VET Options History — January 2014

In January 2014, VET traded between $54.87 and $58.47. ATM implied volatility averaged 26.5%. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 13.4% (HV 20d: 13.1%). 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 9 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-01-17: Highest Volume — 20 contracts
  • 2014-01-16: Largest IV drop — 49.9% change
  • 2014-01-30: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.72$54.87$58.47$58.26$54.87
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV26.5%21.0%42.0%21.1%26.6%
Expected Move6.6%5.5%7.9%6.0%7.6%
HV 20d13.1%11.0%14.9%11.0%14.6%
HV 60d14.2%13.7%14.8%13.9%14.5%
Term Structure-0.8%-5.7%6.0%-4.7%0.0%
VWIV24.8%22.8%26.8%22.8%26.8%
Skew 25d1.9%-2.4%4.6%1.1%3.7%
Skew 10d4.2%-1.8%9.8%3.0%7.4%
Call IV 25d22.4%18.9%26.4%24.1%25.8%
Put IV 25d24.2%20.4%29.8%25.2%29.5%
Bid-Ask Spread %115.71110.02120.19115.33116.37
Gamma HHI0.520.430.770.580.43
Net GEX42.1K35.8K48.7K41.3K38.1K
Net DEX-781.4K-1.0M-565.4K-1.0M-565.4K
Net VEX-2.5K-3.2K-2.1K-2.9K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.71402000
Total OI355.667341366351366

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$58.26$0.0021.1%6.0%11.0%0.0%0.0%1.1%-4.7%41.3K-1.0M-2.9K0.00115.33N/AN/A0030645
2014-01-03$58.20$0.0022.8%6.5%11.1%0.0%0.0%3.0%-4.8%35.8K-1.0M-2.4K0.00116.15N/AN/A0030645
2014-01-06$58.47$0.0024.6%5.9%11.1%0.0%0.0%2.9%3.3%36.8K-1.0M-2.3K0.00114.10N/AN/A0030645
2014-01-07$57.90$0.0022.1%6.1%11.6%0.0%0.0%1.7%2.4%40.0K-919.2K-3.2K0.00112.65N/AN/A0030645
2014-01-08$57.02$0.0029.4%6.6%12.9%0.0%0.0%1.5%-4.0%43.7K-827.1K-2.9K0.00115.88N/AN/A0030645
2014-01-09$56.92$0.0027.0%5.5%12.1%0.0%0.0%2.9%0.2%43.8K-750.0K-2.6K0.00116.31N/AN/A0030645
2014-01-10$56.84$0.0029.7%5.6%11.4%0.0%0.0%2.1%4.2%43.1K-748.4K-2.7K0.00116.44N/AN/A10030645
2014-01-13$55.84$0.0033.6%6.6%13.0%0.0%0.0%3.6%0.7%40.6K-684.8K-2.6K0.00116.27N/AN/A0030645
2014-01-14$56.12$0.0035.3%6.2%12.3%0.0%0.0%3.3%-2.2%42.7K-706.2K-2.4K0.00118.36N/AN/A0030645
2014-01-15$56.50$0.0042.0%6.8%12.6%0.0%0.0%3.3%-4.5%43.4K-735.4K-2.1K0.00115.68N/AN/A1029645
2014-01-16$57.39$0.0021.0%6.0%13.5%0.0%22.8%-2.2%6.0%44.3K-777.3K-2.5K0.00110.02N/AN/A0129645
2014-01-17$57.75$55.0021.3%6.1%13.6%0.0%0.0%2.5%3.4%44.4K-816.9K-2.5K0.00114.51N/AN/A20029646
2014-01-21$57.67$55.0022.2%6.4%13.4%0.0%0.0%1.9%-2.0%48.7K-852.4K-2.7K0.00117.55N/AN/A3031646
2014-01-22$56.93$55.0025.1%7.2%13.3%0.0%0.0%-2.4%-1.4%43.8K-790.1K-2.8K0.00114.34N/AN/A0031946
2014-01-23$57.27$55.0023.5%6.7%13.5%0.0%0.0%3.5%-2.3%47.6K-817.3K-2.6K0.00118.18N/AN/A0031946
2014-01-24$56.47$55.0022.4%6.4%14.2%0.0%0.0%1.3%0.1%45.5K-752.1K-2.5K0.00120.19N/AN/A0031946
2014-01-27$55.56$55.0026.8%7.7%14.9%0.0%26.8%-1.8%-4.9%41.3K-732.8K-2.2K0.00112.46N/AN/A0131946
2014-01-28$55.43$55.0025.5%7.3%14.8%0.0%0.0%2.0%-0.9%40.1K-611.3K-2.2K0.00119.54N/AN/A0031947
2014-01-29$54.89$55.0026.5%7.6%14.7%0.0%0.0%1.1%-5.7%39.0K-654.4K-2.1K0.00116.48N/AN/A0031947
2014-01-30$54.87$55.0027.6%7.9%14.6%0.0%0.0%4.6%-0.0%39.3K-633.5K-2.2K0.00113.01N/AN/A0031947
2014-01-31$54.87$55.0026.6%7.6%14.6%0.0%0.0%3.7%0.0%38.1K-565.4K-2.2K0.00116.37N/AN/A0031947