VET Options History — February 2014

In February 2014, VET traded between $53.72 and $57.31. ATM implied volatility averaged 25.1%. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.7% (HV 20d: 17.3%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days.

Notable Days

  • 2014-02-03: Highest Volume — 1 contracts
  • 2014-02-13: Largest IV drop — 22.2% change
  • 2014-02-06: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.03$53.72$57.31$53.72$56.38
Max Pain$51.05$50.00$55.00$55.00$50.00
ATM IV25.1%21.5%31.0%22.1%24.9%
Expected Move6.8%6.2%8.3%6.3%7.1%
HV 20d17.3%15.6%18.9%16.0%16.4%
HV 60d15.3%14.5%15.6%15.1%15.3%
Term Structure0.4%-4.1%4.1%-0.8%-4.1%
VWIV32.0%19.6%44.5%44.5%19.6%
Skew 25d3.9%-0.7%12.9%-0.7%2.3%
Skew 10d5.9%1.8%18.0%2.5%5.3%
Call IV 25d22.2%15.5%26.8%26.5%24.7%
Put IV 25d26.1%23.6%35.5%25.8%27.0%
Bid-Ask Spread %116.89113.74120.19114.63116.82
Gamma HHI0.520.410.660.410.55
Net GEX43.1K35.2K49.8K35.2K42.8K
Net DEX-674.0K-853.1K-492.4K-492.4K-646.2K
Net VEX-1.7K-2.1K-1.3K-2.0K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume0.1580110
Total OI364.684354367366355

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$53.72$55.0022.1%6.3%16.0%0.0%44.5%-0.7%-0.8%35.2K-492.4K-2.0K0.00114.63N/AN/A0131947
2014-02-04$54.69$55.0026.9%7.7%17.5%0.0%0.0%5.4%-3.0%37.1K-545.3K-2.1K0.00115.61N/AN/A0031948
2014-02-05$55.22$55.0028.7%8.2%17.9%0.0%0.0%12.9%1.1%40.6K-582.8K-1.8K0.00115.47N/AN/A0031948
2014-02-06$55.53$55.0029.1%8.3%17.5%0.0%0.0%8.7%1.2%41.6K-615.8K-1.8K0.00115.63N/AN/A0031948
2014-02-07$55.06$50.0027.7%6.4%17.6%0.0%0.0%2.3%2.2%38.8K-647.7K-1.8K0.00113.74N/AN/A0031948
2014-02-10$54.85$50.0030.0%6.8%17.7%0.0%0.0%1.0%0.3%37.3K-549.7K-1.8K0.00119.73N/AN/A0031948
2014-02-11$54.77$50.0031.0%6.7%16.6%0.0%0.0%1.3%0.1%37.9K-568.6K-1.8K0.00120.19N/AN/A0031948
2014-02-12$56.13$50.0027.6%6.2%18.9%0.0%0.0%3.1%3.0%43.3K-683.2K-1.7K0.00118.30N/AN/A0131948
2014-02-13$56.41$50.0021.5%6.2%18.8%0.0%0.0%7.0%4.1%44.3K-708.1K-1.7K0.00118.77N/AN/A0031948
2014-02-14$56.74$50.0022.6%6.5%18.0%0.0%0.0%3.0%1.4%47.0K-757.2K-1.8K0.00118.11N/AN/A0031948
2014-02-18$57.31$50.0022.1%6.3%18.2%0.0%0.0%0.6%2.4%46.3K-853.1K-1.8K0.00116.41N/AN/A0031948
2014-02-19$57.20$50.0022.8%6.5%18.2%0.0%0.0%3.2%2.0%49.8K-804.3K-1.8K0.00116.78N/AN/A0031948
2014-02-20$57.04$50.0023.5%6.7%17.7%0.0%0.0%2.1%0.1%48.9K-786.7K-1.8K0.00119.19N/AN/A0031948
2014-02-21$57.01$50.0024.2%6.9%17.5%0.0%0.0%8.8%-1.6%48.5K-767.1K-1.6K0.00118.68N/AN/A0031948
2014-02-24$56.93$50.0023.2%6.7%16.8%0.0%0.0%6.7%-1.9%47.6K-752.8K-1.4K0.00116.73N/AN/A0031945
2014-02-25$57.16$50.0021.6%6.2%15.6%0.0%0.0%3.9%0.0%49.7K-777.3K-1.5K0.00115.30N/AN/A0031945
2014-02-26$56.48$50.0023.1%6.6%16.3%0.0%19.6%1.3%1.9%43.9K-666.6K-1.4K0.00114.56N/AN/A0130945
2014-02-27$55.94$50.0023.8%6.8%16.2%0.0%0.0%1.5%-0.7%38.3K-600.3K-1.3K0.00116.31N/AN/A0030946
2014-02-28$56.38$50.0024.9%7.1%16.4%0.0%0.0%2.3%-4.1%42.8K-646.2K-1.3K0.00116.82N/AN/A0030946