VET Options History — July 2014

In July 2014, VET traded between $63.62 and $69.60. ATM implied volatility averaged 24.4%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.0% (HV 20d: 20.4%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.24.

Notable Days

  • 2014-07-28: Highest Volume — 20 contracts
  • 2014-07-25: Largest IV spike — 67.1% change
  • 2014-07-09: Highest IV Rank — 47.9%
  • 2014-07-15: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.63$63.62$69.60$69.60$65.86
Max Pain$66.25$65.00$70.00$70.00$65.00
ATM IV24.4%13.0%34.4%13.0%27.9%
Expected Move5.8%3.7%7.9%3.7%5.5%
HV 20d20.4%16.4%22.8%16.4%21.7%
HV 60d16.8%14.7%18.2%15.0%18.2%
IV Rank25.5%0.0%47.9%0.0%33.4%
IV Percentile44.7%0.0%93.8%0.0%74.5%
Term Structure-5.0%-16.1%11.7%4.8%-3.8%
VWIV17.0%14.6%18.8%16.9%18.8%
Skew 25d3.0%-22.0%20.1%0.2%6.9%
Skew 10d7.9%-16.3%29.1%-1.8%15.5%
Call IV 25d24.0%14.6%38.3%15.6%32.3%
Put IV 25d27.0%15.8%39.2%15.8%39.2%
Bid-Ask Spread %115.3199.27127.41118.50111.13
Gamma HHI0.380.320.520.390.35
Net GEX26.6K22.8K31.9K31.9K25.9K
Net DEX-455.1K-727.2K-212.4K-727.2K-317.9K
Net VEX-2.5K-2.8K-2.0K-2.6K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.001.000.000.00
Total Volume2.59102001
Total OI238.227226256238256

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$69.60$70.0013.0%3.7%16.4%0.0%0.0%0.2%4.8%31.9K-727.2K-2.6K0.00118.50N/AN/A0017464
2014-07-02$68.85$70.0016.1%4.6%16.9%6.8%16.9%5.9%11.7%29.2K-674.4K-2.7K0.00122.57N/AN/A3017464
2014-07-03$69.01$70.0022.5%6.5%16.8%21.4%0.0%-1.0%-4.4%29.3K-622.1K-2.8K0.00126.00N/AN/A0317664
2014-07-07$67.33$0.0023.3%6.8%18.9%23.0%0.0%-4.8%0.3%29.2K-558.8K-2.6K0.00119.51N/AN/A0217661
2014-07-08$66.32$0.0033.6%7.4%19.6%46.0%0.0%-19.6%-5.2%28.4K-483.2K-2.6K0.00121.80N/AN/A0017663
2014-07-09$66.23$0.0034.4%5.0%19.6%47.9%0.0%-3.4%-1.2%29.1K-444.1K-2.6K0.00127.41N/AN/A0017663
2014-07-10$65.81$0.0021.0%6.0%19.6%17.9%0.0%-22.0%-9.1%28.8K-409.8K-2.6K0.00126.87N/AN/A0017663
2014-07-11$64.48$0.0020.4%5.9%20.1%16.6%14.6%-0.1%-7.9%26.0K-341.8K-2.6K0.00122.17N/AN/A0317663
2014-07-14$64.28$65.0020.0%5.7%19.8%15.7%0.0%3.9%-6.3%23.0K-288.2K-2.6K0.00122.07N/AN/A0017666
2014-07-15$63.62$65.0027.7%7.9%19.5%32.8%0.0%12.1%-10.7%25.7K-212.4K-2.3K0.20120.06N/AN/A5117666
2014-07-16$65.20$65.0026.1%7.5%22.0%29.3%0.0%-0.8%-6.6%24.8K-313.8K-2.5K0.00111.04N/AN/A0017166
2014-07-17$65.06$65.0017.6%5.0%21.9%10.3%17.6%6.8%2.7%24.6K-326.9K-2.4K0.00110.35N/AN/A4017166
2014-07-18$66.09$65.0022.0%6.3%20.7%20.1%0.0%1.7%-4.4%27.9K-368.8K-2.4K0.00118.71N/AN/A0017466
2014-07-21$66.24$0.0019.1%5.6%20.7%13.6%0.0%6.5%-5.2%26.3K-413.4K-2.3K0.00100.82N/AN/A0316264
2014-07-22$67.88$0.0024.9%4.8%22.8%26.6%0.0%8.4%-5.8%22.8K-517.5K-2.2K0.00104.38N/AN/A0016264
2014-07-23$68.97$0.0024.4%4.9%21.4%25.5%0.0%17.0%-11.9%24.1K-656.4K-2.0K0.00113.23N/AN/A0016264
2014-07-24$68.58$0.0018.6%5.2%21.5%12.5%0.0%9.2%-11.5%26.3K-612.0K-2.3K0.00112.41N/AN/A0016264
2014-07-25$67.46$0.0031.1%5.4%22.2%40.5%18.8%20.1%-6.3%26.7K-517.9K-2.4K0.00113.58N/AN/A01016264
2014-07-28$66.75$65.0030.9%5.7%22.5%40.2%0.0%5.5%-10.0%25.1K-426.2K-2.5K1.00106.88N/AN/A101016274
2014-07-29$66.18$65.0030.9%5.7%21.9%40.1%0.0%2.5%-16.1%25.5K-398.9K-2.7K0.0099.27N/AN/A0017284
2014-07-30$66.13$65.0031.3%5.7%21.9%41.1%0.0%10.9%-3.5%23.6K-379.7K-2.7K0.00108.00N/AN/A2017284
2014-07-31$65.86$65.0027.9%5.5%21.7%33.4%0.0%6.9%-3.8%25.9K-317.9K-2.5K0.00111.13N/AN/A0117284