VET Options History — August 2019

In August 2019, VET traded between $13.95 and $17.48. ATM implied volatility averaged 43.7%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 0.1% (HV 20d: 43.8%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2019-08-06: Highest Volume — 1,892 contracts
  • 2019-08-12: Largest IV spike — 115.2% change
  • 2019-08-13: Highest IV Rank — 76.6%
  • 2019-08-23: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.18$13.95$17.48$17.48$14.22
Max Pain$19.43$15.00$20.00$17.50$15.00
ATM IV43.7%33.4%75.3%35.8%37.9%
Expected Move11.8%9.6%14.7%10.3%10.9%
HV 20d43.8%40.1%48.4%41.7%42.5%
HV 60d37.3%34.8%39.7%35.3%39.5%
IV Rank40.7%24.3%76.6%25.9%33.6%
IV Percentile75.8%46.0%99.2%63.9%67.5%
Term Structure1.8%-19.0%48.4%0.4%0.1%
VWIV41.2%34.1%56.9%35.3%37.9%
Skew 25d3.0%-8.4%16.5%16.5%-8.0%
Skew 10d5.0%-13.2%25.7%25.7%-11.3%
Call IV 25d37.3%25.8%53.3%34.7%38.1%
Put IV 25d40.2%28.6%53.2%51.2%30.1%
Bid-Ask Spread %85.3364.31103.35103.3596.29
Gamma HHI0.450.280.660.340.40
Net GEX-12.9K-49.4K28.1K28.1K-12.7K
Net DEX1.8M580.8K2.2M580.8K1.6M
Net VEX-11.1K-13.4K-6.4K-8.3K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.054.950.390.95
Total Volume313.455291,89260539
Total OI6,191.8184,0857,5274,0857,308

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$17.48$17.5035.8%10.3%41.7%25.9%35.3%16.5%0.4%28.1K580.8K-8.3K0.39103.35N/AN/A4341712,8521,233
2019-08-02$16.84$17.5035.8%10.3%41.2%25.8%35.5%-6.6%-3.6%18.1K903.0K-6.9K2.2976.89N/AN/A1433272,8681,253
2019-08-05$16.46$20.0042.4%10.9%40.8%34.3%34.1%9.5%-2.0%7.8K1.1M-8.1K0.5180.42N/AN/A132672,9871,571
2019-08-06$15.61$20.0040.1%13.8%42.9%31.3%40.3%-5.9%-19.0%-2.1K1.5M-6.4K1.7272.15N/AN/A6961,1962,9801,632
2019-08-07$15.65$20.0054.6%12.6%42.3%50.0%42.2%7.8%-4.5%-16.9K1.9M-11.5K3.4291.02N/AN/A481643,4242,516
2019-08-08$15.74$20.0035.7%12.2%43.0%25.7%38.0%7.8%-3.6%-22.6K2.0M-11.6K0.0564.31N/AN/A16883,4642,606
2019-08-09$15.62$20.0034.6%11.7%42.1%24.3%39.9%-0.7%-5.7%-27.5K2.1M-10.9K4.9584.83N/AN/A20993,5202,609
2019-08-12$15.02$20.0074.5%13.2%41.9%75.5%45.2%3.5%-3.1%-22.8K2.1M-10.9K0.2379.18N/AN/A264603,5282,645
2019-08-13$15.39$20.0075.3%12.0%44.6%76.6%37.4%6.3%1.1%-21.8K2.0M-11.7K0.2983.37N/AN/A295863,5862,698
2019-08-14$14.76$20.0047.0%13.5%45.5%40.2%46.0%9.1%-3.5%-18.8K2.0M-11.3K0.1472.33N/AN/A358513,7612,615
2019-08-15$14.62$20.0049.5%14.2%43.7%55.6%49.4%4.3%-7.8%-18.0K2.0M-11.7K1.6693.04N/AN/A41684,0352,656
2019-08-16$14.97$20.0039.0%11.2%45.9%38.3%54.9%-8.4%-1.8%-49.4K2.0M-12.0K0.1596.64N/AN/A4874,0742,723
2019-08-19$15.28$20.0037.6%10.8%47.4%36.0%36.1%6.2%48.4%-18.0K1.9M-12.4K0.2175.26N/AN/A302643,6162,660
2019-08-20$15.03$20.0041.5%11.9%47.0%42.5%42.7%0.1%-1.6%-13.6K1.9M-12.1K1.4290.65N/AN/A12173,8122,685
2019-08-21$15.07$20.0038.5%11.1%47.4%37.6%38.5%2.5%14.1%-14.5K1.9M-12.7K0.9480.54N/AN/A69653,8222,702
2019-08-22$14.85$20.0039.6%11.4%47.0%39.4%40.8%0.3%0.0%-14.7K1.9M-12.5K1.0878.16N/AN/A51553,8872,744
2019-08-23$14.12$20.0051.2%14.7%48.4%58.4%56.9%-1.1%11.8%-10.3K2.1M-11.8K0.5587.52N/AN/A2601433,9382,762
2019-08-26$14.01$20.0042.4%12.2%41.3%43.9%42.4%7.7%-0.4%-13.6K2.2M-11.0K0.2388.51N/AN/A43104,0992,821
2019-08-27$13.95$20.0033.4%9.6%40.1%29.2%36.4%5.1%14.9%-13.5K2.2M-11.2K3.1197.38N/AN/A531654,1422,821
2019-08-28$14.72$20.0037.1%10.6%43.8%35.2%38.8%12.8%6.0%-13.4K1.9M-13.0K0.5689.59N/AN/A3361894,1892,849
2019-08-29$14.56$17.5038.0%10.9%43.4%36.7%37.5%-3.6%-0.5%-12.7K1.8M-13.4K0.6795.79N/AN/A43294,4523,075
2019-08-30$14.22$15.0037.9%10.9%42.5%33.6%37.9%-8.0%0.1%-12.7K1.6M-12.4K0.9596.29N/AN/A20194,4952,813