VET Options History — October 2019

In October 2019, VET traded between $13.26 and $15.94. ATM implied volatility averaged 40.6%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 2.2% (HV 20d: 42.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.62.

Notable Days

  • 2019-10-31: Highest Volume — 5,532 contracts
  • 2019-10-31: Largest IV drop — 43.8% change
  • 2019-10-30: Highest IV Rank — 51.5%
  • 2019-10-30: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.07$13.26$15.94$15.94$13.26
Max Pain$15.22$15.00$17.50$17.50$15.00
ATM IV40.6%27.3%48.6%37.1%27.3%
Expected Move11.7%7.8%13.9%10.6%7.8%
HV 20d42.8%31.6%55.4%53.2%47.1%
HV 60d46.7%43.2%48.2%46.9%48.0%
IV Rank37.7%14.7%51.5%31.6%14.7%
IV Percentile70.7%4.8%89.3%58.7%4.8%
Term Structure-0.2%-7.0%12.0%9.5%12.0%
VWIV41.1%34.2%48.7%34.8%34.2%
Skew 25d-0.9%-16.7%20.9%20.1%-16.7%
Skew 10d0.5%-18.5%33.8%23.5%16.6%
Call IV 25d41.2%22.5%50.2%22.5%44.6%
Put IV 25d40.2%27.9%58.0%42.6%27.9%
Bid-Ask Spread %92.4877.3299.4792.7878.03
Gamma HHI0.360.310.380.330.31
Net GEX16.1K-28.6K67.3K14.8K-3.8K
Net DEX1.1M-709.8K3.9M307.8K3.9M
Net VEX-26.4K-29.9K-18.6K-25.1K-18.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.062.021.320.31
Total Volume921.87695,5329105,532
Total OI14,596.52211,10917,66611,10917,666

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$15.94$17.5037.1%10.6%53.2%31.6%34.8%20.1%9.5%14.8K307.8K-25.1K1.3292.78N/AN/A3925186,8384,271
2019-10-02$15.22$17.5041.6%11.9%55.4%39.4%42.5%-6.6%2.4%-14.2K1.5M-24.5K0.5077.32N/AN/A4652347,0514,717
2019-10-03$15.47$15.0042.1%12.6%54.4%40.3%46.7%3.5%-3.5%-9.2K1.2M-26.1K0.0692.51N/AN/A1,228737,2994,869
2019-10-04$15.28$15.0038.8%11.8%54.5%34.6%41.3%1.7%-2.5%-1.3K1.3M-26.3K0.1989.05N/AN/A233448,0684,909
2019-10-07$14.99$15.0040.9%11.9%53.6%38.2%41.7%-2.4%-0.5%-12.2K1.9M-24.1K0.4195.75N/AN/A3701508,1514,931
2019-10-08$14.55$15.0039.8%12.0%54.1%36.4%40.7%-1.3%-2.2%-28.6K2.4M-24.3K1.0392.85N/AN/A4174308,2225,089
2019-10-09$14.41$15.0044.4%12.7%54.0%44.3%44.4%-6.0%-2.1%-21.2K2.7M-24.6K0.2691.36N/AN/A6981808,7535,464
2019-10-10$14.72$15.0043.5%12.5%54.8%42.7%43.5%-12.2%-0.3%-9.7K2.1M-28.1K0.1492.15N/AN/A205289,3505,612
2019-10-11$15.14$15.0042.8%12.3%55.2%41.6%42.6%2.1%0.3%5.1K1.1M-29.9K0.1587.60N/AN/A589919,4445,636
2019-10-14$14.98$15.0042.1%12.1%35.7%40.4%42.2%-11.2%1.0%50.7K1.3M-27.5K1.9088.80N/AN/A29559,9315,526
2019-10-15$15.17$15.0040.6%11.6%33.3%37.7%39.6%-2.5%2.5%45.2K854.3K-28.1K0.2297.78N/AN/A176389,9535,539
2019-10-16$15.22$15.0039.6%11.3%33.4%36.0%40.0%-1.1%2.0%67.3K642.3K-27.9K0.8696.31N/AN/A857310,0015,535
2019-10-17$15.23$15.0040.4%11.6%33.1%37.3%40.7%-4.0%-1.5%54.2K753.2K-26.9K1.3299.03N/AN/A32442810,0285,512
2019-10-18$14.78$15.0040.6%11.6%33.8%37.7%40.6%-11.7%-1.5%-14.5K2.0M-24.7K0.4390.68N/AN/A31513510,0855,347
2019-10-21$15.06$15.0039.5%11.3%34.7%35.8%39.4%8.8%-3.3%-25.5K1.3M-24.5K0.2495.84N/AN/A7501778,9355,052
2019-10-22$15.39$15.0036.9%10.6%35.1%31.4%37.0%-2.2%0.4%11.3K182.3K-27.1K0.9696.44N/AN/A6135899,3715,157
2019-10-23$15.56$15.0043.2%12.4%35.3%42.2%43.1%0.5%-1.2%31.3K-345.5K-28.4K0.2398.59N/AN/A9432169,4205,214
2019-10-24$15.28$15.0040.6%11.6%35.6%37.7%40.6%-2.9%-1.7%37.3K-1.5K-28.0K1.2389.10N/AN/A313810,1765,212
2019-10-25$15.56$15.0043.3%12.4%36.6%42.5%43.4%-1.5%-3.8%58.7K-709.8K-29.0K2.0291.91N/AN/A37876410,1945,243
2019-10-28$15.43$15.0038.4%11.0%36.4%33.9%36.9%8.6%-1.7%41.3K-333.0K-26.2K0.3296.37N/AN/A80625910,2385,167
2019-10-29$15.31$15.0041.3%11.8%32.5%38.9%41.3%-5.5%-1.4%50.2K-166.7K-28.7K0.0697.36N/AN/A5763710,7725,269
2019-10-30$14.70$15.0048.6%13.9%31.6%51.5%48.7%20.9%-7.0%43.5K804.7K-27.7K0.0799.47N/AN/A1,39110011,2125,291
2019-10-31$13.26$15.0027.3%7.8%47.1%14.7%34.2%-16.7%12.0%-3.8K3.9M-18.6K0.3178.03N/AN/A4,2161,31612,1715,495