VET Options History — December 2014

In December 2014, VET traded between $39.52 and $50.49. ATM implied volatility averaged 44.5%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 13.7% (HV 20d: 58.2%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.41.

Notable Days

  • 2014-12-17: Highest Volume — 359 contracts
  • 2014-12-24: Largest IV spike — 38.8% change
  • 2014-12-10: Highest IV Rank — 91.2%
  • 2014-12-12: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.10$39.52$50.49$45.35$49.01
Max Pain$54.33$50.00$55.00$55.00$50.00
ATM IV44.5%29.3%64.1%40.8%35.1%
Expected Move10.6%7.3%12.8%9.2%11.1%
HV 20d58.2%48.6%69.9%56.1%58.6%
HV 60d49.8%44.6%53.6%45.1%53.6%
IV Rank56.1%29.0%91.2%49.5%39.4%
IV Percentile90.7%62.3%99.6%92.5%75.4%
Term Structure-4.1%-23.1%19.3%-2.2%2.6%
VWIV34.4%30.9%41.5%30.9%35.8%
Skew 25d10.4%-8.9%35.7%2.1%-0.9%
Skew 10d8.8%-26.3%55.2%8.3%3.4%
Call IV 25d50.2%31.8%70.4%49.2%36.8%
Put IV 25d60.6%35.9%94.2%51.4%35.9%
Bid-Ask Spread %106.2692.88122.57102.18120.58
Gamma HHI0.390.180.630.360.60
Net GEX14.4K-2.0K45.1K-2.0K37.0K
Net DEX-14.8K-683.3K411.5K400.9K-404.0K
Net VEX-1.8K-3.4K-441-498-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.201.000.471.00
Total Volume193.81803591654
Total OI484.545413672418478

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$45.35$55.0040.8%9.2%56.1%49.5%30.9%2.1%-2.2%-2.0K400.9K-4980.47102.18N/AN/A11253313105
2014-12-02$44.44$55.0047.4%9.7%55.9%61.4%31.4%19.7%-3.5%-1.1K367.2K-5360.47102.81N/AN/A11253313100
2014-12-03$45.71$55.0043.0%9.4%54.8%53.4%32.9%28.2%-12.8%23341.1K-8530.45105.10N/AN/A11250313100
2014-12-04$42.54$55.0041.6%10.2%53.2%51.0%0.0%4.7%8.8%-671374.6K-4800.20103.81N/AN/A102313102
2014-12-05$42.73$55.0053.5%7.3%53.2%72.2%33.6%-4.7%-22.7%-104323.4K-8920.44105.19N/AN/A11952323104
2014-12-08$40.21$55.0052.0%11.3%50.5%69.6%37.2%35.7%-19.2%409359.5K-5410.4092.88N/AN/A12048323104
2014-12-09$40.05$55.0051.3%11.1%49.8%68.3%32.5%10.7%-10.0%-661386.2K-5670.4494.38N/AN/A12053324114
2014-12-10$39.98$55.0064.1%10.3%49.5%91.2%34.3%20.8%-23.1%-1.0K411.5K-4410.36105.76N/AN/A14953324119
2014-12-11$39.84$55.0046.2%10.4%49.7%59.2%35.1%5.6%-0.9%827346.2K-8530.38103.31N/AN/A14454354119
2014-12-12$39.90$55.0051.2%12.8%49.7%68.2%34.8%24.2%-11.9%3.0K252.5K-1.6K0.38102.13N/AN/A14455359120
2014-12-15$39.52$55.0040.7%11.5%48.6%49.4%41.5%10.9%1.8%1.8K290.9K-1.4K0.28104.28N/AN/A24469359124
2014-12-16$41.88$55.0041.5%11.5%55.2%50.7%32.2%14.7%19.3%11.8K177.8K-2.0K0.2798.95N/AN/A24966459125
2014-12-17$45.35$55.0043.7%10.1%64.1%54.8%34.7%12.7%-9.8%14.5K163.8K-1.8K0.23104.93N/AN/A29366464121
2014-12-18$47.68$50.0035.5%10.5%67.2%40.1%35.8%-8.9%5.5%26.1K-238.5K-2.8K0.3194.90N/AN/A24576506117
2014-12-19$50.49$50.0043.5%11.6%69.9%54.3%0.0%4.6%-1.6%26.3K-377.8K-2.9K1.00104.55N/AN/A1010550122
2014-12-22$49.45$0.0029.3%10.1%69.1%29.0%0.0%8.3%17.5%45.1K-683.3K-3.3K0.27117.64N/AN/A2326338496
2014-12-23$50.08$0.0037.5%10.9%68.3%43.6%0.0%2.5%8.1%29.1K-671.7K-3.4K0.31114.80N/AN/A2046338696
2014-12-24$49.54$0.0052.0%10.9%68.3%69.5%0.0%8.0%-15.7%27.4K-530.3K-3.0K0.31114.42N/AN/A2046338697
2014-12-26$49.55$0.0045.6%10.8%67.9%58.1%0.0%16.4%-14.8%31.1K-512.6K-2.8K0.35112.53N/AN/A1816338697
2014-12-29$49.90$0.0044.8%10.9%61.2%56.7%0.0%9.2%-8.4%33.3K-601.1K-3.0K0.35109.95N/AN/A1816338697
2014-12-30$48.96$0.0037.7%10.5%59.3%44.0%0.0%3.5%1.9%35.6K-502.5K-2.5K0.00122.57N/AN/A0038692
2014-12-31$49.01$0.0035.1%11.1%58.6%39.4%0.0%-0.9%2.6%37.0K-404.0K-2.4K1.00120.58N/AN/A2238692