VET Options History — December 2016

In December 2016, VET traded between $41.67 and $44.51. ATM implied volatility averaged 41.5%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 8.8% (HV 20d: 32.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2016-12-30: Highest Volume — 386 contracts
  • 2016-12-12: Largest IV spike — 90.8% change
  • 2016-12-13: Highest IV Rank — 54.3%
  • 2016-12-12: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.72$41.67$44.51$41.69$42.12
Max Pain$42.62$40.00$45.00$40.00$45.00
ATM IV41.5%22.7%97.8%32.7%41.6%
Expected Move9.7%6.5%14.3%9.4%11.9%
HV 20d32.7%18.6%35.9%35.8%18.6%
HV 60d31.9%27.0%36.5%36.5%27.0%
IV Rank14.9%1.7%54.3%8.7%14.9%
IV Percentile31.8%0.4%97.2%10.7%53.2%
Term Structure2.6%-24.6%26.2%3.5%-3.5%
VWIV37.5%26.3%53.5%26.3%35.0%
Skew 25d9.7%2.2%24.8%17.6%5.1%
Skew 10d16.5%-12.2%98.0%98.0%-5.2%
Call IV 25d30.2%23.0%35.9%23.9%32.1%
Put IV 25d39.9%31.9%60.6%41.5%37.2%
Bid-Ask Spread %111.3895.05126.14108.00120.89
Gamma HHI0.470.350.720.570.44
Net GEX27.6K6.8K51.0K51.0K13.9K
Net DEX-959.3K-1.5M-337.7K-1.1M-524.2K
Net VEX-5.3K-6.3K-4.2K-4.2K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.741.891.001.16
Total Volume302.81202386310386
Total OI1,183.9529201,3361,0901,177

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$41.69$40.0032.7%9.4%35.8%8.7%26.3%17.6%3.5%51.0K-1.1M-4.2K1.00108.00N/AN/A155155521569
2016-12-02$42.13$40.0032.5%9.3%35.9%8.6%34.6%7.2%6.4%47.6K-1.1M-4.8K1.5895.05N/AN/A101160591617
2016-12-05$42.64$40.0030.7%7.3%35.1%7.3%34.3%10.2%0.9%39.2K-1.2M-5.0K1.57104.76N/AN/A86135611637
2016-12-06$42.12$40.0039.0%10.8%35.2%13.1%43.2%8.2%0.6%38.9K-1.2M-5.1K1.57106.79N/AN/A86135613652
2016-12-07$42.02$40.0050.5%8.8%35.2%21.2%35.5%3.6%8.8%35.0K-1.0M-5.2K1.73104.22N/AN/A83144613656
2016-12-08$42.70$40.0054.8%10.9%35.2%24.2%41.5%7.9%2.0%33.4K-1.2M-5.3K1.73113.53N/AN/A83144614666
2016-12-09$43.36$40.0051.0%8.5%35.1%21.6%44.3%19.4%12.0%29.3K-1.3M-5.3K1.81126.14N/AN/A72130614666
2016-12-12$43.65$40.0097.4%14.3%33.3%54.0%44.5%18.6%-24.6%28.3K-1.4M-4.9K0.74112.83N/AN/A175130619663
2016-12-13$44.51$40.0097.8%13.0%33.6%54.3%53.5%12.0%-20.1%31.4K-1.5M-5.1K0.92109.19N/AN/A141130632663
2016-12-14$43.49$40.0034.4%9.9%34.5%9.9%41.0%10.3%-1.5%38.1K-1.5M-5.2K0.84120.72N/AN/A179150648663
2016-12-15$43.17$45.0032.6%9.3%34.7%8.6%49.4%24.8%10.9%29.0K-1.2M-5.4K0.94115.51N/AN/A159150648683
2016-12-16$43.10$45.0029.1%8.3%34.1%6.2%33.5%7.7%3.4%27.2K-1.4M-4.8K1.0999.53N/AN/A165180653683
2016-12-19$43.41$45.0029.1%8.4%34.1%6.2%39.0%7.9%26.2%23.0K-626.3K-5.1K1.62105.69N/AN/A104168448472
2016-12-20$43.49$45.0028.7%8.2%33.3%5.9%36.6%11.0%1.9%27.5K-867.5K-5.0K1.89111.22N/AN/A129244488472
2016-12-21$42.96$45.0022.7%6.5%33.6%1.7%27.1%10.7%7.2%25.9K-717.0K-5.9K1.60116.90N/AN/A129207513552
2016-12-22$42.57$45.0025.1%7.2%33.8%3.4%33.1%8.4%2.6%21.3K-572.7K-6.0K1.74100.09N/AN/A129224513555
2016-12-23$42.20$45.0043.2%12.4%33.1%16.1%37.5%4.4%-9.7%6.8K-375.0K-6.3K1.74118.23N/AN/A129224513605
2016-12-27$42.37$45.0033.8%9.7%31.7%9.5%31.3%2.2%4.4%12.4K-459.1K-5.6K1.74116.29N/AN/A129224513605
2016-12-28$41.79$45.0031.1%8.9%31.4%7.6%32.9%3.9%10.8%13.5K-462.1K-5.5K1.55115.29N/AN/A129200513605
2016-12-29$41.67$45.0034.2%9.8%20.2%9.8%34.1%3.3%13.4%7.4K-337.7K-5.7K1.10118.11N/AN/A179197513611
2016-12-30$42.12$45.0041.6%11.9%18.6%14.9%35.0%5.1%-3.5%13.9K-524.2K-5.8K1.16120.89N/AN/A179207563614