VET Options History — February 2017

In February 2017, VET traded between $38.01 and $41.16. ATM implied volatility averaged 38.7%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 18.8% (HV 20d: 19.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.63.

Notable Days

  • 2017-02-10: Highest Volume — 259 contracts
  • 2017-02-24: Largest IV spike — 175.6% change
  • 2017-02-07: Highest IV Rank — 51.6%
  • 2017-02-24: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.93$38.01$41.16$41.16$38.01
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV38.7%23.6%95.2%44.6%23.6%
Expected Move9.8%6.8%20.1%12.8%6.8%
HV 20d19.9%16.7%23.5%18.3%23.5%
HV 60d24.6%20.5%25.4%25.3%20.5%
IV Rank11.4%0.6%51.6%15.6%0.6%
IV Percentile30.8%0.8%96.8%67.1%0.8%
Term Structure-3.9%-29.5%17.5%-17.1%-0.3%
VWIV39.8%25.2%78.2%58.6%25.2%
Skew 25d4.5%-37.1%39.1%-27.7%3.5%
Skew 10d13.4%-31.3%91.6%-19.2%49.6%
Call IV 25d36.3%20.2%92.3%61.8%27.0%
Put IV 25d40.9%28.5%99.0%34.2%30.6%
Bid-Ask Spread %107.5479.26129.90124.2297.29
Gamma HHI0.580.240.940.520.28
Net GEX-115.3K-458.2K4.9K-48.1K-13.0K
Net DEX446.9K-60.9K1.4M10.6K501.8K
Net VEX-3.7K-5.2K-2.4K-5.1K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.380.880.630.43
Total Volume205.842159259191164
Total OI1,206.0538921,3761,376920

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$41.16$40.0044.6%12.8%18.3%15.6%58.6%-27.7%-17.1%-48.1K10.6K-5.1K0.63124.22N/AN/A11774498878
2017-02-02$40.89$40.0032.5%8.8%17.0%7.0%31.2%6.6%1.5%-73.7K236.1K-5.2K0.6389.06N/AN/A11774498872
2017-02-03$40.98$40.0029.1%7.4%16.7%4.6%28.1%3.6%4.5%-93.9K193.6K-5.1K0.50104.51N/AN/A14774498872
2017-02-06$39.93$40.0059.4%12.9%18.6%26.1%48.5%16.5%-25.8%-80.2K313.3K-4.8K0.66105.04N/AN/A14495468872
2017-02-07$39.46$40.0095.2%8.4%18.4%51.6%36.9%39.1%-7.3%-27.9K723.1K-3.9K0.66106.56N/AN/A14495467865
2017-02-08$39.70$40.0029.0%8.3%18.6%4.5%32.1%-13.2%-3.0%-143.6K963.4K-3.5K0.72107.05N/AN/A144103467865
2017-02-09$39.63$40.0026.8%7.7%18.4%2.9%31.3%5.6%2.3%-169.6K861.5K-4.3K0.7292.02N/AN/A144103466875
2017-02-10$40.67$40.0028.0%8.0%21.1%3.8%28.3%4.5%0.8%-154.5K314.7K-4.3K0.7579.26N/AN/A148111469875
2017-02-13$40.37$40.0027.6%7.9%20.8%3.5%36.0%10.6%0.8%-312.4K478.7K-3.7K0.88109.81N/AN/A121107474859
2017-02-14$40.38$40.0026.4%7.6%20.8%2.6%34.0%10.5%2.0%-288.2K474.0K-3.8K0.84106.09N/AN/A121102477866
2017-02-15$40.15$40.0026.5%7.6%19.0%2.7%30.2%9.1%2.1%-323.8K620.9K-3.7K0.79100.10N/AN/A12195477865
2017-02-16$39.77$40.0034.7%10.0%19.2%8.5%50.7%1.0%-1.9%-458.2K1.0M-3.0K0.79126.51N/AN/A12195477868
2017-02-17$39.76$40.0059.9%17.2%19.2%26.4%58.3%-37.1%-26.4%4.9K1.4M-3.3K0.79124.14N/AN/A12195477868
2017-02-21$40.48$40.0028.7%8.2%20.3%4.3%29.0%29.8%3.5%-840-60.9K-2.7K0.47104.08N/AN/A11454432474
2017-02-22$39.24$40.0040.4%11.6%22.4%12.6%44.7%1.0%17.5%-2.2K225.0K-2.4K0.47129.90N/AN/A11454418474
2017-02-23$39.54$40.0025.4%7.3%22.1%1.9%38.9%7.3%2.5%-4.2K89.9K-2.9K0.47118.17N/AN/A10851418474
2017-02-24$39.34$40.0070.2%20.1%22.0%33.8%78.2%6.7%-29.5%3.4K-52.6K-3.4K0.48126.18N/AN/A10852419475
2017-02-27$39.20$40.0027.0%7.7%21.5%3.0%36.4%8.5%-0.2%-4.8K214.7K-2.6K0.3893.25N/AN/A11544419479
2017-02-28$38.01$40.0023.6%6.8%23.5%0.6%25.2%3.5%-0.3%-13.0K501.8K-2.4K0.4397.29N/AN/A11549422498