VET Options History — November 2017

In November 2017, VET traded between $34.64 and $37.97. ATM implied volatility averaged 22.8%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.7% (HV 20d: 26.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2017-11-03: Highest Volume — 282 contracts
  • 2017-11-13: Largest IV spike — 42.3% change
  • 2017-11-15: Highest IV Rank — 13.2%
  • 2017-11-15: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.94$34.64$37.97$35.14$35.26
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV22.8%17.2%26.0%24.7%23.5%
Expected Move6.6%4.9%7.4%7.1%6.7%
HV 20d26.6%22.1%28.7%22.5%27.4%
HV 60d24.2%23.1%25.0%23.4%24.2%
IV Rank9.4%2.6%13.2%11.6%10.2%
IV Percentile20.7%0.4%43.7%26.6%22.2%
Term Structure1.0%-1.2%3.0%-0.4%-0.4%
VWIV23.3%19.9%26.0%24.7%23.5%
Skew 25d7.0%0.2%29.3%25.2%8.5%
Skew 10d12.1%1.5%43.5%43.5%13.5%
Call IV 25d20.7%17.3%30.1%30.1%17.4%
Put IV 25d27.7%20.3%55.2%55.2%26.0%
Bid-Ask Spread %70.1418.3998.5698.5659.23
Gamma HHI0.420.340.630.390.53
Net GEX10.4K-36.0K49.6K31.1K-17.9K
Net DEX-500.2K-1.3M272.0K-267.4K-159.2K
Net VEX-5.8K-6.6K-5.2K-6.4K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.662.962.960.86
Total Volume198.476105282214184
Total OI1,7951,7081,8541,7081,796

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$35.14$35.0024.7%7.1%22.5%11.6%24.7%25.2%-0.4%31.1K-267.4K-6.4K2.9698.56N/AN/A541606831,025
2017-11-02$35.20$35.0025.4%7.2%22.5%12.5%25.0%2.8%1.6%27.2K-283.1K-6.6K1.5883.37N/AN/A1011606941,045
2017-11-03$35.83$35.0020.1%7.3%22.1%6.1%23.2%4.8%0.9%27.7K-460.5K-6.3K1.2981.32N/AN/A1231596941,046
2017-11-06$37.33$35.0026.0%6.9%26.1%13.2%22.8%1.6%1.9%32.6K-1.0M-5.5K1.4986.52N/AN/A1001497091,050
2017-11-07$37.35$35.0020.8%7.3%25.8%6.9%22.8%2.3%0.9%33.6K-1.1M-5.7K1.7184.10N/AN/A921577551,070
2017-11-08$37.58$35.0017.2%4.9%25.7%2.6%22.5%3.2%2.7%42.8K-1.2M-5.6K2.1689.70N/AN/A861867581,075
2017-11-09$37.97$35.0021.3%6.1%25.1%7.6%23.0%2.9%2.8%49.6K-1.3M-5.7K2.5582.85N/AN/A621587581,064
2017-11-10$37.53$35.0017.7%5.1%25.8%3.1%23.1%2.1%3.0%42.2K-1.2M-5.6K2.5491.33N/AN/A651657681,064
2017-11-13$37.06$35.0025.1%7.2%26.4%12.2%21.9%3.6%0.3%17.0K-1.1M-5.4K2.6083.54N/AN/A571487651,067
2017-11-14$36.13$35.0024.0%6.9%28.2%10.8%21.4%5.3%1.5%26.7K-788.2K-5.5K2.4772.80N/AN/A591467661,067
2017-11-15$35.74$35.0026.0%7.4%28.4%13.2%26.0%10.9%-0.1%45.1K-589.7K-5.9K0.8140.34N/AN/A63517711,068
2017-11-16$35.76$35.0024.4%7.0%28.4%11.3%24.8%10.3%0.7%32.7K-728.2K-5.6K0.7148.26N/AN/A72517811,063
2017-11-17$35.90$35.0024.8%7.1%26.7%11.8%24.7%7.8%-0.2%-3.3K-862.2K-5.2K1.8061.66N/AN/A751357911,063
2017-11-20$35.07$35.0022.5%6.5%28.2%9.0%22.6%2.5%1.5%-21.2K42.3K-5.9K1.6286.03N/AN/A61996421,090
2017-11-21$34.90$35.0022.9%6.6%28.3%9.5%23.5%1.5%0.6%-26.4K144.9K-5.9K0.6733.85N/AN/A63426471,105
2017-11-22$35.22$35.0019.9%5.7%26.8%5.8%19.9%3.0%2.7%-25.4K1.2K-5.8K0.7485.02N/AN/A87646501,105
2017-11-24$35.84$35.0022.6%6.5%27.3%9.1%22.7%18.5%0.1%-16.7K-217.2K-5.9K0.6693.70N/AN/A97646801,123
2017-11-27$34.65$35.0025.1%7.2%28.7%12.1%25.2%0.2%-1.2%-36.0K272.0K-6.1K0.7318.39N/AN/A118866901,123
2017-11-28$34.73$35.0023.7%6.8%28.7%10.5%23.8%0.8%-0.2%-25.4K150.2K-5.8K0.8567.01N/AN/A100857001,088
2017-11-29$34.64$35.0021.9%6.3%28.6%8.3%21.9%29.3%2.6%-17.2K105.6K-5.6K0.8625.33N/AN/A99857031,093
2017-11-30$35.26$35.0023.5%6.7%27.4%10.2%23.5%8.5%-0.4%-17.9K-159.2K-5.4K0.8659.23N/AN/A99857031,093