VET Options History — July 2018

In July 2018, VET traded between $34.46 and $37.19. ATM implied volatility averaged 25.2%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.4% (HV 20d: 26.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2018-07-23: Highest Volume — 518 contracts
  • 2018-07-10: Largest IV spike — 132.8% change
  • 2018-07-10: Highest IV Rank — 54.4%
  • 2018-07-11: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.10$34.46$37.19$35.57$34.46
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV25.2%16.5%48.3%23.1%16.5%
Expected Move7.1%4.7%9.4%6.6%4.7%
HV 20d26.7%18.9%30.6%29.0%25.3%
HV 60d28.5%26.4%30.7%30.7%28.3%
IV Rank17.1%2.9%54.4%13.6%2.9%
IV Percentile41.0%1.6%99.6%25.8%1.6%
Term Structure1.5%-2.6%10.8%4.2%3.1%
VWIV25.7%17.7%33.9%23.1%17.7%
Skew 25d5.1%-3.5%40.2%5.7%40.2%
Skew 10d9.4%-9.4%55.7%8.7%55.7%
Call IV 25d23.6%16.2%31.1%18.0%18.4%
Put IV 25d28.8%22.0%58.6%23.7%58.6%
Bid-Ask Spread %97.2056.54112.1856.54100.09
Gamma HHI0.510.440.650.490.44
Net GEX43.7K-7.1K87.8K65.2K-7.1K
Net DEX-1.3M-1.9M-377.1K-1.2M-377.1K
Net VEX-5.3K-6.0K-4.3K-5.8K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.151.170.650.27
Total Volume399.333210518480210
Total OI1,554.7141,3431,6351,5791,496

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$35.57$35.0023.1%6.6%29.0%13.6%23.1%5.7%4.2%65.2K-1.2M-5.8K0.6556.54N/AN/A291189980599
2018-07-03$36.05$35.0023.2%6.6%29.4%13.8%22.9%5.1%-1.1%65.2K-1.5M-5.8K0.7198.40N/AN/A266189980604
2018-07-05$35.68$35.0024.6%8.9%29.7%16.1%33.9%5.3%-2.6%64.4K-1.2M-5.5K0.72109.81N/AN/A262189990604
2018-07-06$36.41$35.0022.2%7.1%30.3%12.2%28.8%1.4%2.9%64.4K-1.6M-5.7K0.73104.75N/AN/A260189992604
2018-07-09$36.55$35.0020.7%7.0%30.3%9.8%25.6%-1.1%-1.5%67.8K-1.6M-5.5K0.7288.24N/AN/A263189997604
2018-07-10$37.13$35.0048.3%8.5%30.6%54.4%33.3%7.4%1.0%62.7K-1.9M-6.0K0.7190.48N/AN/A2651891,000604
2018-07-11$36.87$35.0032.7%9.4%30.6%29.2%33.4%2.2%-0.9%58.5K-1.8M-6.0K0.6791.86N/AN/A2611751,004604
2018-07-12$37.19$35.0026.5%7.6%30.1%19.3%28.0%1.3%0.4%65.7K-1.8M-5.7K0.6785.21N/AN/A2611751,005599
2018-07-13$37.00$35.0030.2%8.7%29.8%25.2%30.8%3.9%-2.6%62.4K-1.8M-5.6K0.6695.12N/AN/A2611731,005594
2018-07-16$35.96$35.0029.8%8.5%28.5%24.5%32.2%12.9%2.2%76.1K-1.5M-5.5K0.73100.41N/AN/A2571871,005595
2018-07-17$36.16$35.0024.9%7.1%28.2%16.6%24.3%-3.5%1.3%47.5K-1.7M-5.1K0.73110.27N/AN/A2571871,003632
2018-07-18$36.05$35.0026.6%7.6%27.9%19.3%26.6%5.4%-1.0%70.7K-1.5M-5.1K0.7697.31N/AN/A2451871,003632
2018-07-19$35.67$35.0022.2%6.4%27.9%12.2%22.3%-1.4%4.3%87.8K-1.4M-5.1K0.76105.02N/AN/A2451871,003632
2018-07-20$35.80$35.0020.6%5.9%26.2%9.6%20.6%0.6%7.1%19.7K-1.6M-5.1K0.62112.18N/AN/A2461531,003632
2018-07-23$35.69$35.0025.5%7.3%22.2%17.5%25.5%4.3%-0.3%17.7K-720.6K-4.7K1.1787.66N/AN/A239279778565
2018-07-24$36.20$35.0025.8%7.4%21.3%18.1%25.8%1.9%-1.4%11.6K-773.0K-5.2K0.70103.61N/AN/A248174778660
2018-07-25$36.40$35.0019.3%5.5%18.9%7.6%18.6%8.8%10.8%9.2K-852.8K-5.1K0.17101.64N/AN/A24841787666
2018-07-26$36.55$35.0022.9%6.6%18.9%13.4%22.9%3.9%-2.1%16.0K-841.9K-5.0K0.15107.95N/AN/A24836787667
2018-07-27$36.20$35.0020.0%5.7%19.3%8.6%19.5%1.8%7.3%-3.4K-803.7K-4.8K0.16104.84N/AN/A19131787666
2018-07-30$34.46$35.0024.2%6.9%25.6%15.4%24.2%1.8%1.1%-4.6K-381.8K-4.4K0.2289.82N/AN/A19944833670
2018-07-31$34.46$35.0016.5%4.7%25.3%2.9%17.7%40.2%3.1%-7.1K-377.1K-4.3K0.27100.09N/AN/A16644843653