VET Options History — November 2013

In November 2013, VET traded between $54.87 and $57.00. ATM implied volatility averaged 25.7%. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 11.3% (HV 20d: 14.4%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-11-04: Highest Volume — 20 contracts
  • 2013-11-26: Largest IV spike — 36.7% change
  • 2013-11-26: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.91$54.87$57.00$54.87$55.33
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV25.7%21.2%33.7%26.0%23.4%
Expected Move6.8%5.6%8.6%7.5%6.7%
HV 20d14.4%12.8%16.4%12.9%15.0%
Term Structure1.0%-5.0%6.2%1.2%2.2%
VWIV24.5%16.6%35.5%23.9%35.5%
Skew 25d6.9%-0.5%25.2%6.4%2.0%
Skew 10d8.9%0.8%33.4%3.5%14.4%
Call IV 25d18.7%13.3%21.8%18.1%21.8%
Put IV 25d25.6%20.2%38.9%24.5%23.8%
Bid-Ask Spread %124.3798.04144.83143.96140.56
Gamma HHI0.410.330.530.420.33
Net GEX23.4K14.5K39.5K24.9K16.0K
Net DEX-544.4K-653.1K-444.8K-453.6K-496.9K
Net VEX-3.0K-3.2K-2.7K-2.9K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume6.2502000
Total OI333.3292386329332

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$54.87$55.0026.0%7.5%12.9%0.0%0.0%6.4%1.2%24.9K-453.6K-2.9K0.00143.96N/AN/A0026960
2013-11-04$55.56$55.0027.1%6.8%13.6%0.0%0.0%9.9%1.5%29.0K-500.6K-2.7K0.00115.97N/AN/A20026960
2013-11-05$55.12$55.0028.5%6.6%13.8%0.0%0.0%7.1%2.9%27.2K-503.8K-3.0K0.00119.80N/AN/A0028460
2013-11-06$55.42$55.0029.0%7.5%13.8%0.0%0.0%6.6%-0.2%28.5K-522.4K-3.0K0.00124.68N/AN/A10028460
2013-11-07$55.99$55.0024.9%7.5%14.0%0.0%0.0%5.5%-0.0%30.9K-570.1K-3.1K0.00114.08N/AN/A0029460
2013-11-08$56.75$55.0026.7%6.5%14.4%0.0%0.0%9.7%6.2%39.5K-653.1K-2.9K0.00120.82N/AN/A0029460
2013-11-11$56.04$55.0033.7%7.2%15.1%0.0%0.0%6.3%0.8%31.5K-594.4K-2.9K0.00127.16N/AN/A10029460
2013-11-12$55.32$55.0027.5%6.9%15.3%0.0%23.9%6.1%1.0%29.1K-568.5K-2.9K0.0098.04N/AN/A02030460
2013-11-13$56.25$55.0031.5%5.6%16.4%0.0%16.6%6.5%5.5%23.0K-508.4K-3.0K0.00111.77N/AN/A20030480
2013-11-14$56.23$55.0022.5%6.4%15.4%0.0%0.0%7.0%-0.2%25.3K-567.1K-2.9K0.00100.18N/AN/A0030680
2013-11-15$56.31$55.0022.9%6.6%15.4%0.0%0.0%6.4%-0.8%25.5K-607.5K-3.0K0.00131.83N/AN/A0530680
2013-11-18$56.12$55.0023.1%6.6%14.9%0.0%0.0%10.4%-2.3%16.6K-555.9K-2.9K0.00129.57N/AN/A5021676
2013-11-19$55.95$55.0023.8%6.8%14.9%0.0%0.0%-0.5%-0.2%16.4K-546.7K-3.0K0.00129.80N/AN/A0022176
2013-11-20$56.39$55.0021.7%6.2%12.8%0.0%22.0%4.1%3.5%17.3K-566.6K-2.9K0.00134.86N/AN/A5022176
2013-11-21$56.40$55.0021.7%6.2%12.8%0.0%0.0%5.4%2.5%17.6K-579.5K-3.0K0.00132.67N/AN/A0022676
2013-11-22$57.00$55.0021.2%6.1%13.0%0.0%0.0%25.2%-0.7%19.3K-594.1K-3.0K0.00116.45N/AN/A0022676
2013-11-25$56.12$55.0022.1%6.3%14.4%0.0%0.0%4.6%2.8%17.6K-554.0K-3.0K0.00134.19N/AN/A0022676
2013-11-26$55.64$55.0030.1%8.6%14.8%0.0%35.5%2.4%-0.4%18.5K-500.9K-2.9K0.00144.83N/AN/A01022676
2013-11-27$55.35$55.0027.5%7.9%15.0%0.0%0.0%7.2%-5.0%14.5K-444.8K-2.8K0.00116.20N/AN/A20022686
2013-11-29$55.33$55.0023.4%6.7%15.0%0.0%0.0%2.0%2.2%16.0K-496.9K-3.2K0.00140.56N/AN/A0024686