VET Options History — November 2018

In November 2018, VET traded between $23.48 and $27.00. ATM implied volatility averaged 44.8%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 7.0% (HV 20d: 37.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2018-11-29: Highest Volume — 589 contracts
  • 2018-11-13: Largest IV spike — 70.7% change
  • 2018-11-26: Highest IV Rank — 78.5%
  • 2018-11-26: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.98$23.48$27.00$27.00$24.84
Max Pain$30.48$30.00$35.00$35.00$30.00
ATM IV44.8%34.3%76.6%35.1%37.6%
Expected Move12.0%9.2%22.0%10.1%10.8%
HV 20d37.8%30.6%45.2%33.5%42.8%
HV 60d32.6%30.3%35.3%30.3%35.3%
IV Rank38.2%24.9%78.5%25.9%29.1%
IV Percentile92.8%86.1%99.6%90.9%87.7%
Term Structure-6.2%-53.6%3.4%3.4%-2.5%
VWIV38.7%28.2%52.8%38.2%47.0%
Skew 25d6.9%-5.3%23.9%15.8%-5.3%
Skew 10d6.5%-11.2%26.2%11.8%-11.2%
Call IV 25d36.0%24.6%46.8%24.6%44.5%
Put IV 25d42.9%34.2%70.6%40.4%39.2%
Bid-Ask Spread %88.4572.50102.68100.3172.50
Gamma HHI0.420.360.490.420.42
Net GEX-26.2K-33.7K-17.1K-33.7K-25.1K
Net DEX1.5M968.3K1.9M1.5M1.2M
Net VEX-4.6K-6.3K-3.3K-5.2K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.211.370.940.44
Total Volume334.429236589244588
Total OI1,876.4761,7342,1671,7342,167

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$27.00$35.0035.1%10.1%33.5%25.9%38.2%15.8%3.4%-33.7K1.5M-5.2K0.94100.31N/AN/A1261187221,012
2018-11-02$26.00$35.0037.3%10.7%34.7%28.6%40.7%8.3%-1.5%-29.3K1.6M-4.5K1.21102.68N/AN/A1261527271,019
2018-11-05$26.13$30.0049.1%12.6%35.1%43.6%38.9%6.4%-9.9%-28.5K1.5M-5.3K1.3182.42N/AN/A1161527271,043
2018-11-06$25.53$30.0059.0%11.9%35.1%56.2%44.3%5.0%-2.9%-26.7K1.6M-4.6K1.3792.75N/AN/A1101517271,018
2018-11-07$25.62$30.0036.4%9.2%32.8%27.6%34.2%-0.1%-1.0%-29.1K1.7M-4.0K1.1577.54N/AN/A1101267231,025
2018-11-08$24.69$30.0042.7%10.7%34.2%35.5%28.2%12.5%-3.8%-27.7K1.8M-3.7K0.6078.66N/AN/A1721047231,034
2018-11-09$24.05$30.0038.0%12.2%33.9%29.6%36.9%4.0%-9.2%-25.2K1.8M-3.7K0.6383.21N/AN/A1761107951,056
2018-11-12$23.70$30.0043.4%11.6%33.7%36.4%39.9%4.2%-3.0%-25.9K1.9M-3.3K0.6281.27N/AN/A1781108121,078
2018-11-13$23.48$30.0074.1%11.6%30.6%75.3%44.2%-3.8%-0.1%-23.3K1.9M-3.3K0.5785.74N/AN/A1781028151,078
2018-11-14$24.56$30.0034.3%9.8%36.9%24.9%34.0%7.8%1.7%-33.5K1.8M-4.0K0.6386.51N/AN/A2071308131,115
2018-11-15$25.07$30.0037.5%10.7%36.8%28.9%35.5%9.2%-2.1%-32.8K1.8M-4.6K0.7589.11N/AN/A2031528461,140
2018-11-16$25.20$30.0036.0%10.3%37.1%27.0%35.0%10.6%1.0%-28.5K1.8M-4.8K0.7791.95N/AN/A1931488581,195
2018-11-19$25.46$30.0036.6%10.5%37.4%27.8%34.8%11.8%3.0%-29.3K1.3M-4.9K0.7694.91N/AN/A184139847973
2018-11-20$24.14$30.0044.5%12.8%40.8%37.8%45.0%1.9%-10.7%-22.6K1.3M-4.9K0.5391.08N/AN/A18196847968
2018-11-21$25.31$30.0039.8%11.4%45.2%31.8%34.0%11.7%-0.6%-26.9K1.3M-4.8K0.3679.99N/AN/A25392846971
2018-11-23$24.61$30.0053.8%15.4%43.4%49.6%38.8%12.1%-7.0%-19.5K1.3M-4.8K0.3497.68N/AN/A25888926972
2018-11-26$24.61$30.0076.6%22.0%43.3%78.5%52.8%23.9%-53.6%-17.1K1.1M-4.8K0.39101.30N/AN/A22388926974
2018-11-27$24.60$30.0036.5%10.5%41.6%27.7%34.2%3.1%0.4%-25.5K1.4M-4.3K0.3980.33N/AN/A21384931974
2018-11-28$24.66$30.0055.0%15.8%41.6%51.1%37.3%2.7%-23.7%-19.7K1.3M-4.6K0.2199.24N/AN/A41285932974
2018-11-29$25.40$30.0037.5%10.8%42.7%29.0%38.4%3.2%-8.2%-19.5K968.3K-5.8K0.4488.24N/AN/A4091801,103974
2018-11-30$24.84$30.0037.6%10.8%42.8%29.1%47.0%-5.3%-2.5%-25.1K1.2M-6.3K0.4472.50N/AN/A4091791,0941,073