VET Options History — March 2017

In March 2017, VET traded between $35.69 and $38.91. ATM implied volatility averaged 25.1%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 4.1% (HV 20d: 29.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.59.

Notable Days

  • 2017-03-16: Highest Volume — 332 contracts
  • 2017-03-08: Largest IV spike — 53.8% change
  • 2017-03-08: Highest IV Rank — 9.6%
  • 2017-03-08: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.03$35.69$38.91$38.91$37.55
Max Pain$39.35$35.00$40.00$40.00$40.00
ATM IV25.1%19.6%35.1%28.3%22.2%
Expected Move7.2%5.6%9.2%8.1%6.4%
HV 20d29.2%23.0%32.8%24.4%30.4%
HV 60d22.6%20.0%24.2%20.4%24.2%
IV Rank2.7%0.0%9.6%4.0%1.8%
IV Percentile5.9%0.0%37.7%8.7%1.6%
Term Structure3.2%-3.1%14.2%-1.6%8.1%
VWIV26.2%19.4%39.8%35.9%21.9%
Skew 25d4.3%-5.0%10.5%5.9%7.5%
Skew 10d11.1%-4.9%55.3%39.9%11.9%
Call IV 25d22.2%14.8%28.1%27.6%15.8%
Put IV 25d26.5%20.4%34.7%33.6%23.3%
Bid-Ask Spread %94.1871.67117.2396.69102.20
Gamma HHI0.430.260.580.260.47
Net GEX-16.2K-26.7K-8.9K-10.6K-13.8K
Net DEX385.8K26.2K730.6K324.8K26.2K
Net VEX-2.3K-3.2K-1.4K-2.5K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.211.570.410.21
Total Volume199.217144332168144
Total OI774413961916652

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$38.91$40.0028.3%8.1%24.4%4.0%35.9%5.9%-1.6%-10.6K324.8K-2.5K0.4196.69N/AN/A11949422494
2017-03-02$38.76$40.0025.3%7.3%24.3%1.9%28.7%-5.0%0.0%-11.7K354.7K-2.5K0.4198.15N/AN/A12752418496
2017-03-03$38.52$40.0021.5%6.2%24.3%0.0%39.8%10.5%1.9%-9.3K372.6K-2.4K0.37104.26N/AN/A13048429496
2017-03-06$38.53$40.0022.7%7.5%24.3%0.9%26.0%5.5%1.9%-10.0K468.2K-2.1K0.3286.85N/AN/A13041432496
2017-03-07$38.80$40.0022.9%7.4%23.0%0.9%25.6%6.8%2.4%-8.9K397.1K-2.2K0.3271.67N/AN/A13041432497
2017-03-08$36.74$40.0035.1%9.2%29.6%9.6%27.7%5.5%0.3%-14.6K715.2K-1.6K0.3388.53N/AN/A12641432497
2017-03-09$36.95$40.0027.9%8.5%29.6%4.5%25.9%4.7%0.9%-14.9K723.6K-1.5K0.3083.70N/AN/A13240433495
2017-03-10$36.70$40.0029.8%8.1%29.6%5.8%26.6%4.1%2.2%-15.6K698.3K-1.5K0.3188.63N/AN/A13241442495
2017-03-13$36.40$35.0026.9%8.0%27.4%3.8%26.4%0.0%2.9%-15.6K693.5K-1.5K0.3284.46N/AN/A12741442496
2017-03-14$35.80$35.0028.4%8.1%27.7%4.9%27.3%-2.0%2.3%-26.7K730.6K-1.4K0.3293.71N/AN/A12741437496
2017-03-15$37.35$35.0026.6%7.6%32.6%3.6%27.0%1.1%3.9%-9.4K352.0K-1.5K1.4785.98N/AN/A130191437408
2017-03-16$37.24$40.0021.3%6.1%32.6%0.0%26.6%5.2%14.2%-17.2K469.3K-1.6K1.5781.16N/AN/A129203441481
2017-03-17$37.07$40.0025.8%7.4%32.5%3.2%25.6%2.3%3.2%-19.6K502.8K-1.9K1.5785.55N/AN/A129203441520
2017-03-20$36.45$40.0025.4%7.3%32.8%2.9%25.5%0.8%3.0%-21.8K313.5K-1.8K0.6693.16N/AN/A11676135278
2017-03-21$35.69$40.0026.0%7.4%32.2%3.3%25.8%5.5%2.2%-22.2K349.3K-2.1K0.4593.96N/AN/A16876178289
2017-03-22$35.79$40.0025.7%7.4%31.0%3.1%25.5%5.2%2.2%-16.1K258.1K-2.8K0.45103.61N/AN/A16876271290
2017-03-23$35.96$40.0024.7%7.1%30.8%2.4%24.8%6.0%4.0%-16.7K243.0K-2.8K1.0197.29N/AN/A7576271290
2017-03-24$35.75$40.0023.7%6.8%30.8%1.7%23.7%4.5%3.6%-18.1K270.8K-2.8K0.5890.38N/AN/A11366272290
2017-03-27$36.08$40.0023.3%6.7%31.2%1.4%23.5%5.5%4.1%-22.8K232.9K-3.2K0.58101.88N/AN/A11366313330
2017-03-28$36.77$40.0020.1%5.8%30.6%0.0%23.7%9.7%9.5%-19.0K164.8K-3.2K0.58101.00N/AN/A11366313330
2017-03-29$37.07$40.0019.6%5.6%29.4%0.0%20.3%8.3%5.5%-17.6K117.3K-3.2K0.55116.15N/AN/A11966313330
2017-03-30$36.81$40.0023.8%6.8%29.4%2.9%19.4%2.3%-3.1%-19.5K94.8K-3.2K0.55117.23N/AN/A11966322330
2017-03-31$37.55$40.0022.2%6.4%30.4%1.8%21.9%7.5%8.1%-13.8K26.2K-3.2K0.21102.20N/AN/A11925322330