VET Options History — December 2019

In December 2019, VET traded between $13.93 and $16.68. ATM implied volatility averaged 30.5%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 3.2% (HV 20d: 33.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2019-12-18: Highest Volume — 2,593 contracts
  • 2019-12-31: Largest IV drop — 54.9% change
  • 2019-12-03: Highest IV Rank — 39.9%
  • 2019-12-03: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.34$13.93$16.68$14.06$16.36
Max Pain$15.12$15.00$17.50$15.00$17.50
ATM IV30.5%16.3%41.3%34.4%16.3%
Expected Move8.8%4.7%11.9%9.9%4.7%
HV 20d33.6%29.0%43.5%43.5%31.7%
HV 60d45.1%42.7%49.6%49.1%42.8%
IV Rank20.9%0.0%39.9%27.7%0.0%
IV Percentile26.6%0.0%78.2%44.0%0.0%
Term Structure1.2%-16.4%10.9%-0.3%10.9%
VWIV30.4%19.4%42.0%36.2%19.4%
Skew 25d2.3%-4.9%18.2%7.1%18.2%
Skew 10d0.7%-12.2%18.0%-12.2%15.4%
Call IV 25d31.8%16.1%41.9%34.4%16.1%
Put IV 25d34.1%24.0%48.0%41.5%34.3%
Bid-Ask Spread %81.1270.7093.4574.9970.70
Gamma HHI0.410.330.500.410.50
Net GEX201.3K37.7K371.5K37.7K302.1K
Net DEX-4.2M-9.4M1.8M1.8M-5.9M
Net VEX-32.4K-38.6K-25.6K-25.6K-38.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.052.570.550.07
Total Volume744.7141862,593429845
Total OI23,956.14315,83128,29324,88016,957

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$14.06$15.0034.4%9.9%43.5%27.7%36.2%7.1%-0.3%37.7K1.8M-25.6K0.5574.99N/AN/A27715219,2545,626
2019-12-03$13.93$15.0041.3%11.9%29.0%39.9%42.0%6.1%-0.7%55.2K1.4M-27.8K0.2985.16N/AN/A68120019,4265,651
2019-12-04$14.49$15.0034.7%9.9%32.7%28.1%34.8%10.7%3.5%91.6K-298.3K-31.7K0.2593.45N/AN/A2706720,0675,717
2019-12-05$14.39$15.0035.6%10.7%31.2%29.8%38.0%-2.1%-0.7%93.0K189.2K-29.4K1.0284.28N/AN/A12913120,2355,746
2019-12-06$14.78$15.0034.1%9.1%32.5%27.0%30.6%10.9%4.5%126.9K-1.1M-32.4K2.5778.63N/AN/A14036020,3325,766
2019-12-09$14.89$15.0032.2%9.4%32.6%23.7%34.0%1.9%3.9%121.2K-1.4M-32.3K0.4378.41N/AN/A61326220,4365,978
2019-12-10$14.77$15.0031.3%9.5%32.7%22.2%25.8%0.4%2.4%157.7K-1.5M-31.7K1.8776.56N/AN/A28353020,8725,641
2019-12-11$14.62$15.0031.9%9.1%32.0%23.1%31.9%0.4%4.6%126.3K-523.3K-30.0K0.0589.28N/AN/A4582321,1235,847
2019-12-12$15.07$15.0033.6%9.6%33.6%26.2%34.0%-3.5%2.3%189.0K-3.4M-34.0K2.5582.40N/AN/A19349321,6055,869
2019-12-13$14.88$15.0029.7%8.5%33.6%19.2%29.7%-4.9%5.3%152.4K-2.3M-32.7K0.4091.58N/AN/A1335321,6216,081
2019-12-16$15.32$15.0031.6%9.1%34.2%22.6%31.8%-4.4%1.8%185.4K-5.5M-30.8K1.0483.46N/AN/A18319121,6425,848
2019-12-17$15.65$15.0031.7%9.1%34.5%22.9%32.3%-1.8%0.8%214.7K-8.0M-28.9K0.4077.23N/AN/A79832221,7695,866
2019-12-18$15.65$15.0029.9%8.6%33.7%19.7%29.9%-1.9%3.4%211.7K-7.9M-31.9K0.0984.61N/AN/A2,38121221,9676,043
2019-12-19$15.82$15.0030.5%8.7%33.5%20.7%30.6%-1.9%1.5%241.1K-8.1M-32.9K0.4883.38N/AN/A31815222,1736,120
2019-12-20$15.69$15.0027.9%8.0%32.5%16.1%27.9%7.1%2.8%255.8K-7.2M-33.1K0.4675.25N/AN/A1476822,0196,240
2019-12-23$16.39$15.0021.5%6.2%35.2%4.8%25.0%1.8%0.3%312.1K-7.8M-33.5K0.2884.11N/AN/A99627412,2163,615
2019-12-24$16.23$15.0023.6%6.8%35.4%8.5%27.7%-3.0%-5.7%330.6K-7.6M-34.8K0.8079.70N/AN/A35228312,8523,651
2019-12-26$16.68$15.0026.4%7.6%33.5%13.5%26.7%4.7%0.4%360.6K-9.4M-35.7K0.2175.29N/AN/A1,03421513,1853,915
2019-12-27$16.41$15.0025.6%7.3%34.3%12.0%27.9%1.4%1.4%371.5K-8.4M-36.3K0.6577.42N/AN/A33321513,5743,966
2019-12-30$16.12$15.0036.1%10.4%34.2%30.7%21.9%2.1%-16.4%289.9K-4.7M-36.1K0.9977.70N/AN/A43843412,5254,043
2019-12-31$16.36$17.5016.3%4.7%31.7%0.0%19.4%18.2%10.9%302.1K-5.9M-38.6K0.0770.70N/AN/A7935212,5974,360