VET Options History — December 2017

In December 2017, VET traded between $32.37 and $36.36. ATM implied volatility averaged 24.2%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 4.6% (HV 20d: 28.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2017-12-27: Highest Volume — 344 contracts
  • 2017-12-07: Largest IV spike — 43.9% change
  • 2017-12-07: Highest IV Rank — 28.9%
  • 2017-12-07: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.32$32.37$36.36$35.34$36.33
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV24.2%17.7%39.0%23.1%24.0%
Expected Move6.2%5.1%7.4%6.6%6.9%
HV 20d28.8%23.0%33.6%27.4%31.2%
HV 60d25.0%22.8%26.8%24.2%26.8%
IV Rank11.1%3.3%28.9%9.7%11.1%
IV Percentile30.3%1.2%90.9%20.2%29.0%
Term Structure2.1%-2.0%5.2%-0.8%1.2%
VWIV22.3%19.3%25.3%23.2%24.3%
Skew 25d3.2%-6.5%7.2%6.4%6.8%
Skew 10d7.5%-6.6%30.0%11.5%9.4%
Call IV 25d20.2%16.4%24.6%20.3%17.5%
Put IV 25d23.3%17.4%27.0%26.7%24.3%
Bid-Ask Spread %45.2516.4895.8595.8518.98
Gamma HHI0.500.340.700.500.38
Net GEX-17.2K-59.0K44.2K-14.5K5.5K
Net DEX153.0K-978.1K1.1M-230.6K-700.1K
Net VEX-5.9K-7.3K-4.9K-5.3K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.302.620.850.46
Total Volume200.2117344120131
Total OI1,700.951,2812,0611,7961,668

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$35.34$35.0023.1%6.6%27.4%9.7%23.2%6.4%-0.8%-14.5K-230.6K-5.3K0.8595.85N/AN/A65557031,093
2017-12-04$34.55$35.0026.2%6.8%27.7%13.5%24.0%-6.5%1.4%-29.2K181.7K-5.5K0.8093.13N/AN/A65527001,113
2017-12-05$34.00$35.0021.0%6.7%23.0%7.2%21.7%6.6%1.6%-32.4K421.2K-5.4K0.7225.40N/AN/A72527011,115
2017-12-06$32.99$35.0027.1%5.9%24.6%14.5%19.8%3.0%2.0%-48.1K817.2K-5.4K1.2263.62N/AN/A72886941,115
2017-12-07$32.37$35.0039.0%7.4%24.5%28.9%23.4%3.7%1.9%-54.6K1.1M-4.9K0.8372.18N/AN/A86716941,163
2017-12-08$32.72$35.0034.0%5.1%24.6%22.9%20.3%1.6%2.5%-59.0K1.0M-5.5K0.8223.42N/AN/A90746911,190
2017-12-11$33.86$35.0031.5%6.2%28.6%19.9%22.4%3.3%2.0%-43.3K702.0K-5.5K0.9428.56N/AN/A99937021,190
2017-12-12$34.21$35.0030.3%7.0%29.0%18.4%25.3%6.4%1.5%-37.7K532.6K-5.6K0.3475.12N/AN/A235817131,210
2017-12-13$33.37$35.0021.0%6.0%28.9%7.2%22.8%3.6%5.1%-34.3K638.3K-6.1K0.4787.64N/AN/A175828491,205
2017-12-14$33.18$35.0019.5%5.6%28.8%5.6%23.7%3.6%2.6%-21.4K737.8K-6.1K0.4040.23N/AN/A178728491,212
2017-12-15$33.10$35.0017.7%5.1%28.8%3.3%21.0%2.1%3.9%-21.5K655.3K-5.8K0.4326.41N/AN/A169738521,182
2017-12-18$33.07$35.0019.1%5.5%28.6%5.1%21.7%-0.0%1.5%-21.9K358.5K-5.8K0.3729.80N/AN/A14453455826
2017-12-19$33.25$35.0019.3%5.5%27.9%5.3%21.9%0.7%1.1%-18.2K242.8K-6.1K0.7131.43N/AN/A8661521826
2017-12-20$34.39$35.0019.3%5.5%30.7%5.3%19.3%-0.6%5.2%-3.2K-62.1K-6.3K0.6943.06N/AN/A8659556836
2017-12-21$35.75$35.0020.7%5.9%33.6%7.1%20.7%3.4%3.5%6.6K-510.1K-6.3K0.3422.78N/AN/A14851556825
2017-12-22$35.50$35.0021.1%6.1%33.1%7.6%21.1%2.9%2.4%11.3K-471.6K-6.1K0.3537.18N/AN/A15654576818
2017-12-26$36.17$35.0020.2%5.8%31.3%6.4%19.9%4.9%3.4%44.2K-978.1K-4.9K0.3037.47N/AN/A14844655819
2017-12-27$35.88$35.0024.1%6.9%31.5%11.3%24.9%4.6%2.3%21.8K-689.3K-6.5K2.5116.48N/AN/A98246657816
2017-12-28$36.36$35.0024.8%7.1%31.8%12.1%25.1%7.2%-2.0%6.0K-730.9K-7.2K2.6236.20N/AN/A942466481,025
2017-12-29$36.33$35.0024.0%6.9%31.2%11.1%24.3%6.8%1.2%5.5K-700.1K-7.3K0.4618.98N/AN/A90416431,025