VET Options History — October 2017

In October 2017, VET traded between $32.77 and $35.32. ATM implied volatility averaged 23.3%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.6% (HV 20d: 17.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.63.

Notable Days

  • 2017-10-30: Highest Volume — 354 contracts
  • 2017-10-23: Largest IV drop — 23.2% change
  • 2017-10-18: Highest IV Rank — 12.8%
  • 2017-10-05: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.24$32.77$35.32$35.32$34.12
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV23.3%19.3%25.7%24.6%21.8%
Expected Move6.8%5.5%7.4%7.0%6.3%
HV 20d17.7%11.2%23.9%23.9%19.6%
HV 60d24.1%22.6%26.0%26.0%22.6%
IV Rank9.9%5.2%12.8%11.5%8.2%
IV Percentile18.0%0.8%34.1%20.6%10.7%
Term Structure1.5%-0.7%4.0%1.3%3.2%
VWIV24.3%17.9%28.0%24.6%21.9%
Skew 25d1.7%-6.4%10.3%4.2%-1.4%
Skew 10d4.9%-6.2%14.7%6.1%-6.2%
Call IV 25d22.4%19.2%26.9%20.2%24.2%
Put IV 25d24.1%17.4%37.2%24.4%22.8%
Bid-Ask Spread %64.2811.6196.4515.7692.01
Gamma HHI0.470.350.750.350.40
Net GEX-3.8K-38.3K26.5K8.2K7.9K
Net DEX402.1K-152.3K992.3K-152.3K203.7K
Net VEX-6.8K-7.9K-6.1K-7.9K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.893.021.472.64
Total Volume272210354210222
Total OI1,766.6361,4671,9191,8491,695

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$35.32$35.0024.6%7.0%23.9%11.5%24.6%4.2%1.3%8.2K-152.3K-7.9K1.4715.76N/AN/A851257631,086
2017-10-03$35.16$35.0021.6%6.2%23.9%8.0%21.7%3.8%4.0%9.5K-120.1K-7.8K1.4717.16N/AN/A851257651,087
2017-10-04$35.02$35.0021.7%6.2%23.8%8.0%21.8%1.8%3.2%9.0K-45.6K-7.7K1.4715.04N/AN/A851257651,088
2017-10-05$35.05$35.0022.0%7.4%23.7%8.4%25.8%0.1%0.1%9.5K-36.1K-7.6K1.4711.61N/AN/A851257651,089
2017-10-06$34.39$35.0022.6%7.1%23.6%9.1%24.9%-2.2%1.3%786330.5K-7.5K1.8812.73N/AN/A851607651,090
2017-10-09$34.55$35.0022.2%7.0%22.8%8.6%24.5%8.0%0.2%4.7K285.7K-7.3K1.8822.20N/AN/A851607651,098
2017-10-10$34.35$35.0021.9%6.7%22.6%8.3%23.5%6.2%2.1%2.1K408.0K-7.2K1.7422.30N/AN/A921607651,098
2017-10-11$34.20$35.0024.9%7.1%14.7%11.9%24.9%6.8%1.0%3.3K505.7K-7.1K1.3685.10N/AN/A1181607791,098
2017-10-12$33.85$35.0025.1%7.2%11.2%12.2%25.1%3.9%0.1%-8.3K777.5K-6.7K1.3083.96N/AN/A1231607791,098
2017-10-13$34.14$35.0024.3%7.0%12.1%11.1%24.3%6.0%1.2%-2.1K753.5K-6.7K1.5685.34N/AN/A1211897701,096
2017-10-16$34.52$35.0024.5%7.0%13.1%11.4%24.5%-2.3%0.8%5.9K499.5K-6.9K1.5682.63N/AN/A1211897721,126
2017-10-17$34.83$35.0024.7%7.1%13.6%11.7%24.7%-0.3%0.7%26.5K286.4K-6.7K1.5683.25N/AN/A1211897721,125
2017-10-18$34.60$35.0025.7%7.4%12.7%12.8%25.7%-2.4%-0.1%21.1K446.2K-6.5K1.5583.74N/AN/A1221897721,126
2017-10-19$34.62$35.0024.8%7.1%12.8%11.8%24.9%-2.0%0.7%23.0K589.5K-6.3K1.4483.66N/AN/A1311897731,126
2017-10-20$33.79$35.0025.2%7.2%14.7%12.2%25.6%-6.4%-0.7%-28.9K992.3K-6.1K1.1588.25N/AN/A1391607931,126
2017-10-23$33.61$35.0019.3%5.5%14.6%5.2%19.9%-4.5%3.6%-28.4K506.5K-6.2K1.4293.08N/AN/A109155498969
2017-10-24$33.52$35.0020.0%5.7%14.3%6.0%17.9%-5.7%2.5%-29.4K523.8K-6.2K1.7076.69N/AN/A109185508969
2017-10-25$32.77$35.0020.7%5.9%15.7%6.8%27.0%1.8%3.1%-38.3K742.9K-6.1K1.6996.45N/AN/A109184508999
2017-10-26$32.96$35.0024.9%7.1%16.1%11.9%27.5%6.8%2.7%-37.1K696.9K-6.1K1.7495.82N/AN/A107186508999
2017-10-27$33.94$35.0024.7%7.1%19.5%11.7%28.0%4.9%1.0%-21.9K353.8K-6.1K3.0279.20N/AN/A651965371,000
2017-10-30$33.89$35.0024.7%7.1%19.4%11.7%24.9%10.3%0.5%-19.9K297.2K-6.1K0.8988.28N/AN/A1871675461,010
2017-10-31$34.12$35.0021.8%6.3%19.6%8.2%21.9%-1.4%3.2%7.9K203.7K-6.8K2.6492.01N/AN/A611616741,021