VET Options History — November 2019

In November 2019, VET traded between $13.89 and $15.28. ATM implied volatility averaged 35.3%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 22.6% (HV 20d: 57.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2019-11-04: Highest Volume — 2,833 contracts
  • 2019-11-04: Largest IV spike — 53.3% change
  • 2019-11-04: Highest IV Rank — 43.1%
  • 2019-11-05: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.75$13.89$15.28$13.89$14.48
Max Pain$16.38$15.00$17.50$15.00$15.00
ATM IV35.3%28.5%43.7%28.5%30.2%
Expected Move10.0%8.2%11.5%8.2%8.7%
HV 20d57.9%44.9%60.1%50.8%44.9%
HV 60d50.3%48.8%52.3%49.0%48.8%
IV Rank28.6%16.8%43.1%16.8%20.1%
IV Percentile44.9%8.3%84.5%8.3%17.9%
Term Structure3.6%-1.8%34.3%20.6%3.6%
VWIV35.5%30.0%41.0%31.9%30.2%
Skew 25d4.4%-11.1%23.2%23.2%11.7%
Skew 10d6.4%-17.2%26.0%26.0%16.1%
Call IV 25d35.5%21.5%43.5%21.5%30.1%
Put IV 25d39.9%27.3%44.7%44.7%41.8%
Bid-Ask Spread %75.9467.1786.3167.1774.97
Gamma HHI0.460.320.610.330.45
Net GEX114.2K8.1K214.7K19.1K65.2K
Net DEX152.8K-2.4M2.9M2.9M619.8K
Net VEX-32.0K-40.6K-25.4K-26.4K-29.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.041.680.121.68
Total Volume719.81312,8331,205193
Total OI23,737.4521,11925,00821,11925,008

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$13.89$15.0028.5%8.2%50.8%16.8%31.9%23.2%20.6%19.1K2.9M-26.4K0.1267.17N/AN/A1,07912614,6036,516
2019-11-04$15.16$17.5043.7%11.1%60.1%43.1%40.0%2.0%-1.8%129.9K-997.8K-35.9K0.1879.65N/AN/A2,41042315,3346,593
2019-11-05$15.28$17.5039.7%11.5%59.0%36.2%41.0%0.7%-1.6%208.9K-2.4M-40.6K1.0378.00N/AN/A1,1251,16116,6866,694
2019-11-06$14.84$17.5035.4%11.1%60.0%28.8%39.4%-0.4%0.4%175.9K-809.6K-36.9K0.6974.63N/AN/A1389517,2346,574
2019-11-07$15.00$17.5038.0%10.9%59.6%33.2%38.7%5.6%0.9%173.1K-1.2M-36.6K0.2486.31N/AN/A1493617,3166,556
2019-11-08$15.03$17.5039.1%10.9%58.8%35.1%39.0%-0.7%0.1%190.8K-1.2M-36.4K0.3774.88N/AN/A2459117,4346,564
2019-11-11$15.07$17.5039.1%10.8%58.6%35.1%38.8%4.4%0.3%214.7K-1.4M-35.1K0.3277.63N/AN/A37512017,4516,521
2019-11-12$14.74$17.5041.6%10.6%59.0%39.5%38.4%0.3%1.9%176.1K320.7K-31.8K0.3083.38N/AN/A41112317,7566,499
2019-11-13$14.62$17.5035.8%10.3%59.0%29.3%37.2%-11.1%1.8%153.4K1.4M-30.3K0.2670.67N/AN/A1042717,9326,473
2019-11-14$14.43$17.5038.2%11.0%59.1%33.6%38.7%0.3%-0.2%86.8K2.1M-28.6K0.9973.06N/AN/A24424117,9366,469
2019-11-15$14.76$17.5035.1%10.1%58.8%28.2%35.5%-0.5%1.5%74.1K1.7M-29.0K0.5172.55N/AN/A61531218,0116,421
2019-11-18$14.60$17.5033.8%9.7%58.5%25.9%33.6%5.9%34.3%27.8K996.5K-28.4K0.0872.19N/AN/A2502116,6745,562
2019-11-19$14.36$15.0032.3%9.3%58.1%23.3%32.3%5.4%2.1%8.1K1.6M-25.4K0.0778.19N/AN/A1,1178116,9045,564
2019-11-20$14.60$15.0032.7%9.4%58.3%24.1%33.0%1.1%1.2%64.7K699.0K-29.3K0.0484.96N/AN/A5352317,8715,615
2019-11-21$15.02$15.0035.1%10.1%59.1%28.1%35.2%-0.9%-0.9%140.5K-845.9K-33.8K0.2871.38N/AN/A43012018,2045,604
2019-11-22$14.84$15.0032.5%9.3%58.7%23.7%32.1%9.4%1.8%96.8K-74.9K-32.0K0.4271.13N/AN/A24810418,5865,639
2019-11-25$15.03$15.0032.8%9.4%58.9%24.3%32.6%10.0%1.4%117.6K-730.4K-32.2K0.4274.65N/AN/A67228218,7715,658
2019-11-26$14.54$15.0031.8%9.1%60.0%23.0%31.8%10.7%2.1%73.3K517.5K-30.5K0.8179.22N/AN/A19916218,9315,761
2019-11-27$14.76$15.0030.1%8.6%58.5%19.9%30.0%11.1%3.3%87.2K-12.8K-31.5K0.2274.26N/AN/A2545519,0975,727
2019-11-29$14.48$15.0030.2%8.7%44.9%20.1%30.2%11.7%3.6%65.2K619.8K-29.2K1.6874.97N/AN/A7212119,2985,710