VET Options History — December 2013

In December 2013, VET traded between $55.19 and $58.62. ATM implied volatility averaged 22.9%. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 7.7% (HV 20d: 15.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.02.

Notable Days

  • 2013-12-18: Highest Volume — 55 contracts
  • 2013-12-12: Largest IV drop — 38.5% change
  • 2013-12-03: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.37$55.19$58.62$55.19$58.62
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV22.9%18.0%30.8%22.4%21.2%
Expected Move6.2%5.2%7.8%6.4%6.1%
HV 20d15.2%13.7%17.0%14.9%13.7%
HV 60d14.5%13.9%14.9%14.9%13.9%
Term Structure0.1%-4.6%7.9%0.1%-1.7%
VWIV21.3%16.7%25.8%25.8%16.7%
Skew 25d1.5%-1.5%5.2%2.4%-0.4%
Skew 10d2.4%-2.6%15.8%3.7%0.7%
Call IV 25d21.2%15.2%25.7%21.6%23.4%
Put IV 25d22.7%15.7%29.8%24.0%23.0%
Bid-Ask Spread %118.54112.88146.97146.97117.31
Gamma HHI0.460.320.760.320.56
Net GEX26.7K11.5K41.4K14.4K41.2K
Net DEX-817.8K-1.0M-503.5K-503.5K-1.0M
Net VEX-2.9K-3.3K-1.8K-3.2K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.100.000.00
Total Volume4.71405521
Total OI352.619332411332350

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$55.19$55.0022.4%6.4%14.9%0.0%0.0%2.4%0.1%14.4K-503.5K-3.2K0.00146.97N/AN/A2024686
2013-12-03$56.64$55.0027.4%7.8%17.0%0.0%25.8%5.2%-0.2%20.2K-635.1K-2.9K0.10122.27N/AN/A10124886
2013-12-04$56.60$55.0021.9%6.3%16.7%0.0%16.7%4.1%7.0%18.7K-626.2K-3.1K0.00122.39N/AN/A20024886
2013-12-05$56.86$55.0024.7%7.1%16.7%0.0%0.0%1.8%0.2%21.4K-710.2K-3.1K0.00130.79N/AN/A0026386
2013-12-06$56.61$0.0025.3%6.7%16.4%0.0%0.0%-1.5%-2.7%20.2K-691.9K-3.1K0.00114.65N/AN/A0026386
2013-12-09$56.90$0.0027.4%6.0%15.8%0.0%0.0%2.6%-0.6%22.4K-760.5K-2.7K0.00115.10N/AN/A0026386
2013-12-10$57.57$0.0029.2%5.8%15.6%0.0%0.0%2.3%-2.6%25.2K-760.4K-2.9K0.00114.74N/AN/A0026386
2013-12-11$56.90$0.0030.8%7.1%15.4%0.0%0.0%0.4%-4.6%20.9K-736.6K-3.0K0.00114.39N/AN/A0026386
2013-12-12$56.90$0.0018.9%5.4%14.4%0.0%0.0%1.3%7.7%21.4K-727.1K-2.9K0.00112.88N/AN/A0026386
2013-12-13$57.59$0.0020.2%5.8%14.9%0.0%0.0%1.9%1.8%14.6K-871.3K-2.0K0.00116.10N/AN/A0026386
2013-12-16$57.59$0.0019.9%5.7%14.9%0.0%0.0%0.1%1.2%24.0K-800.5K-2.8K0.00114.05N/AN/A0026386
2013-12-17$57.04$0.0023.5%6.7%15.3%0.0%0.0%0.9%-1.3%22.0K-744.5K-2.7K0.00114.25N/AN/A0026386
2013-12-18$56.88$0.0021.7%6.2%15.3%0.0%0.0%3.6%-1.4%11.5K-802.8K-1.8K0.00120.40N/AN/A55026386
2013-12-19$57.23$0.0020.9%6.0%15.2%0.0%0.0%1.9%4.2%33.0K-835.6K-3.3K0.00114.92N/AN/A10031886
2013-12-20$58.00$0.0018.0%5.2%15.9%0.0%0.0%0.5%7.9%38.7K-950.4K-3.3K0.00114.14N/AN/A0032586
2013-12-23$58.07$0.0020.2%5.8%15.5%0.0%0.0%0.1%-2.9%41.1K-965.3K-3.1K0.00114.40N/AN/A0030545
2013-12-24$58.31$0.0021.2%6.1%14.2%0.0%0.0%1.9%-3.0%33.3K-1.0M-2.5K0.00116.31N/AN/A0030545
2013-12-26$58.57$0.0022.3%6.4%13.7%0.0%0.0%0.9%-3.0%34.7K-1.0M-2.5K0.00119.13N/AN/A0030545
2013-12-27$58.20$0.0022.2%6.4%13.8%0.0%0.0%1.8%-3.1%41.4K-947.8K-3.0K0.00117.41N/AN/A0030545
2013-12-30$58.57$0.0020.9%6.0%13.8%0.0%0.0%-0.1%-1.2%40.1K-1.0M-3.0K0.00116.68N/AN/A0030545
2013-12-31$58.62$0.0021.2%6.1%13.7%0.0%0.0%-0.4%-1.7%41.2K-1.0M-3.0K0.00117.31N/AN/A1030545