VET Options History — April 2014

In April 2014, VET traded between $62.35 and $66.76. ATM implied volatility averaged 25.7%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 10.3% (HV 20d: 15.4%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-04-29: Highest Volume — 7 contracts
  • 2014-04-07: Largest IV spike — 57.6% change
  • 2014-04-07: Highest IV Rank — 59.6%
  • 2014-04-02: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.32$62.35$66.76$62.45$66.76
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV25.7%18.1%37.5%23.4%28.2%
Expected Move7.1%5.2%8.8%6.7%8.1%
HV 20d15.4%11.9%18.6%17.3%12.7%
HV 60d16.7%15.4%17.3%17.3%15.4%
IV Rank26.3%5.6%59.6%12.6%33.6%
IV Percentile50.3%1.4%98.4%4.8%78.5%
Term Structure-4.8%-13.8%5.5%-8.7%-5.9%
Skew 25d2.7%-11.0%31.8%-4.2%-0.2%
Skew 10d3.9%-8.5%47.7%5.0%-7.7%
Call IV 25d24.1%13.4%33.6%21.0%31.0%
Put IV 25d26.8%16.8%50.0%16.8%30.8%
Bid-Ask Spread %120.17109.13125.06124.93125.06
Gamma HHI0.550.450.610.590.45
Net GEX31.1K26.7K37.0K29.0K26.7K
Net DEX-701.7K-828.1K-562.9K-566.7K-771.0K
Net VEX-2.1K-2.5K-1.7K-2.5K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume10700
Total OI190.048183195190189

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$62.45$60.0023.4%6.7%17.3%0.0%0.0%-4.2%-8.7%29.0K-566.7K-2.5K0.00124.93N/AN/A0016624
2014-04-02$62.81$60.0030.8%8.8%17.4%0.0%0.0%1.8%-9.3%33.2K-562.9K-2.4K0.00122.36N/AN/A0216624
2014-04-03$63.26$60.0020.7%5.9%17.3%12.6%0.0%10.2%5.5%32.1K-646.5K-2.2K0.00124.54N/AN/A0016623
2014-04-04$63.21$0.0023.8%6.2%17.2%21.4%0.0%2.9%-2.7%27.9K-623.2K-2.4K0.00121.38N/AN/A0016623
2014-04-07$62.35$0.0037.5%6.8%18.3%59.6%0.0%1.6%-4.2%30.7K-588.4K-2.3K0.00122.12N/AN/A0016623
2014-04-08$63.22$0.0025.3%7.2%18.6%25.5%0.0%3.8%-2.5%27.6K-624.3K-2.4K0.00119.54N/AN/A0016623
2014-04-09$63.70$0.0028.4%6.9%18.3%34.3%0.0%1.9%-3.3%29.7K-662.2K-2.3K0.00118.88N/AN/A3016623
2014-04-10$63.74$0.0024.5%7.0%18.1%23.4%0.0%-1.3%-6.4%34.1K-625.2K-2.4K0.00118.45N/AN/A0016923
2014-04-11$64.17$0.0024.3%7.0%17.7%22.6%0.0%2.6%-4.4%30.2K-699.6K-2.3K0.00120.80N/AN/A0016923
2014-04-14$64.36$0.0026.9%7.7%17.3%30.0%0.0%2.0%-1.7%30.3K-712.2K-2.1K0.00119.11N/AN/A0016923
2014-04-15$63.76$0.0025.1%7.2%14.2%24.9%0.0%6.8%-2.1%28.2K-676.1K-2.3K0.00119.48N/AN/A0016923
2014-04-16$63.94$0.0026.5%7.6%13.8%29.0%0.0%-0.2%-5.0%33.3K-698.4K-2.0K0.00118.68N/AN/A0016823
2014-04-17$65.18$0.0019.3%5.5%14.4%8.9%0.0%31.8%-2.5%32.8K-749.8K-2.0K0.00117.23N/AN/A0016823
2014-04-21$65.14$0.0022.6%6.5%14.3%18.1%0.0%-0.2%-2.6%33.7K-773.3K-1.9K0.00118.92N/AN/A0016823
2014-04-22$65.63$0.0026.5%7.6%14.3%28.8%0.0%4.8%-7.1%30.3K-797.8K-1.9K0.00119.96N/AN/A0016823
2014-04-23$65.43$0.0030.3%8.7%14.4%39.5%0.0%2.7%-10.8%30.8K-810.6K-1.8K0.00118.26N/AN/A4016823
2014-04-24$65.30$0.0018.1%5.2%12.0%5.6%0.0%1.4%-1.1%32.4K-828.1K-1.8K0.00109.13N/AN/A5017223
2014-04-25$64.94$0.0028.3%8.1%12.2%33.9%0.0%0.8%-10.9%37.0K-771.5K-1.8K0.00121.34N/AN/A0017023
2014-04-28$65.23$0.0030.0%8.6%11.9%38.8%0.0%-11.0%-13.8%32.3K-749.4K-1.8K0.00121.35N/AN/A0016023
2014-04-29$66.11$0.0019.2%5.5%12.5%8.6%0.0%-0.8%-0.3%30.1K-798.1K-1.7K0.00122.13N/AN/A7016023
2014-04-30$66.76$0.0028.2%8.1%12.7%33.6%0.0%-0.2%-5.9%26.7K-771.0K-2.0K0.00125.06N/AN/A0016623