VET Options History — January 2018

In January 2018, VET traded between $37.41 and $40.32. ATM implied volatility averaged 21.1%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 3.7% (HV 20d: 24.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2018-01-04: Highest Volume — 662 contracts
  • 2018-01-10: Largest IV spike — 40.0% change
  • 2018-01-29: Highest IV Rank — 13.8%
  • 2018-01-29: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.73$37.41$40.32$37.41$37.83
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV21.1%14.7%25.8%20.9%23.4%
Expected Move6.4%5.5%7.4%6.0%6.7%
HV 20d24.7%20.0%32.8%32.8%22.6%
HV 60d27.3%26.9%27.8%27.5%27.5%
IV Rank7.9%0.0%13.8%7.3%10.9%
IV Percentile18.8%0.0%58.3%10.3%32.9%
Term Structure2.0%-0.2%10.7%10.7%0.9%
VWIV24.1%16.7%28.5%16.7%28.5%
Skew 25d4.8%-1.1%10.4%10.1%-0.3%
Skew 10d9.6%-1.2%32.7%11.1%5.0%
Call IV 25d21.7%14.4%28.0%14.4%28.0%
Put IV 25d26.5%19.1%31.0%24.5%27.7%
Bid-Ask Spread %77.6141.4990.8879.5886.66
Gamma HHI0.540.410.680.480.41
Net GEX22.7K-44.6K82.5K9.6K-2.8K
Net DEX-1.3M-2.1M-578.9K-1.1M-578.9K
Net VEX-7.1K-8.2K-5.7K-6.3K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.255.130.500.72
Total Volume233.476123662123272
Total OI2,277.4291,6702,5461,6702,427

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$37.41$35.0020.9%6.0%32.8%7.3%16.7%10.1%10.7%9.6K-1.1M-6.3K0.5079.58N/AN/A82416451,025
2018-01-03$37.81$35.0020.9%6.0%31.4%7.3%25.1%-0.2%-0.2%11.3K-1.2M-6.4K0.5387.00N/AN/A90486571,025
2018-01-04$38.01$35.0016.2%6.5%30.5%1.4%26.2%3.0%0.7%22.6K-1.3M-5.7K5.1379.49N/AN/A1085546731,035
2018-01-05$37.63$35.0014.7%7.0%28.1%0.0%25.8%3.1%0.5%-44.6K-841.9K-7.7K0.6673.50N/AN/A98656821,558
2018-01-08$37.51$35.0019.5%6.8%26.7%6.0%25.8%2.1%0.1%-41.6K-827.2K-6.8K0.4156.09N/AN/A98406831,561
2018-01-09$38.09$35.0015.7%6.3%26.9%1.3%22.9%2.9%1.8%-44.0K-1.1M-7.3K0.3268.89N/AN/A158506831,566
2018-01-10$37.68$35.0022.0%6.3%25.7%9.1%23.8%3.4%0.7%-28.9K-955.4K-7.8K0.4368.86N/AN/A155667811,569
2018-01-11$38.19$35.0019.2%5.5%25.8%5.7%23.4%2.8%1.6%-25.3K-1.2M-8.0K0.4069.37N/AN/A165667831,549
2018-01-12$38.68$35.0022.4%6.4%23.2%9.7%25.4%4.5%3.1%-4.1K-1.5M-6.8K0.6186.20N/AN/A117718091,554
2018-01-16$38.93$35.0019.7%5.6%22.7%6.2%20.0%8.9%4.8%8.1K-1.6M-7.0K0.2586.36N/AN/A208538301,575
2018-01-17$39.85$35.0023.7%6.8%23.0%11.2%27.9%10.4%1.0%61.2K-2.1M-6.8K0.5587.12N/AN/A131729281,580
2018-01-18$39.30$35.0021.6%6.2%24.2%8.6%24.5%5.2%2.8%47.2K-1.8M-6.5K0.4777.37N/AN/A129619181,601
2018-01-19$39.19$35.0021.5%6.2%24.5%8.4%22.6%7.7%3.0%50.1K-1.7M-7.2K0.5087.37N/AN/A115579381,608
2018-01-22$40.16$35.0022.1%6.3%23.4%9.3%22.4%9.6%1.8%74.1K-1.5M-6.5K0.5241.49N/AN/A107567871,540
2018-01-23$40.32$35.0022.6%6.5%20.4%9.9%23.3%10.1%1.7%78.0K-1.6M-6.6K0.4681.83N/AN/A127587991,552
2018-01-24$40.22$35.0022.4%6.4%20.0%9.6%23.1%8.5%-0.1%82.5K-1.6M-6.8K0.8482.57N/AN/A1261068191,554
2018-01-25$39.64$35.0021.9%6.3%20.8%8.9%22.2%-0.8%2.9%82.2K-1.4M-6.9K0.8590.88N/AN/A1261078201,523
2018-01-26$39.75$35.0024.6%7.0%20.2%12.3%24.6%-1.1%0.5%69.7K-1.4M-7.5K0.5090.20N/AN/A2221108201,524
2018-01-29$39.13$35.0025.8%7.4%21.3%13.8%26.8%6.4%1.1%61.3K-1.2M-7.4K0.5282.59N/AN/A2121108901,530
2018-01-30$37.90$35.0021.3%6.1%24.7%8.2%25.2%4.8%3.1%10.8K-683.4K-8.2K0.5966.34N/AN/A167998901,535
2018-01-31$37.83$35.0023.4%6.7%22.6%10.9%28.5%-0.3%0.9%-2.8K-578.9K-8.2K0.7286.66N/AN/A1581148901,537