VET Options History — May 2014

In May 2014, VET traded between $64.49 and $67.36. ATM implied volatility averaged 28.8%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 14.2% (HV 20d: 14.6%). Max pain ranged from $45.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.02.

Notable Days

  • 2014-05-29: Highest Volume — 46 contracts
  • 2014-05-15: Largest IV drop — 71.1% change
  • 2014-05-14: Highest IV Rank — 100.0%
  • 2014-05-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.16$64.49$67.36$66.10$67.17
Max Pain$54.47$45.00$65.00$45.00$65.00
ATM IV28.8%16.5%57.6%28.9%26.0%
Expected Move6.4%4.7%8.3%8.3%7.4%
HV 20d14.6%11.9%16.2%13.5%14.7%
HV 60d15.6%15.1%16.3%15.3%15.2%
IV Rank33.4%0.8%100.0%35.7%23.7%
IV Percentile56.1%0.6%100.0%82.1%52.7%
Term Structure-3.2%-9.1%4.3%-8.8%-6.7%
VWIV22.5%20.1%24.0%23.0%24.0%
Skew 25d5.4%-4.5%26.8%3.0%-0.8%
Skew 10d12.2%-12.2%54.7%4.3%-10.3%
Call IV 25d21.7%14.3%33.6%33.6%27.1%
Put IV 25d27.1%16.1%48.1%36.5%26.4%
Bid-Ask Spread %118.51113.67123.12122.24120.69
Gamma HHI0.430.350.540.480.35
Net GEX32.8K27.6K42.9K29.6K33.2K
Net DEX-774.1K-879.7K-613.0K-788.8K-650.4K
Net VEX-1.8K-2.2K-1.5K-1.8K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.170.000.00
Total Volume6.47604602
Total OI201.286186231189206

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$66.10$0.0028.9%8.3%13.5%35.7%0.0%3.0%-8.8%29.6K-788.8K-1.8K0.00122.24N/AN/A0016623
2014-05-02$66.30$0.0023.4%6.7%13.4%20.4%0.0%-4.5%-6.8%31.1K-790.3K-1.8K0.00121.60N/AN/A0016623
2014-05-05$66.46$45.0033.6%6.6%13.3%48.8%23.0%11.9%-6.4%35.7K-837.0K-1.5K0.00113.67N/AN/A1016623
2014-05-06$66.67$45.0034.0%7.3%11.9%49.9%0.0%8.3%-6.9%32.5K-807.4K-1.7K0.00116.57N/AN/A3016723
2014-05-07$65.80$45.0036.5%5.2%12.6%56.8%20.1%4.3%-2.1%31.7K-768.2K-2.0K0.00115.97N/AN/A1017023
2014-05-08$64.94$45.0025.7%5.3%13.5%26.6%0.0%2.5%0.9%33.1K-767.7K-1.8K0.00114.51N/AN/A0016923
2014-05-09$64.49$45.0035.5%6.4%13.7%54.0%22.8%4.5%-5.3%42.9K-704.4K-1.7K0.00115.48N/AN/A10016923
2014-05-12$65.75$45.0042.7%6.4%15.2%74.0%0.0%13.7%-2.0%37.2K-766.4K-1.7K0.00116.81N/AN/A0016823
2014-05-13$66.18$45.0042.8%5.4%15.3%74.5%0.0%8.2%1.6%34.6K-756.4K-1.9K0.00119.98N/AN/A0016823
2014-05-14$66.12$45.0057.6%6.9%14.8%100.0%24.0%1.9%-4.3%33.2K-799.2K-1.6K0.17119.86N/AN/A6116823
2014-05-15$65.44$60.0016.6%4.8%15.4%1.2%0.0%1.0%4.1%34.9K-791.7K-1.6K0.00114.01N/AN/A01017424
2014-05-16$65.40$60.0016.5%4.7%13.8%0.8%0.0%3.9%4.3%31.1K-758.9K-1.9K0.00115.90N/AN/A01017434
2014-05-19$66.39$60.0023.1%6.6%14.8%16.7%0.0%2.4%-3.3%33.8K-808.7K-1.8K0.00117.98N/AN/A6017434
2014-05-20$65.36$60.0016.9%4.8%15.7%1.9%0.0%2.1%1.9%34.0K-792.5K-1.8K0.00114.55N/AN/A30018034
2014-05-21$65.87$60.0019.0%5.4%15.9%6.8%0.0%23.7%-0.2%31.6K-796.0K-2.1K0.00121.57N/AN/A01018734
2014-05-22$66.21$60.0022.9%6.6%15.9%16.4%0.0%0.5%-6.5%31.7K-848.1K-2.2K0.00117.17N/AN/A0018744
2014-05-23$66.97$60.0025.8%7.4%16.2%23.4%0.0%26.8%-9.1%30.0K-879.7K-1.9K0.00122.89N/AN/A0018744
2014-05-27$67.12$60.0026.3%7.5%16.2%24.5%0.0%3.9%-3.8%30.1K-872.0K-2.2K0.00123.12N/AN/A0018744
2014-05-28$67.25$65.0025.2%7.2%15.5%21.8%0.0%-1.5%-2.1%28.7K-613.0K-1.8K0.00122.84N/AN/A0014244
2014-05-29$67.36$65.0026.2%7.5%15.2%24.3%0.0%-1.2%-4.9%27.6K-658.6K-1.7K0.00121.20N/AN/A46014244
2014-05-30$67.17$65.0026.0%7.4%14.7%23.7%0.0%-0.8%-6.7%33.2K-650.4K-2.1K0.00120.69N/AN/A2016244