VET Options History — November 2016

In November 2016, VET traded between $37.95 and $40.68. ATM implied volatility averaged 37.0%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 10.0% (HV 20d: 27.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2016-11-17: Highest Volume — 299 contracts
  • 2016-11-21: Largest IV spike — 135.8% change
  • 2016-11-21: Highest IV Rank — 35.8%
  • 2016-11-21: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.63$37.95$40.68$40.62$40.68
Max Pain$37.38$35.00$40.00$35.00$40.00
ATM IV37.0%27.4%71.4%37.9%44.5%
Expected Move10.7%7.9%20.5%10.9%12.8%
HV 20d27.0%23.8%36.3%23.8%36.3%
HV 60d33.4%32.6%36.3%32.6%36.3%
IV Rank11.7%5.0%35.8%12.4%17.0%
IV Percentile24.6%2.4%92.9%30.6%54.8%
Term Structure0.9%-33.9%26.8%-2.3%-9.1%
VWIV39.1%30.7%68.9%39.3%46.8%
Skew 25d11.6%4.9%20.9%14.5%6.2%
Skew 10d24.7%4.7%44.1%23.6%9.7%
Call IV 25d32.1%22.3%41.0%29.9%41.0%
Put IV 25d43.7%35.8%54.6%44.4%47.2%
Bid-Ask Spread %100.3484.50114.4492.69103.91
Gamma HHI0.410.360.490.400.39
Net GEX24.5K13.6K38.3K19.4K28.5K
Net DEX-493.2K-957.8K-111.8K-521.8K-640.7K
Net VEX-5.2K-5.7K-4.1K-5.4K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.791.921.921.25
Total Volume260.429211299216259
Total OI1,0279221,0969221,096

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$40.62$35.0037.9%10.9%23.8%12.4%39.3%14.5%-2.3%19.4K-521.8K-5.4K1.9292.69N/AN/A74142440482
2016-11-02$39.55$40.0041.6%11.9%24.9%15.0%42.6%17.5%-3.9%13.6K-340.9K-5.4K1.8595.11N/AN/A74137450513
2016-11-03$39.62$35.0033.1%9.8%24.9%9.0%35.7%7.4%3.6%15.2K-392.7K-5.3K1.8592.86N/AN/A74137450514
2016-11-04$38.88$35.0038.0%9.6%25.6%12.4%34.0%8.0%4.0%14.7K-299.8K-5.4K0.9984.50N/AN/A138137450514
2016-11-07$39.58$35.0034.2%10.9%25.2%9.8%37.8%4.9%-2.2%21.0K-488.8K-5.6K0.9993.14N/AN/A138137520514
2016-11-08$39.41$35.0030.0%10.5%25.2%6.8%36.9%6.7%2.0%21.4K-485.4K-5.5K0.9384.66N/AN/A138129520514
2016-11-09$39.99$35.0036.6%10.5%25.7%11.5%36.3%10.2%2.2%21.6K-534.7K-5.7K0.9389.39N/AN/A138129520512
2016-11-10$39.56$35.0035.1%10.1%25.8%10.4%34.9%9.6%3.0%23.2K-532.0K-5.4K0.8886.22N/AN/A138122520512
2016-11-11$38.60$35.0034.7%9.9%27.0%10.1%35.2%8.9%3.2%18.7K-233.9K-5.4K0.8799.82N/AN/A138120520517
2016-11-14$39.10$35.0036.7%10.5%27.5%11.5%38.2%19.4%-1.2%19.5K-309.3K-5.4K0.79104.83N/AN/A152120520518
2016-11-15$40.07$35.0036.7%10.5%28.8%11.5%36.4%16.2%-0.0%26.1K-666.5K-5.5K0.7997.50N/AN/A152120537518
2016-11-16$40.05$35.0031.3%9.0%25.9%7.7%31.3%10.7%5.3%29.7K-539.2K-5.3K0.93107.04N/AN/A153143537518
2016-11-17$39.47$40.0034.7%9.9%26.2%10.1%35.3%14.5%1.0%29.1K-553.8K-5.3K0.95106.07N/AN/A153146539527
2016-11-18$39.69$40.0030.3%8.7%26.3%7.0%30.7%11.1%5.1%34.4K-408.2K-5.3K0.82114.44N/AN/A153126539527
2016-11-21$40.65$40.0071.4%20.5%27.6%35.8%68.9%8.8%-33.9%21.8K-780.8K-4.6K0.82111.28N/AN/A145119524503
2016-11-22$40.43$40.0042.0%12.1%27.6%15.3%41.1%20.9%-6.3%28.3K-957.8K-5.0K0.83113.03N/AN/A145120524504
2016-11-23$40.21$40.0038.5%11.0%27.5%12.7%38.8%15.2%-5.0%32.1K-654.9K-5.0K0.83108.13N/AN/A145120524504
2016-11-25$39.44$40.0031.0%8.9%28.2%7.5%31.7%15.7%4.4%38.3K-558.5K-4.9K1.03104.69N/AN/A118121524504
2016-11-28$38.61$40.0031.5%9.0%28.2%7.8%45.1%7.1%26.8%32.5K-346.2K-4.7K1.12106.84N/AN/A118132522508
2016-11-29$37.95$40.0027.4%7.9%28.7%5.0%43.8%10.8%22.7%25.7K-111.8K-4.1K1.30110.95N/AN/A117152522546
2016-11-30$40.68$40.0044.5%12.8%36.3%17.0%46.8%6.2%-9.1%28.5K-640.7K-5.0K1.25103.91N/AN/A115144521575