VET Options History — February 2018

In February 2018, VET traded between $32.75 and $38.31. ATM implied volatility averaged 31.2%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 0.6% (HV 20d: 31.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.54.

Notable Days

  • 2018-02-13: Highest Volume — 296 contracts
  • 2018-02-09: Largest IV spike — 37.3% change
  • 2018-02-27: Highest IV Rank — 57.2%
  • 2018-02-09: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.26$32.75$38.31$38.31$33.02
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV31.2%23.8%39.5%26.0%23.8%
Expected Move8.9%6.8%11.1%8.0%6.8%
HV 20d31.9%22.7%35.4%22.7%34.9%
HV 60d29.7%27.4%30.8%27.4%30.8%
IV Rank29.4%14.1%57.2%14.1%31.6%
IV Percentile81.4%36.5%96.8%60.7%36.5%
Term Structure-1.0%-5.3%2.8%0.0%1.3%
VWIV34.4%29.0%42.8%30.0%42.8%
Skew 25d6.6%1.0%14.5%5.6%1.0%
Skew 10d10.8%-6.5%20.0%8.2%4.8%
Call IV 25d29.5%24.2%40.6%24.2%31.2%
Put IV 25d36.2%29.8%42.0%29.8%32.2%
Bid-Ask Spread %86.8075.0495.8875.0479.55
Gamma HHI0.500.360.620.420.53
Net GEX-69.3K-167.1K17.6K17.6K-20.8K
Net DEX955.2K-804.1K2.3M-804.1K373.1K
Net VEX-7.0K-8.6K-5.6K-8.1K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.420.870.710.52
Total Volume258.368218296275250
Total OI2,194.1581,7162,4952,4431,801

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$38.31$30.0026.0%8.0%22.7%14.1%30.0%5.6%0.0%17.6K-804.1K-8.1K0.7175.04N/AN/A1611148901,553
2018-02-02$36.60$30.0031.8%9.2%27.9%21.3%31.7%4.9%-1.4%-68.9K29.4K-8.6K0.5777.42N/AN/A1861068931,553
2018-02-05$35.68$30.0036.2%10.1%29.0%26.7%35.1%6.2%-3.0%-121.2K673.7K-8.5K0.4981.04N/AN/A174858671,562
2018-02-06$35.71$30.0039.5%10.1%29.1%30.9%32.1%7.8%-4.4%-114.1K676.5K-8.5K0.4682.59N/AN/A174808571,567
2018-02-07$34.49$30.0031.9%9.1%30.4%21.4%33.6%6.6%-2.0%-145.7K1.2M-7.7K0.4893.61N/AN/A168808571,560
2018-02-08$33.22$30.0028.1%8.1%32.5%24.2%30.7%12.6%0.1%-144.3K1.7M-7.8K0.4395.88N/AN/A184808721,560
2018-02-09$33.01$30.0038.6%11.1%31.6%43.1%38.5%1.4%-5.3%-110.8K2.1M-7.5K0.4290.97N/AN/A202848591,560
2018-02-12$33.65$30.0030.8%8.8%32.3%29.0%39.3%14.5%2.8%-167.1K1.9M-7.1K0.4495.86N/AN/A190848171,584
2018-02-13$32.75$30.0032.7%9.4%32.6%32.6%38.2%5.4%-0.9%-106.1K2.2M-7.2K0.8776.47N/AN/A1581388501,584
2018-02-14$33.80$30.0031.8%9.1%33.8%30.8%33.8%9.0%-1.2%-130.9K2.2M-6.9K0.6784.93N/AN/A1661118551,622
2018-02-15$33.68$30.0031.2%8.9%33.7%29.8%31.6%5.9%-0.6%-103.6K2.2M-6.4K0.6985.73N/AN/A1621118691,624
2018-02-16$33.81$30.0031.2%8.9%34.0%29.8%36.7%3.7%-1.4%-25.4K2.3M-6.4K0.5392.53N/AN/A162868711,624
2018-02-20$33.62$30.0031.4%9.0%31.8%30.1%32.7%6.3%0.4%-24.4K354.1K-6.0K0.5189.89N/AN/A165846611,055
2018-02-21$33.14$30.0029.0%8.3%31.5%25.8%29.0%5.0%-0.7%-22.9K395.1K-5.9K0.4787.08N/AN/A165777111,056
2018-02-22$33.43$30.0028.1%8.1%32.1%24.2%30.8%4.6%0.6%-18.3K344.6K-6.0K0.4790.05N/AN/A165777071,059
2018-02-23$34.54$30.0030.4%8.7%35.3%28.4%31.2%7.7%-0.9%-6.9K90.2K-6.1K0.4789.42N/AN/A165777071,059
2018-02-26$34.57$30.0030.0%8.6%35.2%27.7%35.5%10.9%-0.2%91757.1K-6.0K0.5890.92N/AN/A139817101,059
2018-02-27$33.91$30.0031.2%8.9%35.4%57.2%41.2%6.9%-2.6%-4.0K128.2K-5.9K0.5590.17N/AN/A141777391,055
2018-02-28$33.02$30.0023.8%6.8%34.9%31.6%42.8%1.0%1.3%-20.8K373.1K-5.6K0.5279.55N/AN/A164867451,056