VET Options History — April 2018

In April 2018, VET traded between $31.45 and $36.63. ATM implied volatility averaged 27.6%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 4.1% (HV 20d: 31.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2018-04-26: Highest Volume — 777 contracts
  • 2018-04-09: Largest IV spike — 82.3% change
  • 2018-04-09: Highest IV Rank — 53.2%
  • 2018-04-19: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.20$31.45$36.63$31.45$33.84
Max Pain$32.62$30.00$35.00$35.00$35.00
ATM IV27.6%17.4%47.5%25.5%28.5%
Expected Move7.7%6.1%8.6%7.3%8.2%
HV 20d31.7%24.8%37.0%24.8%35.5%
HV 60d31.8%29.2%33.6%29.2%33.5%
IV Rank21.0%4.4%53.2%17.5%22.4%
IV Percentile60.2%2.0%99.6%55.2%68.7%
Term Structure0.6%-2.9%11.4%10.1%-1.2%
VWIV27.3%23.4%30.8%28.9%28.6%
Skew 25d2.2%-6.1%13.1%9.2%-5.6%
Skew 10d8.1%-9.4%50.9%50.9%-6.3%
Call IV 25d24.7%16.1%31.2%20.2%28.2%
Put IV 25d26.9%20.3%30.4%29.4%22.6%
Bid-Ask Spread %65.4022.52100.2393.3123.92
Gamma HHI0.510.330.790.660.33
Net GEX26.9K-60.1K116.2K-58.1K32.8K
Net DEX-94.3K-1.3M977.9K977.9K-208.7K
Net VEX-5.4K-6.2K-4.7K-5.2K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.325.685.680.55
Total Volume448.857249777461701
Total OI1,884.3811,5682,2331,5682,005

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$31.45$35.0025.5%7.3%24.8%17.5%28.9%9.2%10.1%-58.1K977.9K-5.2K5.6893.31N/AN/A69392586982
2018-04-03$32.02$35.0023.4%6.7%25.5%14.2%28.0%13.1%11.4%-49.4K813.0K-4.7K5.68100.23N/AN/A693926031,072
2018-04-04$31.80$35.0027.5%7.9%25.6%20.9%26.8%7.7%1.3%-60.1K919.0K-5.4K3.5295.81N/AN/A692436031,072
2018-04-05$33.07$30.0022.7%7.4%28.5%13.1%26.6%3.3%-1.3%-32.5K623.8K-5.4K1.5385.55N/AN/A1652536031,073
2018-04-06$32.62$30.0026.1%6.4%29.1%18.5%26.5%1.1%0.1%-28.9K642.5K-5.7K0.6288.68N/AN/A1651027211,065
2018-04-09$32.56$30.0047.5%6.1%28.8%53.2%26.3%2.9%0.1%-32.6K686.5K-5.5K0.6295.79N/AN/A1651027211,060
2018-04-10$33.43$30.0017.4%7.3%30.0%4.4%25.8%3.4%0.8%-4.1K353.4K-4.9K0.6080.74N/AN/A1691027211,060
2018-04-11$34.28$30.0028.5%8.2%29.3%22.4%28.6%7.3%-1.1%24.7K58.4K-5.0K0.3587.24N/AN/A2891027231,060
2018-04-12$34.89$30.0026.2%7.5%29.3%18.7%26.3%8.1%0.7%100.4K-392.1K-5.7K0.3349.75N/AN/A296989331,060
2018-04-13$35.02$30.0027.7%7.9%29.3%21.1%27.8%9.4%-1.5%101.7K-489.4K-5.5K0.3296.74N/AN/A293949331,059
2018-04-16$34.10$30.0025.9%7.4%31.6%18.2%26.0%3.9%-0.8%77.1K14.7K-4.7K1.6192.21N/AN/A1242009331,049
2018-04-17$34.62$30.0025.5%7.3%31.5%17.5%23.4%-1.7%0.3%116.2K-237.4K-5.0K4.0839.54N/AN/A492009331,162
2018-04-18$36.63$30.0028.8%8.3%36.2%22.9%29.8%-1.1%-0.0%69.6K-1.3M-5.6K1.0922.52N/AN/A2072269431,162
2018-04-19$36.35$35.0029.8%8.6%35.6%24.6%29.0%-1.1%-2.9%69.6K-1.3M-5.7K1.4775.94N/AN/A1852721,0461,187
2018-04-20$35.95$35.0028.6%8.2%35.7%22.6%28.8%-2.3%-0.8%41.3K-1.1M-5.5K1.3729.07N/AN/A2022771,0511,168
2018-04-23$36.00$35.0029.4%8.4%35.3%23.9%29.1%-2.1%-1.4%41.9K-444.7K-5.4K1.4428.81N/AN/A178257854857
2018-04-24$35.45$35.0029.3%8.4%36.0%23.7%30.8%-5.6%-1.5%37.8K-270.3K-5.2K0.8087.67N/AN/A320257857857
2018-04-25$35.37$35.0028.3%8.1%35.4%22.2%24.9%2.1%-0.5%39.3K-589.0K-5.4K0.4839.36N/AN/A522248987857
2018-04-26$34.95$35.0026.6%7.6%35.7%19.3%25.0%0.7%-0.3%47.1K-558.1K-5.8K0.4737.55N/AN/A5292481,122855
2018-04-27$33.71$35.0026.7%7.6%37.0%19.4%25.7%-6.1%0.2%29.9K-164.3K-5.2K0.6923.03N/AN/A3532421,122855
2018-04-30$33.84$35.0028.5%8.2%35.5%22.4%28.6%-5.6%-1.2%32.8K-208.7K-6.2K0.5523.92N/AN/A4532481,154851