.49N/AN/A10795390203
2016-07-19$32.53$30.0034.8%10.0%42.5%10.2%41.8%12.4%6.4%9.7K-185.4K-2.8K0.94111.82N/AN/A10195392203
2016-07-20$32.89$30.0035.1%10.1%42.5%10.4%47.7%16.2%-1.8%9.6K-188.7K-2.4K1.01117.70N/AN/A101102393203
2016-07-21$32.59$30.0029.5%8.5%41.2%6.5%52.1%19.3%8.5%10.4K-219.2K-2.6K0.88116.70N/AN/A116102393210
2016-07-22$32.75$30.0047.0%13.5%40.1%18.7%55.4%18.7%-9.9%10.0K-208.1K-2.9K0.77119.58N/AN/A141109408210
2016-07-25$32.19$30.0038.4%11.0%32.7%12.7%40.2%7.6%10.9%11.2K-196.2K-3.1K0.7497.94N/AN/A147109448217
2016-07-26$32.44$30.0048.9%14.0%30.1%20.1%41.7%9.4%-2.8%11.6K-198.6K-3.0K0.67102.78N/AN/A14798454217
2016-07-27$32.59$30.0037.0%10.6%29.9%11.8%43.5%9.3%-0.7%12.7K-253.4K-3.1K0.7096.61N/AN/A13292454217
2016-07-28$32.88$30.0031.6%9.1%26.9%8.0%37.4%11.5%6.8%14.1K-266.6K-3.3K0.70101.63N/AN/A13292464231
2016-07-29$33.38$30.0031.4%9.0%27.1%7.8%36.9%11.3%4.1%15.4K-316.7K-3.3K0.70101.23N/AN/A13292464231