VET Options History — May 2017

In May 2017, VET traded between $31.30 and $36.34. ATM implied volatility averaged 25.2%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 1.0% (HV 20d: 26.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2017-05-31: Highest Volume — 402 contracts
  • 2017-05-19: Largest IV spike — 28.3% change
  • 2017-05-30: Highest IV Rank — 9.8%
  • 2017-05-30: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.31$31.30$36.34$35.45$31.30
Max Pain$37.27$35.00$40.00$35.00$35.00
ATM IV25.2%20.9%32.3%21.3%31.6%
Expected Move7.3%6.0%9.2%6.1%9.0%
HV 20d26.2%16.8%34.8%16.9%34.8%
HV 60d26.0%23.8%28.1%24.2%28.1%
IV Rank4.9%1.9%9.8%2.2%9.3%
IV Percentile15.2%1.6%42.1%2.0%39.7%
Term Structure0.7%-2.2%7.7%1.7%0.3%
VWIV25.6%20.9%31.9%21.3%31.3%
Skew 25d5.6%-33.6%26.5%22.4%8.7%
Skew 10d9.6%-65.7%46.2%46.2%27.8%
Call IV 25d24.4%17.8%57.5%20.9%23.5%
Put IV 25d30.0%21.4%50.2%43.3%32.2%
Bid-Ask Spread %83.8758.55113.6499.8578.53
Gamma HHI0.560.340.700.630.37
Net GEX-22.5K-45.8K8.1K-29.5K974
Net DEX416.2K190.9K735.2K334.0K735.2K
Net VEX-2.9K-4.3K-2.4K-2.9K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.131.240.950.79
Total Volume209.409126402154402
Total OI826.1367011,0977011,097

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$35.45$35.0021.3%6.1%16.9%2.2%21.3%22.4%1.7%-29.5K334.0K-2.9K0.9599.85N/AN/A7975339362
2017-05-02$35.18$35.0020.9%6.0%16.8%2.0%20.9%26.5%1.5%-33.1K391.7K-2.8K0.8997.99N/AN/A8475339366
2017-05-03$34.60$35.0021.2%6.1%16.9%2.2%21.2%-33.6%0.9%-32.5K430.1K-2.7K0.89113.64N/AN/A8475349367
2017-05-04$34.15$40.0023.2%6.9%17.1%3.5%26.5%8.3%0.7%-29.9K517.7K-2.6K0.9189.27N/AN/A8275349367
2017-05-05$35.11$40.0024.1%6.9%20.4%4.2%26.0%9.6%1.0%-31.1K361.1K-2.9K0.8986.63N/AN/A8475351367
2017-05-08$35.63$40.0022.3%7.0%21.4%2.9%24.7%3.2%0.2%-33.3K280.0K-2.8K0.8679.36N/AN/A8775353367
2017-05-09$35.13$40.0023.6%6.9%21.3%3.8%23.8%8.5%0.9%-32.3K330.2K-2.8K1.2459.20N/AN/A8099357367
2017-05-10$36.34$40.0025.0%7.2%24.7%4.8%24.7%0.7%0.9%-29.0K190.9K-3.1K1.2478.96N/AN/A8099357401
2017-05-11$35.77$40.0024.8%7.1%25.1%4.6%22.1%5.3%0.7%-33.7K258.7K-3.1K0.7958.55N/AN/A8063357401
2017-05-12$35.77$40.0025.0%7.2%24.6%4.8%23.5%3.9%0.4%-40.5K309.7K-3.0K0.7986.09N/AN/A8063357403
2017-05-15$35.67$40.0024.8%7.1%24.6%4.7%22.7%4.1%0.3%-39.9K286.4K-3.0K0.5185.98N/AN/A8443357403
2017-05-16$34.83$40.0024.5%7.0%25.4%4.4%23.0%0.5%0.5%-45.8K416.8K-2.7K0.5284.68N/AN/A8343362393
2017-05-17$33.98$40.0024.9%7.1%25.4%4.7%25.2%6.9%0.8%-37.3K545.8K-2.6K0.3488.03N/AN/A12743367393
2017-05-18$33.12$35.0020.9%6.0%26.7%1.9%25.2%5.5%0.5%-19.5K668.0K-2.4K0.5182.87N/AN/A8443406393
2017-05-19$34.70$35.0026.8%7.7%32.1%6.0%28.8%9.6%-0.3%-19.7K409.7K-2.9K0.3178.52N/AN/A14144408400
2017-05-22$34.80$35.0023.2%6.7%32.0%3.6%23.0%1.5%0.9%-17.4K192.5K-3.3K0.2486.30N/AN/A14134471371
2017-05-23$34.15$35.0027.3%7.8%32.5%6.3%27.6%8.9%-0.4%-14.5K313.1K-3.3K0.1387.77N/AN/A31640473371
2017-05-24$33.39$35.0027.8%8.0%33.2%6.7%31.0%6.8%-1.0%8.1K239.4K-4.3K0.1684.70N/AN/A28847687387
2017-05-25$32.25$35.0027.4%7.9%34.8%6.5%29.3%3.7%7.7%7.5K586.2K-3.2K0.1772.46N/AN/A27847670391
2017-05-26$32.11$35.0031.6%9.1%34.2%9.3%30.5%2.3%-1.0%5.4K636.3K-3.0K0.1580.81N/AN/A27842655394
2017-05-30$31.30$35.0032.3%9.2%34.7%9.8%31.9%9.6%-2.2%1.9K723.5K-2.6K0.1984.99N/AN/A30659655395
2017-05-31$31.30$35.0031.6%9.0%34.8%9.3%31.3%8.7%0.3%974735.2K-2.9K0.7978.53N/AN/A225177682415