VET Options History — June 2018

In June 2018, VET traded between $33.57 and $36.03. ATM implied volatility averaged 27.0%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 2.8% (HV 20d: 29.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2018-06-18: Highest Volume — 516 contracts
  • 2018-06-22: Largest IV spike — 32.2% change
  • 2018-06-12: Highest IV Rank — 31.5%
  • 2018-06-27: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.95$33.57$36.03$35.53$36.03
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV27.0%19.1%34.1%24.8%24.9%
Expected Move7.4%5.5%9.0%7.1%7.1%
HV 20d29.8%25.9%31.8%30.6%29.7%
HV 60d30.8%30.1%32.1%30.3%30.7%
IV Rank20.0%7.1%31.5%16.5%16.6%
IV Percentile57.4%3.6%96.0%43.3%42.5%
Term Structure2.8%-2.4%19.9%0.4%5.4%
VWIV25.8%20.7%31.0%25.1%24.9%
Skew 25d5.7%-6.2%46.9%22.2%4.4%
Skew 10d9.4%-10.3%78.9%48.5%5.7%
Call IV 25d23.8%16.8%28.0%27.1%20.5%
Put IV 25d29.5%21.3%69.9%49.3%24.9%
Bid-Ask Spread %68.1739.94121.6064.0686.92
Gamma HHI0.500.400.580.520.49
Net GEX27.8K7.8K61.5K14.8K61.5K
Net DEX-720.1K-1.4M363.5K-969.3K-1.4M
Net VEX-5.6K-6.6K-4.8K-6.1K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.521.261.040.63
Total Volume420.048339516340480
Total OI1,834.2381,2672,2372,1211,574

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$35.53$35.0024.8%7.1%30.6%16.5%25.1%22.2%0.4%14.8K-969.3K-6.1K1.0464.06N/AN/A1671731,139982
2018-06-04$34.79$35.0030.4%7.6%31.3%25.5%27.4%0.4%-1.5%10.8K-585.4K-5.6K1.1590.41N/AN/A1581811,141980
2018-06-05$34.83$35.0029.5%7.3%31.3%24.1%26.3%1.0%-0.3%12.6K-493.1K-5.7K1.1261.51N/AN/A1611811,1421,038
2018-06-06$34.82$35.0031.2%7.6%31.2%26.8%25.2%6.6%-0.3%12.0K-441.7K-5.7K1.1265.78N/AN/A1611811,1511,038
2018-06-07$35.20$35.0025.6%7.6%31.4%17.8%26.3%-6.0%0.7%11.5K-601.7K-5.8K1.0877.39N/AN/A1751891,1511,038
2018-06-08$35.30$35.0030.3%7.5%30.6%25.4%26.1%-6.2%0.3%13.0K-631.2K-5.8K1.1039.94N/AN/A1751931,1571,048
2018-06-11$35.57$35.0030.7%7.3%30.1%25.9%25.3%-4.2%1.3%12.2K-807.8K-5.6K1.0462.42N/AN/A1771841,1571,046
2018-06-12$35.96$35.0034.1%7.9%30.3%31.5%27.3%-0.8%-1.8%19.7K-1.0M-5.4K1.0364.92N/AN/A1781841,1611,041
2018-06-13$35.44$35.0023.7%6.8%30.6%14.6%23.9%-3.9%2.7%13.8K-745.6K-5.3K1.1140.79N/AN/A1661841,1611,041
2018-06-14$35.02$35.0027.3%7.8%31.0%20.5%26.4%3.0%-1.8%7.8K-609.0K-5.1K1.2680.83N/AN/A1682121,1611,041
2018-06-15$33.76$35.0026.0%7.5%25.9%18.4%26.2%-0.4%1.1%8.4K363.5K-5.2K0.8290.87N/AN/A2532081,1621,075
2018-06-18$34.21$35.0026.3%7.5%26.0%18.8%26.4%4.9%19.9%24.8K-615.0K-4.8K0.5376.75N/AN/A338178731536
2018-06-19$33.87$35.0023.6%6.8%26.1%14.4%23.7%5.1%-0.7%31.0K-562.7K-4.8K0.5242.30N/AN/A338177829536
2018-06-20$34.39$35.0025.8%7.4%26.9%18.1%25.8%4.0%0.2%35.5K-714.1K-5.2K0.6846.89N/AN/A287196830536
2018-06-21$33.57$35.0019.1%5.5%27.8%7.1%20.7%10.6%15.3%40.2K-527.4K-6.6K0.80121.60N/AN/A246196873555
2018-06-22$34.96$35.0025.2%7.2%31.8%17.1%25.5%10.0%1.0%45.0K-820.5K-5.4K0.7155.40N/AN/A280198877555
2018-06-25$34.28$35.0025.9%7.4%31.8%18.1%26.0%6.3%3.2%47.8K-728.0K-5.4K0.8155.29N/AN/A266216908552
2018-06-26$35.29$35.0025.1%7.2%31.0%17.0%25.3%10.2%3.3%56.4K-1.0M-5.8K0.8672.69N/AN/A268231924573
2018-06-27$35.52$35.0031.3%9.0%30.4%27.0%31.0%46.9%-2.4%48.7K-1.0M-6.0K0.7265.81N/AN/A256185928613
2018-06-28$35.51$35.0026.5%7.6%29.9%19.2%26.7%5.5%12.3%56.1K-1.2M-5.8K0.6468.93N/AN/A291185939599
2018-06-29$36.03$35.0024.9%7.1%29.7%16.6%24.9%4.4%5.4%61.5K-1.4M-6.2K0.6386.92N/AN/A295185975599