VET Options History — May 2018

In May 2018, VET traded between $33.16 and $36.66. ATM implied volatility averaged 26.4%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 4.0% (HV 20d: 30.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2018-05-18: Highest Volume — 672 contracts
  • 2018-05-23: Largest IV spike — 30.4% change
  • 2018-05-07: Highest IV Rank — 28.0%
  • 2018-05-11: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.68$33.16$36.66$33.25$34.92
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV26.4%19.8%32.0%23.6%28.2%
Expected Move7.5%5.7%8.3%6.8%8.1%
HV 20d30.4%20.4%35.8%35.8%30.3%
HV 60d30.6%29.3%32.4%32.4%30.3%
IV Rank19.0%8.3%28.0%14.5%22.0%
IV Percentile52.8%7.5%90.9%32.5%65.5%
Term Structure0.5%-4.0%5.9%-1.5%-1.9%
VWIV25.6%21.2%28.9%26.7%28.5%
Skew 25d4.9%-10.5%59.9%-10.5%-5.8%
Skew 10d7.9%-15.4%79.3%-15.4%-9.2%
Call IV 25d24.6%19.2%32.5%29.0%32.5%
Put IV 25d29.5%18.5%85.2%18.5%26.8%
Bid-Ask Spread %56.1217.23100.2243.1285.99
Gamma HHI0.520.340.770.360.52
Net GEX49.8K-82797.5K35.0K12.2K
Net DEX-648.5K-2.1M70.4K-74.9K-713.7K
Net VEX-6.2K-6.8K-5.3K-6.2K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.461.620.461.16
Total Volume513.409339672665357
Total OI2,191.0912,0682,3312,0922,121

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$33.25$35.0023.6%6.8%35.8%14.5%26.7%-10.5%-1.5%35.0K-74.9K-6.2K0.4643.12N/AN/A4572081,235857
2018-05-02$33.33$35.0024.0%6.9%35.7%15.1%21.2%-8.3%-0.7%37.7K-93.4K-6.2K0.6669.68N/AN/A3222131,230867
2018-05-03$33.16$35.0028.6%7.8%33.0%22.7%24.1%4.5%0.1%30.3K2.8K-6.0K0.6674.75N/AN/A3222131,236872
2018-05-04$33.72$35.0027.7%7.6%33.0%21.1%23.6%4.7%1.3%51.4K-241.3K-5.3K0.7821.90N/AN/A2972321,236872
2018-05-07$33.89$35.0032.0%7.8%33.0%28.0%22.9%4.6%1.2%57.2K-318.5K-5.4K0.6068.36N/AN/A3892321,244887
2018-05-08$34.19$35.0027.9%7.8%31.9%21.5%23.1%6.5%1.2%77.3K-672.0K-6.2K0.7750.59N/AN/A3012331,343887
2018-05-09$34.30$35.0026.3%7.5%30.6%18.8%25.1%6.2%1.3%83.8K-700.9K-6.1K0.6783.39N/AN/A3452301,355889
2018-05-10$35.00$35.0027.0%7.7%30.8%20.0%27.3%8.9%0.6%88.4K-987.4K-6.4K0.8055.23N/AN/A2892301,346909
2018-05-11$34.48$35.0028.8%8.3%31.3%23.0%28.9%6.3%-4.0%83.1K-773.8K-6.2K0.5553.73N/AN/A3872111,344908
2018-05-14$34.49$35.0026.7%7.7%29.7%19.5%26.8%6.4%-0.2%97.5K-738.4K-6.3K0.6017.23N/AN/A3542141,422909
2018-05-15$34.13$35.0026.2%7.5%29.5%18.7%28.7%0.7%-0.6%89.1K-576.9K-6.0K0.6166.67N/AN/A3502141,413911
2018-05-16$34.21$35.0026.7%7.7%20.4%19.5%27.3%4.4%2.4%81.2K-362.2K-6.7K0.6150.91N/AN/A3502141,419911
2018-05-17$36.23$35.0028.4%8.2%29.6%22.3%28.1%2.9%-2.4%90.5K-1.7M-6.8K0.5639.48N/AN/A3582021,419911
2018-05-18$36.66$35.0026.6%7.6%29.6%19.3%26.6%2.5%2.2%53.3K-2.1M-6.7K0.8127.01N/AN/A3723001,422908
2018-05-21$36.49$35.0023.6%6.8%29.7%14.5%23.6%0.4%1.4%38.9K-1.2M-6.5K0.7643.07N/AN/A2732071,129939
2018-05-22$36.25$35.0019.8%5.7%29.2%8.3%21.4%-4.6%5.9%29.6K-1.1M-6.1K0.6167.01N/AN/A2991821,127963
2018-05-23$35.84$35.0025.8%7.4%29.5%18.1%25.8%7.5%0.0%29.9K-872.0K-6.2K1.0679.30N/AN/A1972081,132958
2018-05-24$35.50$35.0025.6%7.3%29.4%17.7%25.7%3.8%0.1%17.3K-667.7K-6.2K1.5522.50N/AN/A1662571,135995
2018-05-25$34.81$35.0024.7%7.1%27.1%16.3%24.9%13.2%0.5%9.0K-394.4K-6.3K1.6219.35N/AN/A1592571,1351,045
2018-05-29$33.68$35.0028.3%8.1%29.7%22.1%28.0%-7.0%0.3%-82770.4K-5.5K1.0895.12N/AN/A1631761,1331,043
2018-05-30$34.36$35.0023.6%6.8%29.8%14.5%23.8%59.9%3.3%4.1K-155.4K-6.5K1.18100.22N/AN/A1631921,1391,048
2018-05-31$34.92$35.0028.2%8.1%30.3%22.0%28.5%-5.8%-1.9%12.2K-713.7K-6.2K1.1685.99N/AN/A1651921,139982