VET Options History — August 2017

In August 2017, VET traded between $30.37 and $32.67. ATM implied volatility averaged 28.9%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.2% (HV 20d: 26.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 2.08.

Notable Days

  • 2017-08-03: Highest Volume — 348 contracts
  • 2017-08-03: Largest IV spike — 33.3% change
  • 2017-08-01: Highest IV Rank — 20.8%
  • 2017-08-01: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.50$30.37$32.67$32.46$32.58
Max Pain$34.57$30.00$35.00$30.00$35.00
ATM IV28.9%21.7%34.6%34.6%21.7%
Expected Move8.4%6.2%9.9%9.9%6.2%
HV 20d26.6%22.9%31.6%31.6%22.9%
HV 60d29.8%28.2%32.1%31.6%28.8%
IV Rank13.6%4.6%20.8%20.8%4.6%
IV Percentile39.0%5.2%66.3%66.3%5.2%
Term Structure1.9%-4.3%11.0%-4.3%9.8%
VWIV29.0%22.9%32.3%29.2%28.7%
Skew 25d4.8%-2.5%10.8%0.6%10.8%
Skew 10d6.9%-5.1%23.2%6.8%12.9%
Call IV 25d24.6%18.2%31.3%30.6%18.6%
Put IV 25d29.5%26.9%33.1%31.2%29.3%
Bid-Ask Spread %55.4712.4097.8171.9912.40
Gamma HHI0.690.470.850.470.57
Net GEX-46.3K-80.8K-2.5K-2.5K-25.8K
Net DEX596.8K220.2K907.4K220.2K328.3K
Net VEX-3.9K-4.6K-3.3K-4.3K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.413.702.230.41
Total Volume198.217121348239121
Total OI1,366.0431,1951,4101,1951,410

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$32.46$30.0034.6%9.9%31.6%20.8%29.2%0.6%-4.3%-2.5K220.2K-4.3K2.2371.99N/AN/A74165660535
2017-08-02$32.67$30.0025.1%7.2%28.1%8.8%28.2%5.4%-0.7%-8.8K279.0K-4.6K2.2344.59N/AN/A74165660636
2017-08-03$31.57$35.0033.4%9.1%30.2%19.3%30.8%0.2%-0.5%-28.0K558.4K-4.2K3.7046.90N/AN/A74274660636
2017-08-04$32.22$35.0026.9%8.8%30.2%11.1%27.0%2.5%0.7%-19.4K410.4K-4.6K2.3965.43N/AN/A74177660681
2017-08-07$32.00$35.0028.8%9.1%29.9%13.5%30.7%2.0%-1.0%-23.6K463.8K-4.4K1.4357.29N/AN/A74106660681
2017-08-08$32.04$35.0029.9%8.9%28.7%14.9%30.6%1.7%0.6%-29.2K491.9K-4.2K1.4374.74N/AN/A74106660693
2017-08-09$31.61$35.0032.3%9.3%26.6%17.9%31.8%2.1%-0.6%-34.9K571.1K-4.2K1.3676.91N/AN/A78106660693
2017-08-10$31.29$35.0032.3%9.3%26.9%17.9%31.7%-1.0%-0.8%-41.5K655.5K-4.2K1.5366.99N/AN/A78119664693
2017-08-11$31.18$35.0032.3%9.3%26.9%17.8%32.3%-0.1%-0.7%-45.8K706.9K-4.3K1.5371.68N/AN/A78119664713
2017-08-14$30.66$35.0030.9%8.9%27.4%16.2%31.4%-2.5%0.6%-59.4K825.5K-3.9K1.6277.15N/AN/A78126664713
2017-08-15$30.46$35.0029.0%8.3%27.5%13.8%29.2%6.2%-0.7%-72.7K907.4K-3.8K1.9497.81N/AN/A65126664721
2017-08-16$30.37$35.0029.5%8.5%25.6%14.4%29.9%4.3%1.3%-80.8K906.6K-3.8K1.9428.56N/AN/A65126670721
2017-08-17$30.51$35.0029.7%8.5%25.6%14.6%29.9%4.2%1.1%-75.6K844.4K-3.8K1.9474.92N/AN/A65126670731
2017-08-18$31.29$35.0031.0%8.9%27.3%16.2%30.6%8.2%0.3%-44.1K671.1K-3.9K2.0056.29N/AN/A63126670734
2017-08-21$30.69$35.0030.3%8.7%28.1%15.3%30.3%5.5%0.4%-54.7K798.5K-3.7K3.3167.62N/AN/A51169662677
2017-08-22$31.09$35.0028.8%8.3%27.1%13.5%28.9%6.5%1.2%-59.0K710.2K-3.8K3.3114.88N/AN/A51169672727
2017-08-23$31.63$35.0029.5%8.5%23.7%14.3%29.6%8.8%1.4%-50.5K593.4K-3.8K2.9431.82N/AN/A51150672727
2017-08-24$31.74$35.0028.9%8.3%23.7%13.6%29.1%9.5%2.3%-50.7K574.2K-3.6K2.9432.45N/AN/A51150672728
2017-08-25$31.95$35.0027.7%7.9%23.9%12.1%26.6%10.3%3.7%-46.4K498.6K-3.5K1.9616.95N/AN/A51100672728
2017-08-28$31.43$35.0022.9%6.6%24.0%6.1%22.9%8.3%11.0%-78.8K602.3K-3.4K1.9615.68N/AN/A51100672729
2017-08-29$31.62$35.0024.1%6.9%23.4%7.6%23.9%9.8%10.3%-60.5K547.6K-3.3K1.9885.56N/AN/A51101672729
2017-08-30$31.54$35.0024.5%7.0%23.2%8.1%24.4%8.0%7.9%-73.1K560.8K-3.3K1.6887.24N/AN/A60101672731
2017-08-31$32.58$35.0021.7%6.2%22.9%4.6%28.7%10.8%9.8%-25.8K328.3K-3.3K0.4112.40N/AN/A8635679731