VET Options History — September 2018

In September 2018, VET traded between $30.67 and $33.55. ATM implied volatility averaged 25.3%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 1.5% (HV 20d: 26.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.85.

Notable Days

  • 2018-09-25: Highest Volume — 507 contracts
  • 2018-09-05: Largest IV spike — 59.7% change
  • 2018-09-05: Highest IV Rank — 30.4%
  • 2018-09-05: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.04$30.67$33.55$30.83$33.08
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV25.3%18.3%38.7%24.2%18.3%
Expected Move7.2%5.2%11.1%6.9%5.2%
HV 20d26.8%23.4%30.1%29.1%25.7%
HV 60d26.7%25.4%27.8%27.8%26.1%
IV Rank13.4%4.6%30.4%12.1%4.6%
IV Percentile45.7%3.6%96.0%42.5%3.6%
Term Structure1.3%-9.6%8.9%5.0%4.0%
VWIV24.9%19.0%34.7%25.2%19.0%
Skew 25d-0.7%-8.8%9.1%5.7%-8.7%
Skew 10d2.5%-12.2%29.2%14.3%-8.6%
Call IV 25d26.0%22.2%30.1%22.2%23.9%
Put IV 25d25.3%15.2%37.3%28.0%15.2%
Bid-Ask Spread %84.1746.53104.3959.3946.53
Gamma HHI0.550.310.740.740.35
Net GEX-11.9K-31.6K7.2K-20.7K7.2K
Net DEX-11.6K-432.7K249.2K197.2K-221.1K
Net VEX-4.1K-5.0K-3.4K-3.4K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.251.750.441.75
Total Volume363.632223507293223
Total OI1,511.0539681,8031,5831,045

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$30.83$35.0024.2%6.9%29.1%12.1%25.2%5.7%5.0%-20.7K197.2K-3.4K0.4459.39N/AN/A20390857726
2018-09-05$30.67$35.0038.7%11.1%28.2%30.4%34.7%9.1%-9.6%-17.7K204.4K-3.5K0.2594.49N/AN/A20350858726
2018-09-06$30.98$35.0034.4%8.3%28.5%25.0%27.2%1.8%-2.3%-18.4K144.0K-3.4K0.26102.22N/AN/A19150859741
2018-09-07$31.38$35.0022.7%8.1%29.0%10.2%34.2%0.8%0.8%-19.4K124.7K-3.5K0.2681.42N/AN/A19150856741
2018-09-10$31.03$35.0023.8%7.5%29.1%11.5%24.6%-1.3%1.6%-21.9K138.1K-3.4K0.2587.40N/AN/A19749856741
2018-09-11$31.71$35.0030.1%7.8%29.7%19.5%23.9%3.3%1.0%-14.9K74.6K-3.4K0.2592.33N/AN/A19749863741
2018-09-12$32.23$35.0021.7%6.2%30.1%8.9%22.4%-3.4%8.9%-11.2K-50.3K-3.5K1.1693.15N/AN/A203236863741
2018-09-13$31.98$35.0025.8%7.4%25.4%14.2%20.6%1.7%-0.7%-22.8K158.7K-4.8K1.1488.60N/AN/A207236864939
2018-09-14$31.48$35.0027.1%7.8%26.2%15.8%25.8%-0.2%-0.5%-21.3K221.7K-4.6K1.1970.70N/AN/A207247860939
2018-09-17$31.33$35.0025.6%7.3%26.3%13.8%24.5%-2.4%2.3%-31.6K249.2K-4.5K1.1988.64N/AN/A207247860933
2018-09-18$32.02$35.0022.9%6.6%26.8%10.4%21.8%0.4%8.6%-13.9K-71.5K-4.0K1.2581.16N/AN/A197247860896
2018-09-19$32.84$35.0021.2%6.1%26.9%8.2%21.5%-3.1%2.1%-8.2K-151.7K-4.5K1.1184.98N/AN/A213237844893
2018-09-20$32.56$35.0024.8%7.1%24.3%12.8%23.4%1.6%-1.5%-6.4K-140.1K-4.2K1.1284.04N/AN/A213238862891
2018-09-21$32.64$35.0021.1%6.1%23.4%8.2%20.2%-1.1%1.0%-6.6K-146.3K-4.1K1.1887.58N/AN/A202238862891
2018-09-24$33.28$35.0020.9%6.0%24.0%7.9%22.9%-8.8%3.4%-5.2K-330.9K-3.8K0.9295.62N/AN/A238220473495
2018-09-25$33.55$35.0024.3%7.0%24.0%12.3%24.7%-5.3%-2.7%5.3K-432.7K-4.7K0.8498.87N/AN/A275232563495
2018-09-26$32.63$35.0027.8%8.0%26.1%16.7%28.9%-2.6%2.0%573-101.3K-4.9K0.83104.39N/AN/A171142556475
2018-09-27$32.53$35.0024.6%7.0%25.8%12.6%27.0%-0.6%1.8%770-86.7K-5.0K0.8357.63N/AN/A171142560485
2018-09-28$33.08$35.0018.3%5.2%25.7%4.6%19.0%-8.7%4.0%7.2K-221.1K-4.5K1.7546.53N/AN/A81142560485