VET Options History — October 2014

In October 2014, VET traded between $52.61 and $60.15. ATM implied volatility averaged 37.5%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.4% (HV 20d: 38.0%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.56.

Notable Days

2014-10-23: Highest Volume — 309 contracts
2014-10-23: Largest IV spike — 91.0% change
2014-10-15: Highest IV Rank — 100.0%
2014-10-31: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.08	$52.61	$60.15	$60.15	$56.42
Max Pain	$55.00	$55.00	$55.00	$55.00	$55.00
ATM IV	37.5%	21.5%	69.1%	29.8%	35.2%
Expected Move	6.8%	5.1%	8.3%	6.2%	8.3%
HV 20d	38.0%	30.4%	44.2%	33.4%	44.2%
HV 60d	29.8%	26.0%	33.1%	26.3%	32.3%
IV Rank	46.4%	15.2%	100.0%	34.0%	39.6%
IV Percentile	82.5%	23.0%	100.0%	81.3%	88.9%
Term Structure	-3.4%	-17.3%	8.0%	-5.3%	-3.6%
VWIV	24.2%	21.0%	27.3%	24.5%	27.3%
Skew 25d	4.7%	-16.1%	20.4%	-5.6%	3.1%
Skew 10d	8.3%	-9.2%	27.0%	-2.3%	-1.3%
Call IV 25d	31.7%	20.5%	50.2%	30.0%	33.8%
Put IV 25d	36.3%	22.7%	59.7%	24.4%	36.9%
Bid-Ask Spread %	98.57	81.18	115.72	103.47	84.31
Gamma HHI	0.51	0.34	0.72	0.72	0.46
Net GEX	28.3K	5.5K	53.9K	39.2K	38.0K
Net DEX	-106.8K	-582.6K	217.0K	-219.5K	-161.1K
Net VEX	-2.6K	-4.1K	-1.2K	-3.0K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.00	5.00	0.00	0.27
Total Volume	114.217	0	309	4	300
Total OI	396.652	339	511	339	511

Daily Data (23 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
2014-10-01	$60.15	$55.00	29.8%	6.2%	33.4%	34.0%	24.5%	-5.6%	-5.3%	39.2K	-219.5K	-3.0K	0.00	103.47	N/A	N/A	4	0	268	71
2014-10-02	$59.79	$55.00	31.4%	5.9%	33.4%	37.3%	0.0%	-7.6%	-7.3%	27.5K	-91.4K	-2.3K	0.00	110.43	N/A	N/A	0	0	272	71
2014-10-03	$59.33	$55.00	29.9%	5.8%	33.2%	34.2%	0.0%	8.6%	-7.5%	31.0K	-188.7K	-2.8K	0.00	115.72	N/A	N/A	0	0	272	71
2014-10-06	$59.28	$55.00	27.4%	6.3%	30.4%	29.1%	0.0%	5.4%	-0.4%	33.0K	-156.6K	-2.8K	0.00	81.95	N/A	N/A	0	0	272	71
2014-10-07	$57.21	$55.00	41.2%	7.0%	32.6%	57.1%	0.0%	6.8%	1.2%	19.2K	-376	-2.2K	0.00	106.04	N/A	N/A	0	0	272	71
2014-10-08	$56.02	$55.00	32.9%	7.0%	33.0%	40.2%	21.0%	-2.9%	0.1%	15.8K	69.5K	-2.0K	0.33	92.82	N/A	N/A	130	43	272	71
2014-10-09	$54.27	$55.00	41.0%	6.3%	34.1%	56.6%	0.0%	-0.9%	-13.5%	11.5K	113.0K	-1.7K	0.00	110.02	N/A	N/A	0	0	276	74
2014-10-10	$53.94	$55.00	43.2%	7.6%	33.4%	61.0%	26.0%	2.2%	8.0%	9.9K	112.0K	-1.7K	0.00	101.51	N/A	N/A	6	0	276	74
2014-10-13	$52.81	$55.00	55.3%	6.5%	31.5%	85.6%	0.0%	4.4%	-3.9%	6.8K	195.7K	-1.3K	0.00	110.59	N/A	N/A	0	0	282	74
2014-10-14	$54.54	$55.00	58.9%	5.9%	34.4%	92.8%	21.4%	20.4%	-3.6%	7.9K	189.9K	-1.3K	0.33	102.78	N/A	N/A	132	43	282	74
2014-10-15	$52.61	$55.00	69.1%	7.6%	35.4%	100.0%	26.2%	8.0%	-5.1%	5.5K	217.0K	-1.2K	0.33	93.49	N/A	N/A	132	43	282	74
2014-10-16	$55.85	$55.00	31.0%	7.7%	42.1%	32.0%	0.0%	8.0%	5.4%	12.9K	74.3K	-1.9K	0.00	92.21	N/A	N/A	35	0	267	74
2014-10-17	$57.75	$55.00	28.4%	6.6%	44.1%	27.5%	26.0%	0.6%	-4.1%	29.4K	-106.4K	-2.5K	5.00	87.39	N/A	N/A	2	10	302	74
2014-10-20	$58.07	$55.00	23.6%	6.6%	42.0%	18.9%	22.5%	11.1%	1.0%	25.7K	-41.4K	-2.4K	0.38	81.18	N/A	N/A	138	53	297	84
2014-10-21	$59.48	$55.00	21.8%	6.7%	42.4%	15.7%	22.1%	15.3%	6.4%	37.6K	-225.6K	-2.9K	0.38	102.50	N/A	N/A	138	53	297	84
2014-10-22	$58.03	$55.00	21.5%	5.1%	41.7%	15.2%	23.4%	12.7%	5.0%	32.5K	-161.3K	-2.8K	0.50	95.22	N/A	N/A	105	53	299	84
2014-10-23	$59.09	$55.00	41.1%	6.8%	40.6%	50.1%	24.1%	1.7%	-13.3%	36.8K	-355.2K	-3.1K	0.21	96.96	N/A	N/A	256	53	299	82
2014-10-24	$58.98	$55.00	41.0%	6.7%	40.2%	49.9%	24.7%	10.9%	-9.3%	53.9K	-582.6K	-4.1K	0.21	101.45	N/A	N/A	256	53	427	82
2014-10-27	$56.92	$55.00	38.3%	7.2%	41.6%	45.2%	0.0%	-16.1%	-7.8%	41.0K	-240.2K	-3.3K	0.00	106.81	N/A	N/A	0	0	427	82
2014-10-28	$58.26	$55.00	43.4%	7.3%	42.6%	54.1%	0.0%	5.8%	-17.3%	41.7K	-276.1K	-3.0K	0.00	90.08	N/A	N/A	0	0	427	82
2014-10-29	$58.06	$55.00	36.2%	7.4%	42.5%	41.4%	23.3%	6.2%	-3.1%	51.8K	-361.2K	-3.7K	0.22	104.67	N/A	N/A	241	53	427	82
2014-10-30	$56.05	$55.00	41.2%	8.2%	44.1%	50.3%	25.5%	9.6%	0.6%	42.6K	-260.4K	-3.4K	0.22	95.58	N/A	N/A	241	54	429	82
2014-10-31	$56.42	$55.00	35.2%	8.3%	44.2%	39.6%	27.3%	3.1%	-3.6%	38.0K	-161.1K	-3.2K	0.27	84.31	N/A	N/A	236	64	429	82