VET Options History — March 2014

In March 2014, VET traded between $56.88 and $62.86. ATM implied volatility averaged 27.4%. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 10.8% (HV 20d: 16.6%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.06.

Notable Days

  • 2014-03-21: Highest Volume — 130 contracts
  • 2014-03-25: Largest IV drop — 38.5% change
  • 2014-03-21: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.14$56.88$62.86$57.72$62.45
Max Pain$54.29$50.00$60.00$50.00$60.00
ATM IV27.4%16.1%36.9%21.3%31.1%
Expected Move7.0%4.3%9.1%6.1%8.9%
HV 20d16.6%12.8%19.4%18.2%17.8%
HV 60d15.9%14.7%17.4%15.1%17.3%
Term Structure-2.0%-8.1%8.3%-0.1%-8.1%
VWIV19.0%12.8%25.1%25.1%12.8%
Skew 25d4.6%-5.2%13.7%10.9%13.7%
Skew 10d7.0%3.7%16.7%8.6%9.8%
Call IV 25d25.1%14.3%30.9%16.8%19.0%
Put IV 25d29.7%22.4%38.0%27.7%32.7%
Bid-Ask Spread %121.08113.81126.02114.34123.03
Gamma HHI0.700.580.890.730.61
Net GEX49.9K24.0K93.4K56.2K30.3K
Net DEX-782.9K-1.2M-402.2K-798.0K-579.9K
Net VEX-1.6K-2.5K-1.2K-1.4K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.000.300.000.07
Total Volume11013000
Total OI307.286150370355190

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$57.72$50.0021.3%6.1%18.2%0.0%0.0%10.9%-0.1%56.2K-798.0K-1.4K0.00114.34N/AN/A0030946
2014-03-04$57.27$50.0026.6%7.6%16.4%0.0%25.1%3.0%-5.2%51.7K-757.9K-1.4K0.00115.28N/AN/A2030946
2014-03-05$57.54$50.0026.7%7.6%15.5%0.0%0.0%2.2%-5.8%53.3K-786.7K-1.4K0.00113.81N/AN/A5030746
2014-03-06$57.61$50.0029.7%8.5%15.3%0.0%0.0%8.7%-2.9%53.2K-835.1K-1.5K0.00125.95N/AN/A5031246
2014-03-07$57.46$0.0035.2%7.0%15.3%0.0%0.0%3.0%-4.4%53.6K-820.0K-1.5K0.00122.70N/AN/A0031746
2014-03-10$57.99$0.0034.1%4.8%15.0%0.0%0.0%8.6%3.8%56.1K-885.5K-1.5K0.00122.72N/AN/A1031746
2014-03-11$57.86$0.0034.9%4.3%14.9%0.0%0.0%12.5%6.9%55.7K-880.2K-1.5K0.00123.81N/AN/A0031846
2014-03-12$57.59$0.0036.9%6.0%15.1%0.0%0.0%2.7%-6.3%54.4K-841.3K-1.4K0.00122.08N/AN/A0231846
2014-03-13$57.38$0.0026.1%7.5%12.8%0.0%0.0%1.8%-1.1%53.3K-776.7K-1.3K0.00120.90N/AN/A0031848
2014-03-14$57.11$0.0025.4%7.3%12.8%0.0%0.0%2.6%2.0%50.8K-766.1K-1.4K0.00119.42N/AN/A0031848
2014-03-17$56.88$0.0027.0%7.7%12.8%0.0%0.0%2.1%-2.2%48.9K-737.9K-1.2K0.00121.51N/AN/A0031848
2014-03-18$58.95$0.0023.2%6.7%17.7%0.0%0.0%2.8%-5.8%60.0K-1.0M-1.3K0.00119.67N/AN/A1031848
2014-03-19$59.74$0.0024.0%6.9%18.2%0.0%0.0%1.9%-3.6%93.4K-1.2M-1.3K0.00124.36N/AN/A5031948
2014-03-20$59.36$0.0025.2%7.2%18.3%0.0%0.0%-0.1%-6.7%68.1K-1.1M-1.2K0.00124.00N/AN/A0331948
2014-03-21$60.01$0.0031.9%9.1%18.6%0.0%0.0%8.7%-5.4%80.3K-1.2M-1.2K0.00117.29N/AN/A130031951
2014-03-24$60.24$0.0026.2%7.5%18.5%0.0%0.0%1.3%-0.7%25.3K-402.2K-1.9K0.00124.16N/AN/A0013515
2014-03-25$60.86$0.0016.1%4.6%18.7%0.0%0.0%10.0%8.3%24.0K-424.4K-1.9K0.30126.02N/AN/A10313515
2014-03-26$62.42$0.0021.1%6.1%19.4%0.0%12.8%3.6%4.4%24.0K-518.6K-2.1K0.25117.44N/AN/A12314518
2014-03-27$62.86$60.0026.7%7.7%18.6%0.0%0.0%-5.2%-1.5%26.9K-550.2K-2.1K0.07121.29N/AN/A46314621
2014-03-28$62.56$60.0026.5%7.6%19.0%0.0%0.0%2.5%-7.0%28.7K-577.5K-2.5K0.00122.93N/AN/A0016624
2014-03-31$62.45$60.0031.1%8.9%17.8%0.0%0.0%13.7%-8.1%30.3K-579.9K-2.4K0.00123.03N/AN/A0016624