VET Options History — December 2018

In December 2018, VET traded between $20.00 and $25.36. ATM implied volatility averaged 46.7%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 0.2% (HV 20d: 46.9%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2018-12-14: Highest Volume — 409 contracts
  • 2018-12-06: Largest IV spike — 50.1% change
  • 2018-12-21: Highest IV Rank — 58.5%
  • 2018-12-21: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.09$20.00$25.36$25.36$21.09
Max Pain$24.88$22.50$30.00$30.00$22.50
ATM IV46.7%30.6%60.9%38.0%48.8%
Expected Move13.1%8.8%17.4%10.9%14.0%
HV 20d46.9%41.8%51.9%41.8%51.9%
HV 60d39.0%35.4%42.9%35.5%42.9%
IV Rank40.6%20.2%58.5%29.6%43.2%
IV Percentile91.9%72.2%98.0%87.7%92.9%
Term Structure-2.2%-18.5%29.3%-3.1%2.9%
VWIV44.8%32.6%58.7%38.5%58.5%
Skew 25d0.5%-15.0%14.0%-6.5%0.6%
Skew 10d3.8%-40.8%27.1%-8.8%21.1%
Call IV 25d45.8%30.8%64.1%46.0%53.7%
Put IV 25d46.3%27.3%63.3%39.5%54.3%
Bid-Ask Spread %92.3968.84119.1998.64100.86
Gamma HHI0.380.240.510.430.49
Net GEX-6.8K-31.3K8.5K-26.8K8.5K
Net DEX1.1M749.5K1.6M1.1M762.1K
Net VEX-6.1K-7.1K-4.7K-6.3K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.023.432.001.29
Total Volume147.784091232
Total OI2,390.552,0272,8722,1652,283

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$25.36$30.0038.0%10.9%41.8%29.6%38.5%-6.5%-3.1%-26.8K1.1M-6.3K2.0098.64N/AN/A481,0901,075
2018-12-04$24.65$30.0030.6%8.8%42.8%20.2%32.6%-8.6%7.6%-31.3K1.3M-5.7K1.33100.16N/AN/A681,0931,072
2018-12-05$24.62$30.0036.7%10.5%42.1%27.9%37.3%-13.8%-0.4%-28.0K1.3M-5.9K1.3390.75N/AN/A681,0931,072
2018-12-06$23.75$22.5055.1%12.2%43.7%51.2%44.5%4.3%0.4%-18.1K1.0M-5.8K0.0276.73N/AN/A20241,093934
2018-12-07$24.34$22.5043.5%10.9%43.0%36.5%38.9%-14.9%1.8%-17.7K749.5K-7.0K1.2085.66N/AN/A10121,293938
2018-12-10$22.81$22.5054.3%13.3%47.9%50.2%41.6%7.6%-3.8%-11.9K1.1M-5.8K0.2184.80N/AN/A57121,300942
2018-12-11$22.98$25.0042.1%13.1%47.8%34.7%40.2%5.3%-7.3%-12.3K1.1M-5.8K1.2473.08N/AN/A901121,355952
2018-12-12$22.46$25.0051.2%14.7%48.4%46.3%44.2%8.4%-18.5%-12.5K1.2M-6.2K1.2978.78N/AN/A941211,3881,052
2018-12-13$22.56$25.0041.6%11.9%45.2%34.1%41.5%3.5%-2.1%-10.9K1.3M-6.1K1.6968.84N/AN/A951611,3921,061
2018-12-14$21.59$25.0042.5%12.2%46.3%35.2%42.2%-15.0%-2.2%-10.1K1.5M-5.7K0.7379.88N/AN/A2371721,3931,106
2018-12-17$20.86$25.0042.5%12.2%46.9%35.2%37.5%11.3%-14.6%-3.0K1.5M-5.7K3.43107.82N/AN/A7241,5691,112
2018-12-18$20.15$25.0050.4%14.5%47.2%45.3%51.7%5.1%-4.0%-2.1K1.6M-4.9K0.8986.29N/AN/A107951,5731,125
2018-12-19$21.36$25.0047.5%13.6%50.6%41.7%51.1%10.8%-1.7%-2.1K1.1M-7.1K0.35115.48N/AN/A253891,6731,047
2018-12-20$21.14$25.0053.0%15.2%46.5%48.5%46.5%0.4%-3.3%7.7K1.1M-6.9K0.3491.79N/AN/A253861,8131,059
2018-12-21$20.61$25.0060.9%17.4%46.4%58.5%58.7%14.0%-16.4%6.6K1.1M-6.8K0.26101.36N/AN/A157411,8131,047
2018-12-24$20.00$25.0048.6%13.9%46.8%43.0%51.7%-13.7%29.3%6.0K1.1M-4.7K0.34119.19N/AN/A237801,334875
2018-12-26$20.89$22.5050.6%14.5%50.5%45.6%45.7%4.8%-4.2%7.4K789.7K-6.7K1.6798.28N/AN/A351,385875
2018-12-27$20.15$22.5045.2%13.0%51.3%38.7%43.6%5.7%-1.8%7.1K903.0K-6.2K0.9392.62N/AN/A15141,385874
2018-12-28$20.48$22.5050.9%14.6%50.1%45.9%50.2%0.8%-3.2%7.4K817.8K-6.5K0.6896.73N/AN/A22151,393882
2018-12-31$21.09$22.5048.8%14.0%51.9%43.2%58.5%0.6%2.9%8.5K762.1K-6.8K1.29100.86N/AN/A14181,399884