VET Options History — September 2017

In September 2017, VET traded between $33.44 and $37.36. ATM implied volatility averaged 23.0%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.9% (HV 20d: 25.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.77.

Notable Days

  • 2017-09-18: Highest Volume — 790 contracts
  • 2017-09-05: Largest IV spike — 44.6% change
  • 2017-09-15: Highest IV Rank — 14.2%
  • 2017-09-15: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.69$33.44$37.36$33.67$35.54
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV23.0%15.1%26.8%15.1%22.2%
Expected Move6.8%4.3%7.7%4.3%6.4%
HV 20d25.9%24.1%28.0%24.7%26.0%
HV 60d27.8%26.2%29.4%29.4%26.2%
IV Rank9.6%0.0%14.2%0.0%8.7%
IV Percentile14.2%0.0%31.7%0.0%9.5%
Term Structure3.6%-0.0%12.8%12.8%3.5%
VWIV24.1%19.5%26.8%19.5%22.3%
Skew 25d5.1%-0.5%18.6%18.6%5.1%
Skew 10d6.5%-1.4%18.1%18.1%7.4%
Call IV 25d21.2%15.2%24.5%15.2%17.5%
Put IV 25d26.3%22.6%33.8%33.8%22.6%
Bid-Ask Spread %35.5412.8478.8346.8716.50
Gamma HHI0.500.330.830.510.34
Net GEX39.7K12.8K119.7K24.9K12.8K
Net DEX-704.8K-2.0M-8.7K-58.3K-311.8K
Net VEX-5.3K-7.9K-3.1K-3.6K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.195.020.372.56
Total Volume310.157379097313
Total OI1,614.351,0961,9711,4161,847

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$33.67$35.0015.1%4.3%24.7%0.0%19.5%18.6%12.8%24.9K-58.3K-3.6K0.3746.87N/AN/A7126705711
2017-09-05$33.47$35.0021.8%7.2%24.6%8.1%25.1%5.9%1.6%23.1K-8.7K-3.4K0.3459.21N/AN/A7927709711
2017-09-06$33.79$35.0020.5%7.5%24.7%6.6%26.1%5.7%0.7%50.4K-139.6K-3.2K0.2560.50N/AN/A14436719711
2017-09-07$34.11$35.0019.8%7.2%24.1%5.7%25.0%6.9%2.1%81.3K-374.7K-3.6K0.1922.57N/AN/A14427820701
2017-09-08$33.44$35.0026.7%6.8%25.1%14.0%23.6%4.0%3.1%44.8K-130.1K-3.7K0.5917.08N/AN/A4627820699
2017-09-11$34.04$35.0019.9%6.7%25.4%5.9%23.3%8.5%2.8%79.9K-253.7K-3.2K0.7420.40N/AN/A4634822699
2017-09-12$34.43$35.0023.0%6.6%24.3%9.6%23.1%8.0%2.8%119.7K-434.0K-3.3K0.6117.16N/AN/A5634822706
2017-09-13$36.04$35.0026.5%7.6%27.6%13.8%26.5%6.0%-0.0%85.5K-1.4M-3.1K0.5612.84N/AN/A14481825710
2017-09-14$36.90$35.0025.4%7.3%27.7%12.5%25.2%2.2%3.8%39.6K-2.0M-3.3K0.8616.05N/AN/A272234916769
2017-09-15$36.83$35.0026.8%7.7%28.0%14.2%26.8%1.9%1.3%27.1K-1.8M-4.7K5.0272.95N/AN/A512561,049922
2017-09-18$36.82$35.0025.2%7.2%27.5%12.3%25.3%1.9%2.5%23.5K-785.1K-4.7K4.7228.55N/AN/A138652591505
2017-09-19$36.96$35.0024.9%7.1%25.6%11.9%25.2%3.0%2.4%15.4K-702.6K-7.1K1.8155.16N/AN/A183331653958
2017-09-20$37.36$35.0021.5%6.2%25.6%7.8%24.9%4.4%10.4%31.2K-969.0K-7.6K1.9044.70N/AN/A171325778960
2017-09-21$37.22$35.0024.1%6.9%25.8%11.0%24.5%0.2%2.6%26.4K-890.9K-7.8K1.8966.94N/AN/A172325773964
2017-09-22$37.07$35.0025.1%7.2%26.1%12.2%24.1%3.2%1.4%24.9K-880.7K-7.5K1.3324.82N/AN/A172228768964
2017-09-25$37.06$35.0021.6%6.2%26.3%7.9%21.4%3.1%8.6%26.7K-888.2K-7.4K2.7678.83N/AN/A84232768967
2017-09-26$36.57$35.0023.4%6.7%25.9%10.1%23.3%-0.5%3.1%20.1K-755.6K-7.3K2.5615.65N/AN/A89228770975
2017-09-27$36.43$35.0023.7%6.8%26.2%10.4%23.2%7.1%3.0%19.9K-722.2K-7.2K2.6517.67N/AN/A86228775978
2017-09-28$36.14$35.0023.2%6.7%26.6%9.9%23.0%5.8%2.9%17.9K-598.9K-7.4K3.7816.40N/AN/A86325767980
2017-09-29$35.54$35.0022.2%6.4%26.0%8.7%22.3%5.1%3.5%12.8K-311.8K-7.9K2.5616.50N/AN/A882257671,080