VET Options History — September 2016

In September 2016, VET traded between $34.51 and $38.77. ATM implied volatility averaged 36.6%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.8% (HV 20d: 32.8%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.87.

Notable Days

  • 2016-09-15: Highest Volume — 522 contracts
  • 2016-09-12: Largest IV spike — 104.7% change
  • 2016-09-12: Highest IV Rank — 25.2%
  • 2016-09-13: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.67$34.51$38.77$37.18$38.70
Max Pain$35.26$30.00$40.00$30.00$35.00
ATM IV36.6%22.9%56.3%38.2%34.6%
Expected Move10.5%6.6%11.9%11.0%9.9%
HV 20d32.8%22.6%47.3%24.9%46.1%
HV 60d32.3%30.5%34.1%32.6%33.2%
IV Rank11.5%1.9%25.2%12.6%10.1%
IV Percentile20.4%0.4%63.5%19.4%12.3%
Term Structure2.8%-2.6%17.2%7.4%1.3%
VWIV38.2%31.0%44.6%39.1%39.2%
Skew 25d8.7%-1.4%25.6%17.6%10.5%
Skew 10d16.9%-3.4%44.9%19.3%19.6%
Call IV 25d34.2%19.3%42.4%25.5%32.9%
Put IV 25d42.9%38.4%47.5%43.1%43.4%
Bid-Ask Spread %96.0987.72105.33103.6892.85
Gamma HHI0.470.300.740.380.39
Net GEX1.1K-26.0K41.7K18.6K-1.6K
Net DEX-191.9K-697.5K389.1K-471.9K-444.2K
Net VEX-4.6K-5.3K-3.7K-4.0K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.871.044.322.201.22
Total Volume262179522256255
Total OI916.0958091,1318091,020

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$37.18$30.0038.2%11.0%24.9%12.6%39.1%17.6%7.4%18.6K-471.9K-4.0K2.20103.68N/AN/A80176490319
2016-09-02$37.68$30.0022.9%6.6%23.6%1.9%38.4%25.6%17.2%28.5K-584.7K-4.3K2.20105.33N/AN/A80176490319
2016-09-06$38.32$0.0024.4%10.4%22.8%2.9%0.0%11.0%0.4%35.2K-673.7K-4.3K2.1490.51N/AN/A80171490319
2016-09-07$38.00$0.0030.4%9.2%22.6%7.1%31.0%8.5%6.7%35.4K-670.0K-4.3K1.9693.38N/AN/A85167493324
2016-09-08$38.70$40.0025.8%10.1%23.3%3.9%35.0%7.1%2.4%41.7K-697.5K-4.1K1.7497.82N/AN/A85148498329
2016-09-09$37.79$40.0027.5%10.3%24.8%5.1%36.0%8.2%0.2%25.9K-593.0K-4.1K2.0391.05N/AN/A73148498329
2016-09-12$37.38$40.0056.3%11.5%24.8%25.2%38.7%9.9%0.7%20.9K-522.9K-3.9K2.0897.23N/AN/A73152500329
2016-09-13$35.18$35.0054.6%11.9%31.3%24.0%41.1%3.9%0.1%12.0K-285.2K-3.7K2.0087.72N/AN/A76152500333
2016-09-14$34.84$35.0039.8%11.4%30.8%13.7%40.3%3.6%1.0%11.3K-234.9K-3.7K4.3293.09N/AN/A96415504333
2016-09-15$35.55$35.0040.8%11.7%32.1%14.4%40.8%11.2%-0.3%-6.0K17.7K-5.1K3.8893.13N/AN/A107415540591
2016-09-16$35.30$35.0037.7%10.8%31.6%12.2%37.7%6.2%0.5%-21.4K43.1K-4.8K1.6496.53N/AN/A107175539591
2016-09-19$35.33$35.0037.6%10.8%31.1%12.1%38.6%3.8%5.8%-22.8K321.0K-4.7K1.5694.10N/AN/A70109344544
2016-09-20$34.51$35.0035.5%10.2%31.7%10.7%38.4%-1.4%5.4%-26.0K389.1K-4.6K1.0491.93N/AN/A107111346546
2016-09-21$36.08$35.0036.6%10.5%36.1%11.4%38.3%9.2%3.1%-22.5K266.1K-5.0K1.1794.62N/AN/A95111386550
2016-09-22$37.17$35.0040.0%11.5%37.7%13.8%37.5%7.0%-0.9%-13.4K-92.7K-5.3K1.16102.32N/AN/A96111400547
2016-09-23$35.69$35.0036.2%10.4%40.2%11.2%36.0%5.3%3.6%-21.2K81.1K-5.1K1.3996.52N/AN/A96133402547
2016-09-26$35.58$35.0041.6%11.9%40.2%14.9%41.3%1.1%-2.1%-21.0K190.3K-5.1K1.3999.10N/AN/A96133402573
2016-09-27$35.13$35.0040.9%11.7%40.4%14.5%44.6%14.9%-2.6%-23.5K344.6K-5.0K1.5399.72N/AN/A96147402573
2016-09-28$37.28$35.0035.0%10.0%45.4%10.3%36.7%17.0%11.3%-23.5K-12.9K-5.2K1.51100.68N/AN/A100151402595
2016-09-29$38.77$35.0032.5%9.3%47.3%8.6%36.1%3.5%-1.9%-3.5K-398.8K-4.9K1.2196.65N/AN/A112136406595
2016-09-30$38.70$35.0034.6%9.9%46.1%10.1%39.2%10.5%1.3%-1.6K-444.2K-4.9K1.2292.85N/AN/A115140414606