VET Options History — August 2016

In August 2016, VET traded between $32.28 and $38.95. ATM implied volatility averaged 36.0%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 10.8% (HV 20d: 25.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.56.

Notable Days

  • 2016-08-02: Highest Volume — 305 contracts
  • 2016-08-24: Largest IV spike — 35.9% change
  • 2016-08-01: Highest IV Rank — 18.7%
  • 2016-08-01: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.37$32.28$38.95$32.28$36.00
Max Pain$30.43$30.00$35.00$30.00$30.00
ATM IV36.0%26.4%47.0%47.0%33.8%
Expected Move10.3%7.6%13.5%13.5%9.7%
HV 20d25.2%22.1%29.8%29.8%23.8%
HV 60d34.1%32.0%35.5%35.4%32.0%
IV Rank11.0%4.3%18.7%18.7%9.5%
IV Percentile12.2%0.4%38.9%38.9%7.5%
Term Structure2.7%-7.1%12.1%-7.1%5.3%
VWIV37.0%29.6%45.3%45.3%34.1%
Skew 25d7.4%0.8%22.0%0.8%11.0%
Skew 10d21.1%-2.2%109.8%15.0%24.5%
Call IV 25d33.4%27.2%43.2%43.2%27.3%
Put IV 25d40.8%34.4%51.8%44.0%38.3%
Bid-Ask Spread %101.4792.71105.52104.46105.52
Gamma HHI0.450.310.610.360.37
Net GEX21.9K9.9K28.7K11.3K15.8K
Net DEX-523.0K-899.4K-105.3K-172.0K-418.5K
Net VEX-3.9K-4.2K-2.7K-2.7K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.002.200.702.20
Total Volume238.9135305225256
Total OI765.783683799695791

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$32.28$30.0047.0%13.5%29.8%18.7%45.3%0.8%-7.1%11.3K-172.0K-2.7K0.70104.46N/AN/A13293464231
2016-08-02$32.70$30.0037.1%10.6%28.0%11.8%39.6%1.2%-3.0%12.9K-218.0K-3.0K1.31101.81N/AN/A132173464233
2016-08-03$32.99$30.0037.2%10.7%26.4%11.9%42.2%9.6%-5.1%9.9K-105.3K-3.7K1.31103.82N/AN/A132173464313
2016-08-04$33.76$30.0032.8%11.0%25.7%8.8%35.6%10.0%2.5%13.0K-160.1K-3.7K1.3196.71N/AN/A132173464313
2016-08-05$34.74$30.0042.2%11.1%27.1%15.4%29.6%10.8%2.9%16.1K-265.3K-3.9K1.3092.71N/AN/A126164459313
2016-08-08$35.62$30.0041.0%12.4%27.7%14.5%35.0%7.9%-4.5%20.3K-506.3K-4.2K1.42100.45N/AN/A117166463313
2016-08-09$36.23$30.0039.9%11.0%25.7%13.8%34.9%6.6%2.1%24.9K-542.5K-3.9K1.4198.22N/AN/A121170463315
2016-08-10$36.41$30.0039.4%11.3%25.3%13.4%37.9%4.8%-0.4%23.0K-621.0K-4.1K2.0597.20N/AN/A83170468320
2016-08-11$36.88$30.0037.7%10.8%23.7%12.2%37.2%3.5%3.8%27.9K-657.9K-3.9K2.02102.36N/AN/A83168479320
2016-08-12$37.32$30.0035.4%10.1%23.1%10.6%38.9%8.0%12.1%26.5K-730.3K-4.1K2.07100.14N/AN/A83172479317
2016-08-15$38.25$30.0032.0%9.2%23.7%8.2%38.0%6.8%4.6%28.7K-851.5K-4.0K2.1595.32N/AN/A80172479318
2016-08-16$38.64$30.0032.2%9.2%23.3%8.4%38.9%9.3%3.5%27.9K-899.4K-4.0K2.15102.52N/AN/A80172479318
2016-08-17$38.50$30.0034.5%9.9%23.7%10.0%0.0%6.6%1.8%26.7K-875.4K-4.0K0.0098.21N/AN/A05471318
2016-08-18$38.95$35.0032.6%9.3%22.9%8.6%34.5%1.3%4.3%25.2K-557.3K-3.9K1.05103.06N/AN/A2223370313
2016-08-19$38.13$30.0031.5%9.0%25.2%7.9%36.4%5.9%5.4%27.3K-838.5K-4.0K1.72101.33N/AN/A98169468316
2016-08-22$37.60$30.0028.8%8.3%24.8%6.0%37.3%6.0%10.3%25.8K-596.5K-3.9K2.01104.40N/AN/A82165432298
2016-08-23$37.60$30.0026.4%7.6%25.0%4.3%33.9%8.1%7.1%25.5K-573.3K-3.7K1.81105.17N/AN/A91165433298
2016-08-24$37.26$35.0035.9%10.3%25.7%10.9%35.3%5.0%4.3%24.9K-344.4K-3.7K0.00103.96N/AN/A770400298
2016-08-25$36.92$30.0034.1%9.8%26.2%9.7%30.4%8.8%11.1%25.6K-577.5K-4.2K1.20103.47N/AN/A138165490298
2016-08-26$36.72$30.0041.7%12.0%26.3%15.0%44.3%3.0%-3.8%23.7K-543.9K-4.1K1.14103.32N/AN/A138158490298
2016-08-29$36.79$30.0034.8%10.0%22.1%10.2%36.4%22.0%7.5%21.6K-480.6K-4.0K1.98104.60N/AN/A80158490301
2016-08-30$36.12$30.0039.2%11.2%23.7%13.3%38.1%13.8%-2.4%20.0K-492.5K-4.0K1.98105.03N/AN/A80158490301
2016-08-31$36.00$30.0033.8%9.7%23.8%9.5%34.1%11.0%5.3%15.8K-418.5K-3.9K2.20105.52N/AN/A80176490301