VET Options History — October 2016

In October 2016, VET traded between $38.99 and $41.66. ATM implied volatility averaged 35.2%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 1.7% (HV 20d: 36.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2016-10-06: Highest Volume — 288 contracts
  • 2016-10-06: Largest IV drop — 17.3% change
  • 2016-10-05: Highest IV Rank — 12.4%
  • 2016-10-11: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.21$38.99$41.66$39.69$39.26
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV35.2%31.4%37.9%36.4%35.2%
Expected Move10.2%9.5%11.1%10.4%10.1%
HV 20d36.9%21.6%47.2%46.7%21.6%
HV 60d32.9%32.2%33.7%33.5%32.2%
IV Rank10.5%7.8%12.4%11.3%10.5%
IV Percentile16.9%4.4%25.0%19.0%18.7%
Term Structure1.4%-2.1%4.9%2.1%-1.3%
VWIV37.8%33.9%45.6%45.6%43.5%
Skew 25d10.8%2.9%20.8%10.6%17.9%
Skew 10d19.2%0.7%42.1%16.1%23.5%
Call IV 25d30.9%24.1%39.2%36.6%34.4%
Put IV 25d41.7%36.8%52.3%47.2%52.3%
Bid-Ask Spread %94.9479.4399.2392.0297.87
Gamma HHI0.440.360.540.390.42
Net GEX16.3K-2.7K26.2K5.5K18.2K
Net DEX-629.5K-848.1K-364.1K-565.2K-364.1K
Net VEX-4.9K-5.3K-4.7K-4.7K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.361.002.081.262.08
Total Volume207.19149288242200
Total OI1,021.5718161,1431,024867

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$39.69$35.0036.4%10.4%46.7%11.3%45.6%10.6%2.1%5.5K-565.2K-4.7K1.2692.02N/AN/A107135414610
2016-10-04$38.99$35.0033.0%9.5%46.9%8.9%42.2%5.2%4.9%-2.7K-514.9K-4.7K1.2791.40N/AN/A107136416605
2016-10-05$39.77$35.0037.9%10.9%47.2%12.4%44.1%7.3%-0.9%2.0K-522.1K-4.9K1.0096.48N/AN/A111111417608
2016-10-06$39.84$35.0031.4%10.0%46.8%7.8%38.7%6.6%1.3%7.7K-631.8K-4.7K1.1889.34N/AN/A132156417608
2016-10-07$39.48$35.0036.1%9.9%46.1%11.1%37.4%2.9%1.6%1.5K-444.2K-5.3K1.5093.94N/AN/A110165441648
2016-10-10$40.36$35.0035.9%10.7%46.3%10.9%35.5%3.7%1.2%19.3K-693.1K-4.9K1.3399.04N/AN/A110146453648
2016-10-11$40.46$35.0037.3%11.1%39.6%12.0%36.4%20.8%-2.1%7.0K-691.7K-4.9K1.5599.23N/AN/A94146453646
2016-10-12$40.17$35.0036.4%10.4%39.4%11.3%35.5%12.6%0.8%17.0K-690.0K-5.0K1.6196.49N/AN/A94151457648
2016-10-13$40.43$35.0034.9%10.0%39.1%10.3%36.2%12.4%3.6%24.8K-705.5K-5.0K1.0797.13N/AN/A94101457670
2016-10-14$40.11$35.0033.3%9.6%39.2%9.2%35.4%4.5%3.7%19.3K-650.0K-5.1K1.0796.19N/AN/A94101457672
2016-10-17$39.95$35.0033.9%9.7%39.3%9.6%35.0%7.7%3.7%24.9K-607.0K-4.9K1.0994.01N/AN/A93101457672
2016-10-18$40.30$35.0033.5%9.6%37.7%9.3%34.2%8.9%4.8%26.2K-651.2K-4.9K1.0996.52N/AN/A93101452672
2016-10-19$41.66$35.0035.3%10.1%36.4%10.5%34.2%17.4%2.3%24.2K-847.6K-4.8K1.4698.29N/AN/A69101452672
2016-10-20$41.23$35.0036.3%10.4%35.9%11.2%36.0%10.0%0.2%26.1K-848.1K-4.9K1.7592.02N/AN/A68119464673
2016-10-21$41.19$35.0035.0%10.0%31.7%10.3%39.5%10.6%2.4%20.1K-839.7K-4.9K1.7593.47N/AN/A68119462681
2016-10-24$40.78$35.0033.6%9.6%32.1%9.3%35.9%13.9%3.1%21.1K-658.7K-4.9K1.1396.99N/AN/A7079427389
2016-10-25$40.56$35.0035.4%10.2%31.6%10.6%33.9%11.0%0.5%20.2K-642.1K-4.9K1.2397.77N/AN/A7491432395
2016-10-26$40.15$35.0034.9%10.0%25.4%10.3%39.1%18.2%1.2%21.0K-584.9K-4.9K1.2297.78N/AN/A7490436401
2016-10-27$40.42$35.0036.9%10.6%21.8%11.7%39.0%16.1%-1.0%21.1K-605.7K-4.9K1.1898.29N/AN/A7487436401
2016-10-28$39.59$35.0036.8%10.5%23.2%11.6%37.5%9.0%-1.9%18.7K-461.2K-4.9K1.7179.43N/AN/A66113436431
2016-10-31$39.26$35.0035.2%10.1%21.6%10.5%43.5%17.9%-1.3%18.2K-364.1K-4.9K2.0897.87N/AN/A65135436431