VET Options History — September 2014

In September 2014, VET traded between $58.03 and $64.67. ATM implied volatility averaged 26.2%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.2% (HV 20d: 23.0%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2014-09-24: Highest Volume — 144 contracts
  • 2014-09-09: Largest IV spike — 81.5% change
  • 2014-09-10: Highest IV Rank — 47.6%
  • 2014-09-15: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.28$58.03$64.67$64.58$60.77
Max Pain$61.67$55.00$65.00$65.00$55.00
ATM IV26.2%19.0%36.6%21.5%29.1%
Expected Move5.9%4.9%6.9%5.4%5.7%
HV 20d23.0%11.4%33.3%21.5%33.3%
HV 60d23.6%21.2%26.7%21.2%26.3%
IV Rank26.7%12.1%47.6%17.1%32.5%
IV Percentile54.9%10.3%95.3%23.5%79.6%
Term Structure-1.1%-9.4%9.9%6.8%-7.3%
VWIV21.4%17.7%24.8%17.9%24.8%
Skew 25d-3.1%-16.5%10.3%2.6%-2.1%
Skew 10d4.7%-15.6%24.2%1.5%14.7%
Call IV 25d28.7%12.8%47.0%15.6%43.1%
Put IV 25d25.6%16.8%43.7%18.2%41.1%
Bid-Ask Spread %104.2783.58114.19101.99113.49
Gamma HHI0.500.380.720.570.71
Net GEX17.7K-5.4K36.6K22.0K36.6K
Net DEX-89.8K-249.9K66.8K-228.4K-243.8K
Net VEX-2.4K-3.0K-1.9K-2.4K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.001.750.000.00
Total Volume10.905014420
Total OI292.619204339292339

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$64.58$65.0021.5%5.4%21.5%17.1%0.0%2.6%6.8%22.0K-228.4K-2.4K0.00101.99N/AN/A20183109
2014-09-03$64.35$65.0028.0%5.8%14.1%30.2%0.0%-6.2%-5.8%23.3K-245.9K-2.4K0.00101.81N/AN/A00185109
2014-09-04$64.36$65.0031.2%5.9%12.3%36.7%0.0%-7.3%-9.4%22.1K-234.6K-2.6K0.00106.32N/AN/A00185109
2014-09-05$64.67$65.0029.0%6.0%11.4%32.4%0.0%9.0%-1.5%24.3K-249.9K-2.4K0.00108.25N/AN/A00185109
2014-09-08$62.11$65.0019.0%5.5%17.7%12.1%17.9%0.2%0.0%19.0K66.8K-2.1K0.0083.58N/AN/A80185109
2014-09-09$61.83$65.0034.4%5.9%17.7%43.4%22.0%10.1%-1.0%16.6K38.3K-2.1K0.0098.64N/AN/A0218999
2014-09-10$62.14$65.0036.6%6.0%17.8%47.6%0.0%-4.1%-7.2%20.1K-51.8K-2.3K0.00112.42N/AN/A0018991
2014-09-11$61.17$65.0026.3%6.5%18.5%26.9%0.0%-5.5%1.3%17.7K-30.9K-2.2K0.00106.55N/AN/A0018991
2014-09-12$59.70$65.0021.6%5.7%20.2%17.4%0.0%5.1%-1.2%14.4K42.9K-2.1K0.00112.28N/AN/A0018991
2014-09-15$61.36$65.0025.0%6.9%22.7%24.3%24.6%-2.6%-6.3%20.0K-62.7K-2.1K1.75100.49N/AN/A203518981
2014-09-16$61.56$60.0020.4%6.6%22.8%14.9%0.0%-10.6%3.3%11.8K-85.9K-2.4K0.00111.24N/AN/A00209116
2014-09-17$60.06$60.0025.0%5.4%23.2%24.2%0.0%-10.6%-4.6%1.4K3.5K-2.4K0.00102.34N/AN/A00209116
2014-09-18$60.88$60.0025.6%6.2%24.0%25.5%0.0%-16.3%0.1%1.2K-68.0K-2.4K0.00108.07N/AN/A00209116
2014-09-19$60.34$60.0022.8%5.9%23.6%19.8%0.0%-16.5%3.9%-5.4K-11.2K-2.3K0.0096.32N/AN/A20209116
2014-09-22$58.03$60.0029.1%4.9%26.7%32.5%17.7%-3.5%-0.0%9.0K57.5K-2.0K0.00105.22N/AN/A10013371
2014-09-23$58.99$60.0022.2%5.8%27.8%18.6%0.0%-3.3%9.9%8.6K13.8K-1.9K0.00112.78N/AN/A0014371
2014-09-24$60.85$60.0020.4%6.6%30.5%15.0%0.0%-5.9%-1.7%11.9K-35.7K-2.2K0.0099.17N/AN/A144014371
2014-09-25$58.84$60.0025.0%6.1%32.0%24.3%24.8%-5.5%-0.8%29.0K-145.9K-2.9K0.00101.02N/AN/A3026271
2014-09-26$59.75$55.0027.3%5.5%32.8%28.8%0.0%-2.4%-1.7%34.0K-198.6K-2.9K0.00114.19N/AN/A3026571
2014-09-29$60.64$55.0031.5%6.6%33.3%37.3%0.0%10.3%0.1%34.0K-215.5K-3.0K0.0093.48N/AN/A0026871
2014-09-30$60.77$55.0029.1%5.7%33.3%32.5%0.0%-2.1%-7.3%36.6K-243.8K-3.0K0.00113.49N/AN/A0026871