VET Options History — August 2014

In August 2014, VET traded between $61.46 and $65.22. ATM implied volatility averaged 27.2%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.8% (HV 20d: 26.4%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.33.

Notable Days

2014-08-21: Highest Volume — 12 contracts
2014-08-13: Largest IV spike — 188.8% change
2014-08-13: Highest IV Rank — 100.0%
2014-08-12: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.83	$61.46	$65.22	$63.53	$65.15
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	27.2%	13.1%	62.5%	28.3%	20.4%
Expected Move	5.4%	5.0%	6.2%	5.7%	5.1%
HV 20d	26.4%	21.4%	29.3%	24.7%	21.4%
HV 60d	21.1%	19.4%	21.7%	19.4%	21.2%
IV Rank	30.5%	0.2%	100.0%	34.2%	15.0%
IV Percentile	43.8%	0.5%	100.0%	77.5%	16.2%
Term Structure	1.5%	-9.1%	14.5%	-9.1%	2.0%
VWIV	18.2%	18.0%	18.4%	18.4%	18.0%
Skew 25d	5.8%	-1.5%	14.7%	0.1%	7.2%
Skew 10d	9.6%	-0.3%	38.4%	7.1%	3.8%
Call IV 25d	17.5%	10.9%	36.2%	36.2%	13.4%
Put IV 25d	23.3%	13.5%	36.3%	36.3%	20.6%
Bid-Ask Spread %	104.86	85.21	114.43	111.46	94.48
Gamma HHI	0.42	0.32	0.74	0.32	0.74
Net GEX	21.4K	14.7K	27.9K	22.9K	24.5K
Net DEX	-174.4K	-317.4K	-9.4K	-270.7K	-311.2K
Net VEX	-2.4K	-2.6K	-1.8K	-2.5K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.33	0.00	11.00	0.00	3.00
Total Volume	4.286	0	12	0	12
Total OI	276.952	255	293	255	289

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-08-01	$63.53	$65.00	28.3%	5.7%	24.7%	34.2%	0.0%	0.1%	-9.1%	22.9K	-270.7K	-2.5K	0.00	111.46	N/A	N/A	0	0	172	83
2014-08-04	$64.18	$65.00	31.6%	5.3%	23.9%	41.7%	0.0%	11.2%	6.1%	23.2K	-193.4K	-2.3K	0.00	104.35	N/A	N/A	0	10	172	83
2014-08-05	$61.46	$65.00	35.6%	5.9%	27.7%	50.6%	0.0%	2.1%	-7.9%	14.7K	-9.4K	-2.4K	0.00	108.05	N/A	N/A	0	2	172	93
2014-08-06	$62.77	$65.00	36.4%	5.2%	29.1%	52.4%	0.0%	3.9%	-4.9%	17.4K	-21.9K	-2.4K	0.00	111.59	N/A	N/A	0	0	172	95
2014-08-07	$62.07	$65.00	41.4%	5.8%	29.2%	63.6%	0.0%	3.3%	-3.8%	15.7K	-11.1K	-2.4K	0.00	113.41	N/A	N/A	0	0	172	95
2014-08-08	$63.17	$65.00	40.1%	5.5%	29.3%	60.7%	0.0%	9.1%	0.8%	17.2K	-99.1K	-2.5K	0.00	108.38	N/A	N/A	10	0	172	95
2014-08-11	$63.35	$65.00	48.4%	5.6%	29.3%	79.2%	0.0%	-1.5%	7.1%	20.5K	-122.1K	-2.4K	0.00	101.36	N/A	N/A	0	0	182	95
2014-08-12	$63.20	$65.00	21.6%	6.2%	29.1%	19.3%	0.0%	4.3%	-7.3%	21.2K	-93.5K	-2.4K	0.00	91.31	N/A	N/A	0	0	182	95
2014-08-13	$63.39	$65.00	62.5%	5.4%	27.6%	100.0%	0.0%	8.3%	6.1%	21.3K	-134.7K	-2.4K	0.00	112.84	N/A	N/A	0	0	182	95
2014-08-14	$63.34	$65.00	17.1%	5.2%	27.6%	8.3%	0.0%	14.7%	5.4%	20.2K	-101.8K	-2.4K	0.00	114.43	N/A	N/A	10	0	175	95
2014-08-15	$63.71	$65.00	13.1%	5.3%	27.0%	0.2%	0.0%	12.6%	6.1%	23.0K	-149.1K	-2.3K	0.00	113.14	N/A	N/A	0	0	182	95
2014-08-18	$63.50	$65.00	15.9%	5.4%	27.0%	5.8%	0.0%	12.3%	14.5%	23.6K	-130.1K	-2.3K	0.00	103.25	N/A	N/A	0	8	180	95
2014-08-19	$64.51	$65.00	17.9%	5.2%	26.0%	9.8%	0.0%	7.6%	5.2%	21.3K	-214.3K	-2.5K	0.00	106.02	N/A	N/A	0	0	180	103
2014-08-20	$64.37	$65.00	19.3%	5.3%	25.1%	12.8%	0.0%	1.2%	2.3%	21.3K	-206.2K	-2.5K	0.00	85.21	N/A	N/A	0	10	180	103
2014-08-21	$65.02	$65.00	19.5%	5.5%	25.5%	13.1%	0.0%	5.9%	5.2%	20.3K	-261.0K	-2.3K	11.00	109.65	N/A	N/A	1	11	180	98
2014-08-22	$64.64	$65.00	18.2%	5.3%	25.0%	10.5%	18.4%	11.1%	1.0%	22.9K	-243.4K	-2.4K	0.00	93.28	N/A	N/A	6	0	181	109
2014-08-25	$64.42	$65.00	18.2%	5.0%	24.8%	10.5%	0.0%	-0.2%	4.0%	23.7K	-221.8K	-2.3K	0.00	108.69	N/A	N/A	0	0	184	109
2014-08-26	$64.63	$65.00	22.7%	5.3%	24.8%	19.7%	18.0%	2.3%	-3.5%	26.4K	-307.5K	-2.3K	0.00	105.02	N/A	N/A	10	0	184	109
2014-08-27	$65.22	$65.00	19.9%	5.5%	25.0%	13.9%	0.0%	5.9%	2.9%	27.9K	-317.4K	-1.9K	0.00	108.12	N/A	N/A	0	0	180	109
2014-08-28	$64.78	$65.00	22.7%	5.2%	25.1%	19.6%	0.0%	0.1%	0.1%	19.9K	-243.8K	-2.6K	0.00	98.09	N/A	N/A	0	0	180	109
2014-08-29	$65.15	$65.00	20.4%	5.1%	21.4%	15.0%	0.0%	7.2%	2.0%	24.5K	-311.2K	-1.8K	3.00	94.48	N/A	N/A	3	9	180	109