VET Options History — June 2014

In June 2014, VET traded between $68.26 and $71.78. ATM implied volatility averaged 22.7%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 8.8% (HV 20d: 13.9%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2014-06-16: Highest Volume — 94 contracts
  • 2014-06-10: Largest IV spike — 118.4% change
  • 2014-06-11: Highest IV Rank — 43.3%
  • 2014-06-05: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.35$68.26$71.78$68.26$69.74
Max Pain$68.57$65.00$70.00$65.00$70.00
ATM IV22.7%13.7%33.6%26.2%20.8%
Expected Move6.2%3.9%8.0%7.5%6.0%
HV 20d13.9%9.3%16.8%15.7%16.6%
HV 60d14.6%13.3%15.5%15.4%15.0%
IV Rank18.2%0.0%43.3%24.4%16.1%
IV Percentile32.2%0.0%90.2%56.6%12.4%
Term Structure-2.5%-13.3%5.3%3.7%-5.3%
VWIV20.8%20.3%21.2%20.3%21.2%
Skew 25d-0.4%-14.8%9.1%1.8%-0.7%
Skew 10d2.3%-12.6%12.7%-6.6%4.4%
Call IV 25d22.6%12.8%31.1%29.4%28.9%
Put IV 25d22.3%13.3%33.5%31.2%28.3%
Bid-Ask Spread %121.43108.99125.36118.56121.20
Gamma HHI0.430.350.710.500.47
Net GEX29.8K23.4K41.8K26.4K25.5K
Net DEX-849.2K-1.2M-665.8K-783.3K-764.1K
Net VEX-1.8K-2.7K-1.0K-1.3K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.0010.000.000.00
Total Volume809400
Total OI227.333206268206238

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$68.26$65.0026.2%7.5%15.7%24.4%0.0%1.8%3.7%26.4K-783.3K-1.3K0.00118.56N/AN/A0016244
2014-06-03$68.81$65.0026.5%7.6%15.9%25.1%0.0%2.3%-5.0%23.7K-805.2K-1.4K0.00121.18N/AN/A0016244
2014-06-04$68.67$65.0026.4%7.6%15.9%24.8%0.0%-14.8%-9.9%32.5K-747.9K-1.9K0.00124.05N/AN/A0016244
2014-06-05$68.30$65.0028.0%8.0%15.2%28.5%0.0%6.2%-13.3%32.6K-758.3K-1.7K0.00123.37N/AN/A0016244
2014-06-06$68.60$0.0030.1%6.8%14.1%33.7%0.0%-9.7%-8.6%34.2K-716.3K-1.9K0.00123.81N/AN/A0016244
2014-06-09$68.52$0.0015.2%6.5%13.8%0.0%0.0%0.4%-5.4%33.6K-764.2K-1.8K0.00108.99N/AN/A2016244
2014-06-10$68.49$0.0033.3%6.2%12.4%42.6%0.0%-2.9%-3.6%26.5K-801.0K-1.2K0.00123.00N/AN/A0016244
2014-06-11$68.66$0.0033.6%6.0%12.2%43.3%0.0%1.2%-3.6%26.3K-810.5K-1.2K0.00123.29N/AN/A0016244
2014-06-12$69.30$0.0018.8%5.4%12.5%8.4%0.0%-2.0%2.1%37.6K-759.2K-1.7K0.00123.32N/AN/A10016244
2014-06-13$69.68$0.0020.5%5.9%11.6%12.5%0.0%5.1%-0.5%32.9K-882.1K-1.7K0.00123.19N/AN/A0017244
2014-06-16$70.18$0.0021.4%6.1%11.6%14.6%20.3%8.0%-1.6%25.6K-970.7K-1.1K0.00123.89N/AN/A94017244
2014-06-17$69.61$70.0019.5%5.6%11.4%10.0%21.2%9.1%0.6%41.8K-1.0M-2.1K0.00122.42N/AN/A01120144
2014-06-18$69.89$70.0018.6%5.3%9.3%7.9%0.0%2.9%3.7%34.8K-1.0M-2.0K0.00125.36N/AN/A8020155
2014-06-19$71.56$70.0021.7%6.2%11.7%15.2%0.0%3.6%-2.5%23.4K-1.2M-1.0K0.00124.51N/AN/A01020355
2014-06-20$71.78$70.0013.7%3.9%11.7%0.0%0.0%-3.2%5.3%31.3K-1.2M-2.0K10.00116.70N/AN/A11020365
2014-06-23$70.94$70.0015.8%4.5%12.6%4.6%0.0%2.8%0.5%26.2K-947.0K-2.3K0.00115.10N/AN/A1018564
2014-06-24$68.97$70.0019.8%5.7%16.7%13.9%0.0%-6.1%-5.3%27.7K-793.7K-2.7K0.00119.72N/AN/A1018564
2014-06-25$68.76$70.0023.0%6.6%16.8%21.1%0.0%-9.0%2.3%26.4K-768.3K-2.5K0.00123.75N/AN/A20018564
2014-06-26$68.95$70.0024.4%7.0%16.8%24.4%0.0%-0.1%-3.0%28.0K-675.3K-2.6K0.00120.85N/AN/A0017464
2014-06-27$68.77$70.0018.9%5.4%16.8%11.9%0.0%-2.4%-4.0%29.2K-665.8K-2.5K0.00123.68N/AN/A0017464
2014-06-30$69.74$70.0020.8%6.0%16.6%16.1%0.0%-0.7%-5.3%25.5K-764.1K-2.2K0.00121.20N/AN/A0017464