VET Options History — March 2019

In March 2019, VET traded between $24.57 and $26.59. ATM implied volatility averaged 32.4%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.2% (HV 20d: 27.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2019-03-18: Highest Volume — 236 contracts
  • 2019-03-08: Largest IV spike — 60.5% change
  • 2019-03-11: Highest IV Rank — 45.8%
  • 2019-03-06: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.29$24.57$26.59$25.49$24.70
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV32.4%25.4%51.4%25.4%32.4%
Expected Move9.2%7.3%13.1%7.3%10.5%
HV 20d27.2%24.4%28.5%24.4%27.9%
HV 60d35.1%29.7%39.9%39.8%29.7%
IV Rank21.5%12.5%45.8%12.5%21.4%
IV Percentile57.5%27.0%94.8%27.0%61.5%
Term Structure-0.1%-8.7%10.9%1.8%4.2%
VWIV32.1%22.5%45.3%28.3%35.4%
Skew 25d2.5%-11.7%12.9%11.1%-11.7%
Skew 10d6.5%-13.9%27.7%17.9%-13.9%
Call IV 25d30.7%19.1%40.1%27.1%35.9%
Put IV 25d33.2%24.3%38.2%38.2%24.3%
Bid-Ask Spread %92.4478.91114.5395.6890.53
Gamma HHI0.480.230.660.280.59
Net GEX14.3K-23.4K39.7K-5.6K39.7K
Net DEX-583.0K-1.0M326.9K-527.8K-784.2K
Net VEX-4.7K-5.8K-3.8K-4.8K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.056.001.870.18
Total Volume81.2861423666134
Total OI1,574.5711,0431,8771,7681,514

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$25.49$25.0025.4%7.3%24.4%12.5%28.3%11.1%1.8%-5.6K-527.8K-4.8K1.8795.68N/AN/A23431,023745
2019-03-04$26.33$25.0027.5%7.9%26.5%15.2%22.5%3.8%-0.2%708-904.7K-4.3K0.1292.95N/AN/A1721,015742
2019-03-05$26.59$25.0029.3%8.4%26.6%17.5%30.7%12.9%-1.5%8.9K-1.0M-4.2K2.8795.64N/AN/A15431,017744
2019-03-06$26.09$25.0045.6%13.1%27.6%38.4%45.3%10.2%-1.6%2.3K-733.6K-4.4K2.6997.12N/AN/A16431,021749
2019-03-07$26.03$25.0026.0%7.5%27.5%13.3%28.5%9.2%1.3%-77-839.5K-4.3K1.1196.38N/AN/A46511,025749
2019-03-08$25.19$25.0041.7%12.0%26.4%33.5%42.1%0.1%-7.4%-4.1K-355.9K-4.4K0.3899.94N/AN/A55211,036759
2019-03-11$25.11$25.0051.4%8.7%26.1%45.8%0.0%3.3%-5.9%-8.4K-295.6K-4.2K0.0078.91N/AN/A0471,036757
2019-03-12$24.57$25.0027.7%8.7%27.6%15.4%30.6%1.9%4.4%-15.5K-56.9K-4.1K5.3884.25N/AN/A13701,036789
2019-03-13$24.86$25.0034.2%8.9%27.6%23.8%23.7%4.0%-3.8%-11.0K-182.6K-4.1K2.2684.15N/AN/A27611,034779
2019-03-14$24.70$25.0030.1%9.0%26.9%18.5%31.5%1.3%1.2%-23.4K-67.4K-4.0K0.6982.68N/AN/A62431,060779
2019-03-15$24.93$25.0030.9%8.0%27.0%19.5%26.4%2.0%-3.1%5.5K326.9K-3.8K0.39102.71N/AN/A76301,075802
2019-03-18$25.45$0.0030.8%10.1%27.6%19.4%0.0%5.5%4.6%25.1K-635.4K-4.0K0.05102.12N/AN/A22511736307
2019-03-19$25.02$0.0034.4%8.1%27.3%24.0%30.0%2.8%-8.7%35.2K-759.9K-5.1K1.8085.27N/AN/A2545960318
2019-03-20$25.70$25.0029.3%11.2%28.5%17.5%39.1%-2.8%10.9%37.7K-924.4K-5.3K1.57114.53N/AN/A3047978342
2019-03-21$25.74$25.0029.4%8.9%26.0%17.6%31.7%-4.5%1.3%37.6K-964.9K-5.3K2.3593.55N/AN/A2047988342
2019-03-22$25.06$25.0029.7%8.8%27.5%18.0%32.4%4.7%0.8%35.0K-730.8K-5.1K0.8889.20N/AN/A1715985342
2019-03-25$24.85$25.0032.5%9.4%27.6%21.6%0.0%0.3%0.4%34.9K-659.7K-4.9K6.0082.17N/AN/A212985346
2019-03-26$25.16$25.0030.8%8.8%27.9%19.4%0.0%-7.0%-0.4%34.2K-771.1K-5.2K0.6792.71N/AN/A1812987358
2019-03-27$24.88$25.0029.2%8.4%27.8%17.4%0.0%-2.0%1.3%34.1K-657.9K-5.2K0.3698.44N/AN/A76271,002358
2019-03-28$24.65$25.0032.3%9.0%27.9%21.3%35.2%7.6%-1.4%37.0K-707.9K-5.4K0.1182.38N/AN/A126141,063383
2019-03-29$24.70$25.0032.4%10.5%27.9%21.4%35.4%-11.7%4.2%39.7K-784.2K-5.8K0.1890.53N/AN/A114201,120394