VET Options History — June 2017

In June 2017, VET traded between $30.99 and $34.25. ATM implied volatility averaged 27.3%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 5.7% (HV 20d: 33.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2017-06-15: Highest Volume — 499 contracts
  • 2017-06-20: Largest IV spike — 56.9% change
  • 2017-06-01: Highest IV Rank — 10.3%
  • 2017-06-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.35$30.99$34.25$31.36$31.85
Max Pain$30.45$30.00$35.00$35.00$30.00
ATM IV27.3%19.7%33.0%33.0%29.8%
Expected Move8.0%5.6%9.5%9.5%8.5%
HV 20d33.0%29.1%36.8%34.6%30.4%
HV 60d27.4%26.0%28.5%28.0%28.2%
IV Rank6.4%1.1%10.3%10.3%8.1%
IV Percentile26.4%1.2%49.6%46.0%38.9%
Term Structure1.6%-2.3%11.8%-2.3%1.6%
VWIV29.4%24.8%36.0%32.6%30.7%
Skew 25d5.9%-0.1%10.5%9.8%10.3%
Skew 10d9.1%-3.7%20.3%13.6%16.2%
Call IV 25d24.6%19.3%28.2%23.7%20.0%
Put IV 25d30.5%27.1%34.4%33.6%30.3%
Bid-Ask Spread %42.3317.4893.5488.0859.09
Gamma HHI0.550.360.710.480.68
Net GEX-10.1K-70.1K56.1K-10.6K-70.1K
Net DEX454.4K-201.6K914.1K836.3K577.2K
Net VEX-4.0K-5.0K-2.9K-3.3K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.115.000.795.00
Total Volume280.5104499402210
Total OI1,385.6361,1651,6611,2621,661

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$31.36$35.0033.0%9.5%34.6%10.3%32.6%9.8%-2.3%-10.6K836.3K-3.3K0.7988.08N/AN/A225177726536
2017-06-02$30.99$35.0031.2%9.0%34.6%9.1%31.1%7.0%0.2%-15.5K914.1K-3.1K0.3259.07N/AN/A19764726536
2017-06-05$31.27$30.0031.5%8.6%32.8%9.3%27.0%4.8%-0.2%-15.7K885.3K-3.0K0.3226.09N/AN/A19764725538
2017-06-06$31.83$30.0028.1%8.9%33.1%7.0%26.5%5.3%-0.8%-8.5K798.7K-3.2K0.3226.52N/AN/A19763725538
2017-06-07$31.38$30.0028.6%8.8%33.1%7.3%27.2%-0.1%-0.9%-15.6K887.6K-2.9K0.2918.93N/AN/A19757725539
2017-06-08$31.80$30.0031.6%8.8%30.6%9.3%25.5%3.1%-1.3%-10.7K721.0K-3.0K0.2934.22N/AN/A19758725506
2017-06-09$33.23$30.0022.0%7.7%35.2%2.7%28.0%5.9%0.0%10.2K460.5K-3.8K0.1132.17N/AN/A44049725508
2017-06-12$33.61$30.0025.0%7.4%35.6%4.8%28.4%6.4%0.4%45.4K132.9K-4.7K0.2821.93N/AN/A20557940507
2017-06-13$34.25$30.0021.7%7.0%36.4%2.5%27.2%8.8%1.1%55.9K-201.6K-5.0K0.2321.07N/AN/A20548940497
2017-06-14$34.01$30.0024.2%6.9%35.6%4.3%24.8%7.3%1.7%56.1K6.3K-4.7K0.1749.70N/AN/A21437940495
2017-06-15$32.79$30.0021.3%6.1%36.8%2.2%33.5%6.9%2.0%31.6K429.9K-3.8K1.3335.73N/AN/A214285940498
2017-06-16$33.47$30.0024.6%7.1%36.5%4.5%30.5%5.8%1.4%25.4K226.8K-4.9K1.3377.98N/AN/A214284940641
2017-06-19$33.34$30.0019.7%5.6%32.2%1.1%28.8%3.6%1.8%25.3K-59.4K-4.4K2.5741.47N/AN/A106272700465
2017-06-20$32.35$30.0030.8%8.8%33.7%8.8%36.0%8.2%6.6%3.5K140.5K-3.7K2.3418.54N/AN/A80187700465
2017-06-21$32.07$30.0032.6%9.3%33.2%10.0%32.8%5.3%-1.4%-27.0K389.2K-4.2K2.2123.42N/AN/A80177705630
2017-06-22$32.29$30.0024.6%7.1%32.6%4.5%29.7%5.2%11.8%-24.6K407.9K-4.4K2.2741.09N/AN/A78177704769
2017-06-23$32.11$30.0028.4%8.1%30.2%7.1%28.6%2.0%0.6%-47.3K449.4K-4.1K2.2725.72N/AN/A78177704769
2017-06-26$31.77$30.0029.1%8.3%30.4%7.6%29.3%1.5%0.3%-57.8K517.2K-3.8K0.9078.94N/AN/A7870704769
2017-06-27$32.02$30.0029.9%8.6%29.1%8.1%30.0%10.5%1.5%-57.7K506.1K-4.1K2.0617.48N/AN/A3470704824
2017-06-28$32.32$30.0025.2%7.2%29.2%4.9%29.5%3.3%7.8%-44.1K434.1K-4.2K1.5440.53N/AN/A5077710824
2017-06-29$31.56$30.0028.5%8.2%30.6%7.2%29.1%8.9%3.1%-70.1K537.6K-4.0K3.5093.54N/AN/A50175727834
2017-06-30$31.85$30.0029.8%8.5%30.4%8.1%30.7%10.3%1.6%-70.1K577.2K-4.5K5.0059.09N/AN/A35175727934