VET Options History — January 2015

In January 2015, VET traded between $39.00 and $49.52. ATM implied volatility averaged 50.6%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 14.4% (HV 20d: 65.0%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2015-01-14: Highest Volume — 302 contracts
  • 2015-01-14: Largest IV drop — 39.0% change
  • 2015-01-13: Highest IV Rank — 100.0%
  • 2015-01-12: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.44$39.00$49.52$49.52$43.98
Max Pain$44.44$40.00$50.00$50.00$40.00
ATM IV50.6%37.2%81.8%42.1%47.8%
Expected Move13.6%10.7%16.7%11.1%13.7%
HV 20d65.0%57.5%73.5%58.0%69.0%
HV 60d58.5%53.2%61.3%53.2%61.3%
IV Rank59.4%35.1%100.0%51.9%50.6%
IV Percentile92.1%76.2%100.0%90.1%91.3%
Term Structure-4.2%-22.4%14.3%-8.5%4.3%
VWIV45.0%29.6%69.3%48.8%38.0%
Skew 25d14.1%0.1%32.6%28.8%28.8%
Skew 10d26.0%-11.5%54.6%41.5%45.0%
Call IV 25d46.1%28.0%68.1%38.8%37.4%
Put IV 25d60.1%45.8%80.5%67.6%66.2%
Bid-Ask Spread %111.29100.37122.37112.03117.51
Gamma HHI0.350.250.560.560.27
Net GEX11.9K4.1K36.4K36.4K6.6K
Net DEX27.8K-522.9K212.9K-522.9K79.7K
Net VEX-2.0K-2.6K-1.1K-2.6K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.000.980.340.98
Total Volume160.450302247234
Total OI483.35430571485444

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$49.52$0.0042.1%11.1%58.0%51.9%0.0%28.8%-8.5%36.4K-522.9K-2.6K0.34112.03N/AN/A1846338897
2015-01-05$45.55$0.0045.8%15.0%60.2%58.5%48.8%7.2%-1.9%25.8K-119.0K-2.0K0.00104.97N/AN/A10039992
2015-01-06$43.89$50.0049.7%16.5%61.9%65.5%43.6%21.0%-22.1%20.8K-34.1K-1.8K0.33100.89N/AN/A6240992
2015-01-07$43.54$50.0047.2%11.4%57.5%61.1%0.0%2.0%-5.2%17.5K2.5K-1.7K0.00122.37N/AN/A0041590
2015-01-08$43.66$50.0061.9%12.7%57.5%87.2%61.8%12.4%-13.9%23.1K-92.8K-2.3K0.33116.69N/AN/A1906341597
2015-01-09$43.39$50.0066.2%13.2%57.5%94.9%69.3%12.4%-10.6%21.1K-55.7K-2.1K0.33120.50N/AN/A1906341597
2015-01-12$39.00$50.0061.2%16.7%69.7%85.9%61.4%0.8%-7.4%6.8K135.4K-1.5K0.33103.01N/AN/A1906341597
2015-01-13$40.28$50.0081.8%16.0%70.7%100.0%29.6%17.6%-22.4%5.2K212.9K-1.1K0.56100.37N/AN/A19010741597
2015-01-14$42.72$50.0049.9%14.3%73.5%53.6%30.7%32.6%-6.4%4.1K153.8K-1.8K0.56103.33N/AN/A193109416141
2015-01-15$40.93$50.0047.6%13.7%72.4%50.3%41.9%3.4%10.3%4.3K149.1K-1.8K0.57101.09N/AN/A190109422141
2015-01-16$43.65$40.0055.4%15.9%70.3%61.6%0.0%9.5%-7.6%15.4K27.4K-1.7K0.74103.02N/AN/A3425432139
2015-01-20$43.31$40.0041.3%11.8%67.6%41.2%0.0%15.8%-5.5%5.5K100.1K-2.2K0.00117.80N/AN/A10277153
2015-01-21$43.85$40.0037.2%10.7%63.9%35.1%31.9%18.9%14.3%6.0K55.6K-2.4K0.00121.72N/AN/A30278153
2015-01-22$43.32$40.0045.8%13.1%63.7%47.7%41.6%0.1%-2.5%5.7K105.1K-2.1K0.84101.74N/AN/A138116281155
2015-01-23$44.26$40.0047.5%13.6%64.1%50.1%45.8%18.0%-8.2%6.9K61.1K-2.1K0.83106.03N/AN/A139116284155
2015-01-26$44.43$40.0042.9%12.3%64.2%43.5%41.3%11.2%3.8%7.2K38.6K-2.2K0.00119.19N/AN/A100286153
2015-01-27$44.91$40.0041.3%11.8%64.4%41.2%38.5%24.2%-3.2%7.9K55.4K-2.1K0.00121.06N/AN/A30286153
2015-01-28$42.34$40.0050.4%14.5%67.0%54.4%50.7%4.2%1.5%6.0K68.6K-2.4K0.98118.15N/AN/A118116289155
2015-01-29$42.24$40.0049.9%14.3%66.9%53.6%44.6%12.4%8.0%5.9K135.5K-2.0K0.98114.31N/AN/A118116289155
2015-01-30$43.98$40.0047.8%13.7%69.0%50.6%38.0%28.8%4.3%6.6K79.7K-2.3K0.98117.51N/AN/A118116289155