VET Options History — August 2018

In August 2018, VET traded between $30.36 and $34.04. ATM implied volatility averaged 30.5%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.3% (HV 20d: 26.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.37.

Notable Days

  • 2018-08-28: Highest Volume — 316 contracts
  • 2018-08-14: Largest IV spike — 100.9% change
  • 2018-08-14: Highest IV Rank — 100.0%
  • 2018-08-23: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.12$30.36$34.04$34.04$31.65
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV30.5%15.7%93.6%22.3%26.0%
Expected Move6.8%4.5%9.1%6.4%7.5%
HV 20d26.2%22.2%31.9%24.9%28.0%
HV 60d27.7%25.9%28.6%28.4%27.4%
IV Rank22.4%1.3%100.0%12.4%14.4%
IV Percentile54.1%0.8%100.0%24.6%61.5%
Term Structure1.0%-15.3%11.3%2.6%-2.6%
VWIV25.2%21.8%31.3%22.6%24.9%
Skew 25d3.1%-10.3%52.3%-0.9%11.3%
Skew 10d3.7%-13.9%66.5%-5.7%17.5%
Call IV 25d24.1%15.4%35.7%24.1%16.7%
Put IV 25d27.2%20.0%75.6%23.1%28.0%
Bid-Ask Spread %87.5752.83100.6899.1252.83
Gamma HHI0.410.300.640.420.64
Net GEX-9.6K-18.9K-723-723-12.7K
Net DEX70.9K-298.3K419.1K-298.3K18.8K
Net VEX-3.8K-4.3K-3.4K-4.3K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.220.530.260.42
Total Volume250.087199316209302
Total OI1,561.7831,4391,5921,5161,579

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$34.04$35.0022.3%6.4%24.9%12.4%22.6%-0.9%2.6%-723-298.3K-4.3K0.2699.12N/AN/A16643851665
2018-08-02$33.40$35.0022.0%6.3%25.4%12.0%22.8%-6.4%0.8%-4.0K-74.0K-4.1K0.33100.68N/AN/A16654851687
2018-08-03$33.53$35.0020.5%5.9%24.0%9.5%22.9%52.3%-1.5%-6.9K-8.0K-4.0K0.3794.72N/AN/A16661852712
2018-08-06$33.68$35.0019.6%6.6%24.1%8.0%29.3%2.9%-0.6%-8.5K-101.2K-4.2K0.3789.49N/AN/A16661852726
2018-08-07$32.90$35.0029.5%6.7%23.8%24.0%24.8%-0.5%0.4%-7.1K98.6K-3.9K0.3484.51N/AN/A16656852726
2018-08-08$32.62$35.0029.9%6.3%23.8%24.7%25.5%2.8%2.3%-8.4K125.2K-3.8K0.2877.25N/AN/A16346852732
2018-08-09$32.57$35.0039.8%6.4%23.2%40.7%28.8%-4.0%-1.5%-7.8K200.0K-3.9K0.2295.45N/AN/A16336847735
2018-08-10$32.25$35.0055.0%5.7%23.3%65.4%22.7%-5.3%10.6%-8.8K179.7K-4.0K0.2394.62N/AN/A16337847743
2018-08-13$31.71$35.0046.6%7.9%22.2%51.7%27.2%1.6%-3.3%-8.9K341.7K-3.6K0.2868.04N/AN/A16345849743
2018-08-14$31.98$35.0093.6%6.1%22.4%100.0%21.8%-1.1%6.8%-9.0K142.9K-3.8K0.2892.60N/AN/A16345849725
2018-08-15$30.61$35.0023.2%6.7%26.0%10.9%24.4%-5.1%2.9%-11.3K354.2K-3.4K0.3397.87N/AN/A16354849725
2018-08-16$30.57$35.0024.0%6.9%26.1%11.9%23.4%3.8%2.2%-12.0K419.1K-3.4K0.3474.40N/AN/A16356848738
2018-08-17$30.72$35.0024.4%7.0%26.2%12.4%23.8%6.9%2.2%-11.7K393.6K-3.4K0.3490.30N/AN/A16054848743
2018-08-20$30.36$35.0024.3%7.0%26.2%12.3%24.6%3.1%8.7%-12.2K179.9K-3.4K0.5384.18N/AN/A14677775664
2018-08-21$31.12$35.0023.5%6.7%27.6%11.2%22.9%-5.3%-0.2%-18.9K148.2K-3.7K0.4794.28N/AN/A19592780716
2018-08-22$32.22$35.0031.4%9.0%31.2%21.2%27.3%0.6%-15.3%-10.6K-39.3K-4.2K0.4394.14N/AN/A21692829716
2018-08-23$31.69$35.0031.8%9.1%31.1%21.7%31.3%6.2%-6.2%-12.3K18.5K-3.9K0.4395.25N/AN/A21592850716
2018-08-24$32.10$35.0025.6%7.3%31.9%13.9%25.4%7.5%0.0%-11.4K-63.3K-3.9K0.4296.93N/AN/A21591840716
2018-08-27$32.32$35.0029.3%8.4%27.7%18.5%27.5%-1.4%-6.6%-10.0K-106.4K-3.7K0.4993.06N/AN/A19796840715
2018-08-28$32.16$35.0020.9%6.0%27.7%7.9%26.8%-10.3%-0.5%-11.9K-60.0K-3.7K0.4390.11N/AN/A22195846721
2018-08-29$32.57$35.0015.7%4.5%28.1%1.3%23.0%10.9%11.3%-6.3K-165.6K-4.1K0.4365.77N/AN/A22195870722
2018-08-30$32.05$35.0022.7%6.5%27.9%10.2%26.2%1.7%11.0%-10.5K-73.0K-3.7K0.4388.65N/AN/A22194857722
2018-08-31$31.65$35.0026.0%7.5%28.0%14.4%24.9%11.3%-2.6%-12.7K18.8K-3.6K0.4252.83N/AN/A21290857722