VET Options History — October 2013

In October 2013, VET traded between $54.18 and $56.28. ATM implied volatility averaged 27.1%. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 12.6% (HV 20d: 14.5%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2013-10-23: Highest Volume — 100 contracts
  • 2013-10-03: Largest IV drop — 46.3% change
  • 2013-10-02: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.26$54.18$56.28$56.28$55.05
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV27.1%21.7%52.0%52.0%26.2%
Expected Move7.9%6.2%14.9%14.9%7.5%
HV 20d14.5%12.9%15.3%15.3%12.9%
Term Structure-0.2%-17.4%9.4%-17.4%-3.2%
VWIV23.8%16.6%28.6%28.6%16.6%
Skew 25d6.4%3.3%9.1%6.8%5.6%
Skew 10d5.2%3.3%10.4%4.9%3.3%
Call IV 25d19.5%18.0%24.5%19.7%19.3%
Put IV 25d25.9%23.8%27.7%26.5%24.8%
Bid-Ask Spread %127.3783.15169.80169.80137.55
Gamma HHI0.770.441.001.000.46
Net GEX10.6K026.9K026.9K
Net DEX-153.4K-494.4K00-494.4K
Net VEX-1.1K-2.9K00-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.002.100.000.00
Total Volume16.818010000
Total OI129.86403290329

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-02$56.28$0.0052.0%14.9%0.0%0.0%0.0%0.0%-17.4%0000.00169.80N/AN/A0000
2013-10-03$55.43$0.0027.9%8.0%0.0%0.0%0.0%0.0%2.9%0000.00140.07N/AN/A0000
2013-10-04$55.53$0.0026.7%9.1%0.0%0.0%0.0%0.0%-2.4%0000.00119.44N/AN/A10000
2013-10-07$55.27$0.0028.2%9.0%0.0%0.0%0.0%0.0%-1.3%1.1K-17.5K-1320.00111.28N/AN/A390100
2013-10-08$54.98$0.0027.9%8.8%0.0%0.0%0.0%0.0%-5.6%6.1K-72.2K-6040.00109.88N/AN/A00490
2013-10-09$54.78$0.0024.7%6.6%0.0%0.0%0.0%0.0%2.1%6.1K-68.7K-5690.0083.15N/AN/A011490
2013-10-10$55.25$0.0027.1%7.8%0.0%0.0%0.0%0.0%-0.7%4.7K-38.5K-7570.00124.09N/AN/A004911
2013-10-11$55.79$0.0027.7%7.9%0.0%0.0%0.0%0.0%-1.0%4.9K-41.3K-7780.00119.03N/AN/A004911
2013-10-14$55.83$0.0025.8%7.4%0.0%0.0%0.0%0.0%2.8%5.2K-43.8K-7950.00129.59N/AN/A004911
2013-10-15$55.20$0.0028.2%8.1%0.0%0.0%28.6%0.0%-3.5%4.5K-52.2K-8120.00123.71N/AN/A034911
2013-10-16$55.10$55.0027.6%7.9%0.0%0.0%0.0%0.0%-0.9%3.7K-23.1K-7432.00125.61N/AN/A10204914
2013-10-17$55.96$55.0025.0%7.2%0.0%0.0%28.4%0.0%2.9%4.1K-57.0K-9330.00120.29N/AN/A6005924
2013-10-18$56.15$55.0023.7%6.8%0.0%0.0%22.7%0.0%4.0%16.1K-107.7K-1.2K0.00118.09N/AN/A20011924
2013-10-21$55.55$55.0026.5%7.6%0.0%0.0%0.0%6.8%-0.6%17.9K-108.4K-1.1K0.00124.08N/AN/A0013924
2013-10-22$55.29$55.0026.0%7.5%0.0%0.0%0.0%5.9%-0.2%16.4K-98.0K-1.1K0.00130.35N/AN/A0013924
2013-10-23$54.18$55.0025.8%7.4%15.3%0.0%0.0%3.3%0.8%8.3K-34.7K-8650.00128.32N/AN/A100013924
2013-10-24$54.52$55.0025.8%7.4%15.2%0.0%0.0%8.8%4.7%21.1K-424.0K-2.1K0.00132.78N/AN/A0023924
2013-10-25$54.89$55.0022.0%6.3%15.1%0.0%22.6%9.1%3.5%22.1K-442.5K-2.1K0.00133.53N/AN/A0623924
2013-10-28$54.88$55.0021.7%6.2%14.6%0.0%0.0%6.2%2.5%20.7K-433.4K-2.1K1.00136.91N/AN/A101023930
2013-10-29$54.87$55.0026.4%7.6%14.2%0.0%0.0%5.7%-2.3%18.8K-392.9K-2.3K2.10142.77N/AN/A102124939
2013-10-30$54.95$55.0022.8%6.5%13.9%0.0%16.6%6.7%9.4%23.7K-425.2K-2.9K0.00141.74N/AN/A40025960
2013-10-31$55.05$55.0026.2%7.5%12.9%0.0%0.0%5.6%-3.2%26.9K-494.4K-2.9K0.00137.55N/AN/A0026960