VET Options History — July 2017

In July 2017, VET traded between $30.05 and $33.59. ATM implied volatility averaged 30.0%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 0.5% (HV 20d: 30.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.64.

Notable Days

  • 2017-07-27: Highest Volume — 245 contracts
  • 2017-07-26: Largest IV drop — 18.0% change
  • 2017-07-14: Highest IV Rank — 17.9%
  • 2017-07-06: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.62$30.05$33.59$32.41$33.06
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV30.0%24.3%33.2%27.6%24.3%
Expected Move8.6%7.0%9.3%7.9%7.0%
HV 20d30.5%28.3%33.5%30.8%31.3%
HV 60d30.6%28.5%32.1%28.5%32.0%
IV Rank12.4%6.6%17.9%6.6%7.8%
IV Percentile40.7%12.7%56.7%31.0%12.7%
Term Structure-0.2%-2.2%8.9%8.9%-0.4%
VWIV30.5%25.3%32.4%31.3%28.7%
Skew 25d4.7%-2.3%13.2%2.0%5.8%
Skew 10d7.4%-5.5%21.1%11.1%15.2%
Call IV 25d26.1%21.0%30.1%28.0%28.9%
Put IV 25d30.7%24.4%35.0%30.0%34.7%
Bid-Ask Spread %60.1613.5495.1095.1084.81
Gamma HHI0.720.410.920.610.45
Net GEX-88.8K-236.7K10.2K-58.4K5.9K
Net DEX686.1K-129.7K1.6M546.7K52.3K
Net VEX-4.0K-5.2K-2.8K-5.2K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.466.042.171.12
Total Volume111.9563245111146
Total OI1,573.659931,7961,7641,193

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$32.41$30.0027.6%7.9%30.8%6.6%31.3%2.0%8.9%-58.4K546.7K-5.2K2.1795.10N/AN/A35767301,034
2017-07-05$31.19$30.0032.0%9.2%33.3%9.6%32.2%8.2%-0.2%-113.4K973.7K-4.8K2.1748.46N/AN/A35767301,035
2017-07-06$30.65$30.0031.4%9.3%33.5%9.2%32.4%-2.3%-2.0%-127.5K1.1M-4.6K0.8073.01N/AN/A35287301,035
2017-07-07$30.15$30.0030.7%8.9%33.4%8.7%31.0%4.3%-1.1%-144.9K1.5M-4.5K0.9773.30N/AN/A35347301,038
2017-07-10$30.67$30.0031.4%8.8%29.6%9.2%30.9%13.2%-1.8%-155.4K1.2M-4.3K1.0936.91N/AN/A35387301,052
2017-07-11$30.05$30.0033.2%8.6%29.6%10.4%30.1%1.7%-0.2%-158.1K1.6M-4.2K1.0916.60N/AN/A35387301,052
2017-07-12$31.13$30.0032.1%9.2%31.8%9.7%32.2%1.6%-1.1%-121.2K781.2K-4.1K0.9526.23N/AN/A38367301,052
2017-07-13$31.10$30.0030.2%8.7%31.9%15.3%30.2%0.0%-0.6%-145.3K940.0K-4.0K1.0879.31N/AN/A38417331,050
2017-07-14$31.21$30.0032.3%9.3%29.6%17.9%32.3%0.1%-1.9%-143.4K789.2K-3.8K1.1723.73N/AN/A35417331,051
2017-07-17$30.92$30.0031.7%9.1%28.4%17.1%31.7%7.2%-1.3%-172.5K994.1K-3.8K1.1175.37N/AN/A35397331,051
2017-07-18$30.91$30.0030.3%8.7%28.4%15.4%30.3%6.3%-0.3%-236.7K757.4K-3.3K1.2613.54N/AN/A35447331,056
2017-07-19$31.72$30.0030.4%8.7%28.5%15.5%30.6%2.7%-0.7%-77.3K469.8K-3.2K0.9279.41N/AN/A39367331,056
2017-07-20$31.44$30.0030.8%8.8%28.5%16.0%31.0%2.2%-1.8%-67.4K454.4K-3.0K1.0961.69N/AN/A34377391,055
2017-07-21$31.48$30.0031.1%8.9%28.4%16.3%31.1%9.4%-1.9%-15.5K433.4K-2.8K3.5976.77N/AN/A341227411,055
2017-07-24$31.44$30.0031.1%8.9%28.3%16.4%31.1%8.9%-2.2%-21.7K549.9K-3.4K6.0478.77N/AN/A28169503490
2017-07-25$32.20$30.0029.8%8.5%29.4%14.7%31.4%3.4%3.3%-19.8K444.4K-3.8K2.6751.16N/AN/A43115503540
2017-07-26$33.47$30.0024.4%7.0%32.3%8.0%25.3%6.3%0.5%-8.3K182.0K-4.2K2.0281.79N/AN/A54109520541
2017-07-27$33.59$30.0028.2%8.1%32.2%12.7%28.6%6.2%-0.8%-4.3K119.0K-4.3K0.4641.10N/AN/A16877531539
2017-07-28$33.57$30.0027.0%7.7%30.8%11.3%27.4%6.0%0.5%10.2K-129.7K-4.9K1.1286.20N/AN/A6977651535
2017-07-31$33.06$30.0024.3%7.0%31.3%7.8%28.7%5.8%-0.4%5.9K52.3K-4.6K1.1284.81N/AN/A6977658535