VET Options History — December 2015

In December 2015, VET traded between $24.55 and $30.19. ATM implied volatility averaged 52.5%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 3.0% (HV 20d: 55.5%). Max pain ranged from $25.00 to $40.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.00.

Notable Days

  • 2015-12-14: Highest Volume — 267 contracts
  • 2015-12-07: Largest IV spike — 69.6% change
  • 2015-12-07: Highest IV Rank — 31.4%
  • 2015-12-07: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.01$24.55$30.19$30.19$27.14
Max Pain$33.64$25.00$40.00$40.00$30.00
ATM IV52.5%41.9%73.4%52.5%41.9%
Expected Move15.0%12.0%22.5%15.0%12.0%
HV 20d55.5%35.7%64.6%40.3%63.9%
HV 60d46.5%39.7%50.2%39.9%49.1%
IV Rank16.6%9.1%31.4%16.6%9.1%
IV Percentile48.3%18.3%82.5%52.8%18.3%
Term Structure1.3%-21.9%16.5%-6.7%16.5%
VWIV55.5%45.8%73.1%47.9%45.8%
Skew 25d6.6%-2.9%15.9%4.5%14.5%
Skew 10d9.9%-5.9%32.0%6.1%32.0%
Call IV 25d47.3%32.1%59.2%43.0%32.1%
Put IV 25d54.0%43.6%68.6%47.5%46.6%
Bid-Ask Spread %107.7887.47132.40106.77106.72
Gamma HHI0.300.230.410.410.30
Net GEX2.6K-665.3K5.3K3.1K
Net DEX138.0K-8.2K315.8K13.0K23.9K
Net VEX-1.7K-2.0K-1.4K-1.9K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.684.230.682.60
Total Volume187.502670151
Total OI566.364463670525475

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$30.19$40.0052.5%15.0%40.3%16.6%0.0%4.5%-6.7%5.3K13.0K-1.9K0.00106.77N/AN/A00367158
2015-12-02$29.17$40.0047.9%13.7%41.0%13.3%47.9%-0.4%-4.6%4.6K62.1K-1.9K0.68109.13N/AN/A13693367163
2015-12-03$29.25$25.0052.2%13.7%40.9%16.4%52.1%6.3%0.6%3.8K77.6K-2.0K0.7996.48N/AN/A136107375183
2015-12-04$29.34$25.0043.3%12.2%35.7%10.1%50.7%15.5%8.5%2.9K113.5K-2.0K0.76103.21N/AN/A145110375199
2015-12-07$25.97$35.0073.4%22.5%54.3%31.4%73.1%11.6%0.4%3.2K175.6K-1.8K1.77105.42N/AN/A1323405197
2015-12-08$25.95$35.0057.2%15.6%54.4%20.0%62.2%-2.3%2.9%2.3K255.4K-1.6K1.1497.47N/AN/A110125418224
2015-12-09$26.34$35.0053.6%15.4%55.2%17.4%58.4%9.0%-0.2%2.5K220.4K-1.8K1.13110.44N/AN/A110124418224
2015-12-10$26.41$35.0049.3%14.1%55.4%14.3%50.8%4.4%6.0%2.6K236.5K-1.6K1.35107.53N/AN/A110148418224
2015-12-11$24.92$35.0056.9%16.3%53.7%19.7%60.3%7.5%-0.2%-66315.8K-1.4K1.3587.47N/AN/A110148418242
2015-12-14$24.55$35.0064.0%18.3%53.6%24.8%67.3%4.3%-2.3%20299.4K-1.5K1.2498.29N/AN/A119148418242
2015-12-15$26.37$35.0054.5%15.6%59.2%18.1%66.6%15.9%12.4%1.2K278.6K-1.6K1.28109.51N/AN/A116148418242
2015-12-16$26.22$35.0061.1%17.5%58.8%22.7%60.0%3.1%-21.9%2.0K238.0K-1.7K1.55127.66N/AN/A87135418242
2015-12-17$25.97$35.0049.6%14.2%58.6%14.6%50.6%-2.9%1.9%1.4K287.9K-1.6K1.5592.70N/AN/A87135419251
2015-12-18$26.44$35.0046.4%13.3%58.4%12.3%55.2%9.9%7.2%1.6K284.3K-1.6K1.6193.76N/AN/A87140419251
2015-12-21$26.17$35.0044.6%12.8%58.3%11.0%47.6%4.8%13.9%1.9K38.0K-1.6K4.23115.31N/AN/A26110306163
2015-12-22$26.36$35.0066.2%19.0%58.1%26.3%58.7%12.4%-19.9%1.3K74.1K-1.4K4.23132.40N/AN/A26110307163
2015-12-23$28.29$35.0050.8%14.6%63.9%15.4%54.3%7.9%1.6%2.7K-1.5K-1.6K3.55115.19N/AN/A31110307163
2015-12-24$27.79$35.0045.9%13.1%64.2%11.9%48.0%4.9%0.2%3.6K6.7K-1.7K2.83112.31N/AN/A41116300163
2015-12-28$27.11$30.0051.2%14.7%64.6%15.7%54.6%7.4%-8.8%4.5K-8.2K-1.7K2.83122.13N/AN/A41116310163
2015-12-29$27.44$30.0044.8%12.8%64.5%11.1%50.5%5.2%14.8%4.3K14.8K-1.6K2.66108.58N/AN/A41109310163
2015-12-30$26.86$30.0048.9%14.0%64.6%14.1%51.5%2.5%5.2%2.7K30.1K-1.5K2.87112.69N/AN/A38109310162
2015-12-31$27.14$30.0041.9%12.0%63.9%9.1%45.8%14.5%16.5%3.1K23.9K-1.5K2.60106.72N/AN/A42109313162