VET Options History — January 2017

In January 2017, VET traded between $40.49 and $43.43. ATM implied volatility averaged 35.2%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 18.0% (HV 20d: 17.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2017-01-06: Highest Volume — 551 contracts
  • 2017-01-06: Largest IV spike — 44.5% change
  • 2017-01-13: Highest IV Rank — 19.7%
  • 2017-01-13: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.03$40.49$43.43$42.42$41.16
Max Pain$40.50$40.00$45.00$45.00$40.00
ATM IV35.2%24.1%50.4%46.6%24.1%
Expected Move9.7%6.9%14.4%13.4%6.9%
HV 20d17.1%14.3%18.9%18.4%18.5%
HV 60d26.6%25.3%27.1%27.0%25.3%
IV Rank9.3%1.0%19.7%18.5%1.0%
IV Percentile28.3%0.8%72.6%64.3%0.8%
Term Structure-2.5%-18.3%21.6%-15.1%-1.9%
VWIV30.9%25.7%42.0%33.0%28.7%
Skew 25d3.7%-19.4%14.2%12.3%14.2%
Skew 10d17.5%-3.5%45.5%7.3%45.5%
Call IV 25d30.9%21.8%63.5%30.9%27.4%
Put IV 25d34.6%27.0%48.4%43.1%41.6%
Bid-Ask Spread %108.1888.76122.83111.69104.33
Gamma HHI0.500.380.690.390.69
Net GEX-30.3K-111.6K28.5K11.6K-111.6K
Net DEX-155.9K-731.1K329.3K-384.3K262.1K
Net VEX-6.0K-7.1K-5.4K-6.6K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.472.431.160.61
Total Volume322.55188551386188
Total OI1,400.11,1971,5481,1971,376

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$42.42$45.0046.6%13.4%18.4%18.5%33.0%12.3%-15.1%11.6K-384.3K-6.6K1.16111.69N/AN/A179207563634
2017-01-04$43.13$45.0026.1%7.5%18.9%4.1%32.1%7.3%0.3%23.6K-573.5K-5.6K1.30101.74N/AN/A159207563634
2017-01-05$43.43$40.0030.3%8.8%18.4%7.0%29.8%2.9%0.1%28.5K-731.1K-5.9K2.4388.76N/AN/A159387568634
2017-01-06$43.14$40.0043.7%9.3%18.5%16.4%26.2%-1.7%-9.6%4.7K-422.4K-6.0K2.36110.42N/AN/A164387568834
2017-01-09$42.48$40.0048.3%9.8%18.6%19.6%34.1%12.3%17.6%-5.2K-382.0K-6.5K1.09109.22N/AN/A169184572834
2017-01-10$42.53$40.0031.6%7.6%17.7%7.9%31.7%3.4%21.6%-7.8K-342.4K-6.7K1.05102.13N/AN/A169177582881
2017-01-11$42.69$40.0032.3%9.2%17.5%6.8%32.0%6.9%2.5%-9.7K-230.4K-6.3K1.04114.42N/AN/A169175582891
2017-01-12$42.31$40.0041.5%11.9%15.9%13.4%34.6%10.8%-13.8%-28.1K-131.0K-6.8K1.04108.97N/AN/A169175582949
2017-01-13$42.69$40.0050.4%14.4%14.4%19.7%42.0%-19.4%-10.9%-5.5K-311.1K-7.1K1.04122.83N/AN/A169175582949
2017-01-17$42.45$40.0035.8%10.2%14.3%9.3%30.7%5.6%-14.3%-22.5K-339.1K-6.1K1.04107.22N/AN/A169175582949
2017-01-18$41.39$40.0032.2%9.2%16.8%6.8%30.6%4.7%-1.0%-59.5K84.8K-6.0K0.7594.87N/AN/A169126582949
2017-01-19$41.44$40.0034.5%9.9%16.4%8.4%25.7%-0.4%-6.9%-66.2K113.6K-5.8K0.75120.43N/AN/A169126582966
2017-01-20$41.42$40.0035.8%10.3%16.4%9.3%26.9%6.2%-11.0%-30.6K-34.6K-5.4K0.47113.58N/AN/A16979582966
2017-01-23$41.09$40.0030.3%8.7%16.1%5.4%30.6%2.5%-0.6%-47.5K-40.3K-5.6K0.79110.40N/AN/A152120493772
2017-01-24$41.56$40.0039.6%11.3%16.6%12.0%30.3%-9.8%-13.1%-52.8K95.7K-5.7K0.78112.06N/AN/A155121487864
2017-01-25$42.06$40.0039.8%11.4%17.0%12.2%30.0%-1.2%-18.3%-56.7K-64.7K-5.7K0.81112.27N/AN/A159129495862
2017-01-26$41.66$40.0026.1%7.5%17.2%2.4%29.6%3.8%7.3%-32.6K-81.6K-5.8K0.81103.75N/AN/A159129500862
2017-01-27$41.07$40.0027.7%7.9%17.3%3.5%28.6%8.6%3.5%-60.4K65.4K-5.6K0.5594.09N/AN/A12267501862
2017-01-30$40.49$40.0026.8%7.7%17.9%2.9%31.5%5.0%14.3%-78.8K329.3K-5.7K0.61120.42N/AN/A11771499869
2017-01-31$41.16$40.0024.1%6.9%18.5%1.0%28.7%14.2%-1.9%-111.6K262.1K-5.4K0.61104.33N/AN/A11771498878