VET Options History — July 2019

In July 2019, VET traded between $17.05 and $22.02. ATM implied volatility averaged 32.2%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 0.4% (HV 20d: 32.6%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2019-07-30: Highest Volume — 752 contracts
  • 2019-07-10: Largest IV spike — 68.5% change
  • 2019-07-26: Highest IV Rank — 33.8%
  • 2019-07-26: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.39$17.05$22.02$21.80$17.91
Max Pain$21.48$17.50$25.00$22.50$17.50
ATM IV32.2%18.8%42.0%30.0%33.7%
Expected Move9.6%8.3%12.0%8.6%9.7%
HV 20d32.6%28.2%42.1%30.0%42.1%
HV 60d32.4%30.9%35.9%31.6%35.9%
IV Rank21.2%4.0%33.8%18.5%23.2%
IV Percentile48.0%1.2%81.7%37.3%54.0%
Term Structure-0.4%-5.8%4.1%1.8%1.0%
VWIV32.6%27.8%39.5%30.0%33.5%
Skew 25d9.2%-5.9%22.9%6.0%12.7%
Skew 10d12.1%-10.0%29.0%14.2%29.0%
Call IV 25d27.0%14.6%36.6%28.8%32.9%
Put IV 25d36.2%26.5%45.6%34.7%45.6%
Bid-Ask Spread %82.1027.09103.0087.5589.59
Gamma HHI0.450.280.690.450.33
Net GEX13.8K-58.4K51.6K21.6K25.4K
Net DEX270.3K-281.3K1.2M-155.1K476.1K
Net VEX-5.9K-8.1K-3.9K-6.6K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.023.950.020.52
Total Volume252.90930752170718
Total OI2,307.8641,9063,7691,9063,769

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$21.80$22.5030.0%8.6%30.0%18.5%30.0%6.0%1.8%21.6K-155.1K-6.6K0.0287.55N/AN/A16731,177729
2019-07-02$20.90$22.5036.7%10.5%33.2%27.0%36.1%17.2%-0.9%12.6K145.7K-6.1K3.9582.18N/AN/A20791,232737
2019-07-03$21.19$22.5038.5%11.0%32.3%29.3%33.2%22.9%-1.9%14.9K101.5K-6.4K2.2589.03N/AN/A20451,229763
2019-07-05$21.63$25.0028.2%9.1%32.8%16.2%31.7%10.7%-1.4%25.2K-111.4K-6.5K1.1051.70N/AN/A69761,229733
2019-07-08$21.74$25.0024.7%9.6%32.6%11.6%34.9%9.7%-1.5%24.8K-175.8K-6.8K1.1175.87N/AN/A18201,278779
2019-07-09$21.64$22.5018.8%9.1%32.1%4.0%31.9%9.3%-0.9%27.5K-127.2K-6.7K0.8866.73N/AN/A16141,289789
2019-07-10$21.88$22.5031.7%9.1%30.6%20.6%31.9%5.5%0.2%36.9K-233.9K-6.7K0.5184.97N/AN/A70361,294793
2019-07-11$21.70$22.5030.6%8.8%29.1%19.2%31.7%8.6%0.3%39.0K-93.3K-6.7K0.9578.15N/AN/A37351,338819
2019-07-12$21.89$22.5030.1%8.6%29.1%18.5%33.6%11.4%0.7%48.9K-226.5K-6.8K0.8674.96N/AN/A44381,344820
2019-07-15$22.02$22.5030.6%8.8%28.2%19.1%29.8%4.7%0.4%51.6K-281.3K-6.8K0.0277.88N/AN/A19341,356828
2019-07-16$21.55$22.5029.0%8.3%28.8%17.2%31.1%6.0%1.4%12.0K148.4K-5.6K0.1386.82N/AN/A88111,221827
2019-07-17$21.20$22.5034.1%9.8%29.3%23.7%34.2%6.1%-0.7%-788244.5K-5.3K0.0991.18N/AN/A9181,260831
2019-07-18$20.12$22.5033.8%9.7%34.5%23.3%32.5%7.6%-0.3%-21.7K583.4K-4.7K0.4691.96N/AN/A100461,264834
2019-07-19$19.98$20.0032.7%9.4%32.5%21.9%27.8%2.2%1.0%-58.4K659.0K-4.6K0.3394.42N/AN/A214701,273879
2019-07-22$19.89$20.0035.1%10.1%32.5%24.9%36.0%13.3%-3.2%-11.9K669.9K-4.8K0.0596.15N/AN/A394181,080855
2019-07-23$19.96$20.0035.3%10.1%32.5%25.2%30.2%9.6%-3.0%9.9K319.9K-5.8K0.2080.46N/AN/A178351,422872
2019-07-24$19.68$20.0034.7%10.0%32.6%24.5%31.1%11.6%-1.3%9.2K412.9K-5.4K0.3681.54N/AN/A217781,415881
2019-07-25$19.09$20.0031.1%8.9%30.8%19.8%39.5%13.6%4.1%8.2K645.2K-5.4K0.3596.33N/AN/A255881,545908
2019-07-26$18.49$20.0042.0%12.0%31.0%33.8%31.0%17.9%-5.8%5.5K838.4K-5.2K0.1698.58N/AN/A587961,591970
2019-07-29$17.05$20.0035.3%10.1%40.2%25.2%35.4%-5.9%0.4%5.5K1.2M-3.9K0.55103.00N/AN/A3331832,0621,029
2019-07-30$17.34$17.5031.4%9.0%41.0%20.2%31.3%1.0%1.0%18.6K944.9K-5.4K0.5827.09N/AN/A4752772,2891,140
2019-07-31$17.91$17.5033.7%9.7%42.1%23.2%33.5%12.7%1.0%25.4K476.1K-8.1K0.5289.59N/AN/A4712472,5511,218