VET Options History — September 2019

In September 2019, VET traded between $14.07 and $18.26. ATM implied volatility averaged 38.0%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 10.0% (HV 20d: 48.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2019-09-17: Highest Volume — 2,233 contracts
  • 2019-09-16: Largest IV spike — 38.8% change
  • 2019-09-16: Highest IV Rank — 51.5%
  • 2019-09-16: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.42$14.07$18.26$14.07$16.73
Max Pain$16.38$15.00$17.50$15.00$17.50
ATM IV38.0%32.7%48.3%38.8%36.1%
Expected Move10.9%7.7%13.9%11.1%10.4%
HV 20d48.1%38.3%56.7%42.2%49.7%
HV 60d44.1%39.3%47.6%39.3%46.1%
IV Rank33.9%24.7%51.5%35.2%30.5%
IV Percentile64.2%42.1%88.9%71.8%54.0%
Term Structure2.9%-7.4%38.8%-0.2%3.4%
VWIV38.0%33.5%48.1%35.4%36.2%
Skew 25d0.8%-8.1%12.0%-8.1%-6.1%
Skew 10d2.3%-11.4%26.2%-11.0%-5.2%
Call IV 25d36.9%29.1%46.0%39.6%34.7%
Put IV 25d37.7%28.6%50.6%31.5%28.6%
Bid-Ask Spread %91.4271.88105.2792.4497.70
Gamma HHI0.310.280.390.390.32
Net GEX39.8K-11.3K84.7K-11.3K51.3K
Net DEX-1.2M-4.6M1.8M1.8M-1.0M
Net VEX-22.5K-28.5K-11.7K-11.7K-26.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.072.950.720.84
Total Volume598.15562,233647158
Total OI10,146.27,33812,3677,33811,016

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$14.07$15.0038.8%11.1%42.2%35.2%35.4%-8.1%-0.2%-11.3K1.8M-11.7K0.7292.44N/AN/A3762714,5112,827
2019-09-04$14.53$15.0036.9%10.6%40.9%31.9%36.9%-4.7%2.1%-7.5K1.5M-14.4K0.7091.82N/AN/A1831284,9423,216
2019-09-05$15.03$15.0032.8%7.7%43.0%24.9%36.4%6.6%9.3%-3.1K974.7K-16.0K0.44105.27N/AN/A113505,0543,275
2019-09-06$15.20$15.0032.7%10.3%43.2%24.7%33.5%4.5%2.4%-683684.7K-16.8K0.4184.05N/AN/A2921205,0883,315
2019-09-09$15.68$15.0040.9%11.6%44.6%38.8%36.8%6.7%0.6%6.8K109.6K-18.4K0.0890.41N/AN/A773655,3703,423
2019-09-10$15.91$15.0037.3%11.5%42.3%32.5%39.9%0.9%-0.4%24.3K-490.9K-20.4K0.5187.21N/AN/A2931485,9373,437
2019-09-11$15.97$15.0039.7%11.4%41.6%36.7%35.9%12.0%2.2%26.9K-595.2K-21.4K0.1787.50N/AN/A7941366,1403,441
2019-09-12$16.02$15.0037.8%10.8%38.3%33.3%35.9%2.5%0.6%32.3K-478.7K-20.9K0.7793.20N/AN/A2581996,3643,532
2019-09-13$16.38$15.0034.8%10.0%38.4%28.3%33.9%2.7%3.2%44.6K-1.4M-21.9K0.2393.62N/AN/A296686,5203,535
2019-09-16$18.26$17.5048.3%13.9%52.8%51.5%48.1%4.7%-7.4%84.7K-4.6M-25.7K0.0992.62N/AN/A1,6661486,7533,559
2019-09-17$17.38$17.5042.9%12.3%56.7%42.2%43.3%-2.6%-3.5%81.7K-3.2M-24.8K2.9571.88N/AN/A5651,6687,1283,608
2019-09-18$17.12$17.5036.4%10.4%56.6%31.1%37.3%-5.4%0.7%48.7K-1.6M-26.0K0.3399.96N/AN/A284937,2774,994
2019-09-19$17.26$17.5037.5%10.8%56.6%32.9%47.1%-1.9%0.4%60.2K-1.9M-26.9K0.6096.75N/AN/A35217,3185,049
2019-09-20$17.36$17.5034.9%10.0%56.0%28.5%35.5%-0.3%3.0%80.7K-2.2M-25.7K0.4488.07N/AN/A4922157,2985,045
2019-09-23$17.47$17.5039.2%11.2%51.6%35.8%39.2%2.1%38.8%51.6K-2.8M-25.4K0.2490.30N/AN/A4481066,4173,867
2019-09-24$16.95$17.5040.2%11.5%53.3%37.6%40.1%-6.3%-0.3%49.2K-2.0M-26.2K1.5196.73N/AN/A2023066,6983,885
2019-09-25$17.07$17.5035.1%10.1%53.0%28.8%35.1%5.2%4.9%60.4K-2.2M-26.2K0.8384.93N/AN/A3693056,8423,894
2019-09-26$17.02$17.5037.7%10.8%50.6%33.2%37.6%6.3%0.7%52.9K-2.3M-26.5K0.0789.55N/AN/A201157,1284,196
2019-09-27$16.97$17.5040.9%11.7%50.3%38.8%36.8%-3.6%-3.1%61.3K-1.8M-28.5K0.7294.39N/AN/A60436,8174,208
2019-09-30$16.73$17.5036.1%10.4%49.7%30.5%36.2%-6.1%3.4%51.3K-1.0M-26.6K0.8497.70N/AN/A86726,7824,234