VET Options History — November 2014

In November 2014, VET traded between $47.39 and $58.30. ATM implied volatility averaged 36.5%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 13.9% (HV 20d: 50.4%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.44.

Notable Days

2014-11-12: Highest Volume — 309 contracts
2014-11-13: Largest IV drop — 43.7% change
2014-11-12: Highest IV Rank — 69.6%
2014-11-26: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.87	$47.39	$58.30	$54.97	$47.39
Max Pain	$55.00	$55.00	$55.00	$55.00	$55.00
ATM IV	36.5%	27.7%	52.0%	38.0%	39.5%
Expected Move	8.5%	7.2%	9.7%	7.6%	9.5%
HV 20d	50.4%	45.0%	55.9%	45.0%	55.0%
HV 60d	39.2%	32.5%	44.4%	32.5%	44.4%
IV Rank	41.9%	26.2%	69.6%	44.6%	47.3%
IV Percentile	85.7%	63.9%	98.0%	92.5%	92.1%
Term Structure	-2.4%	-11.7%	9.7%	-5.8%	-3.9%
VWIV	28.3%	19.4%	30.4%	29.6%	29.8%
Skew 25d	6.6%	-5.7%	24.4%	9.9%	1.0%
Skew 10d	9.1%	-19.6%	38.4%	18.2%	1.6%
Call IV 25d	36.3%	28.2%	53.6%	51.4%	38.1%
Put IV 25d	42.9%	32.6%	64.0%	61.3%	39.1%
Bid-Ask Spread %	97.01	88.46	109.42	95.40	109.42
Gamma HHI	0.38	0.27	0.46	0.45	0.27
Net GEX	18.4K	244	48.7K	35.8K	244
Net DEX	70.0K	-300.3K	355.3K	-124.6K	355.3K
Net VEX	-2.2K	-3.5K	-735	-3.0K	-735
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	3.33	0.26	3.33
Total Volume	206.316	0	309	307	13
Total OI	498.737	403	533	522	408

Daily Data (19 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
2014-11-03	$54.97	$55.00	38.0%	7.6%	45.0%	44.6%	29.6%	9.9%	-5.8%	35.8K	-124.6K	-3.0K	0.26	95.40	N/A	N/A	243	64	430	92
2014-11-04	$51.97	$55.00	37.5%	8.8%	47.5%	43.8%	30.4%	-5.7%	-0.3%	20.5K	-6.9K	-2.7K	0.24	94.71	N/A	N/A	246	59	437	92
2014-11-05	$55.31	$55.00	39.1%	8.4%	52.6%	46.6%	28.3%	24.4%	1.9%	24.5K	2.7K	-2.5K	0.26	96.84	N/A	N/A	231	59	433	93
2014-11-06	$55.55	$55.00	37.3%	8.6%	51.3%	43.4%	28.6%	8.2%	-6.0%	32.2K	-80.8K	-2.8K	0.26	92.12	N/A	N/A	227	59	433	93
2014-11-07	$58.30	$55.00	38.4%	8.5%	53.9%	45.2%	28.2%	7.8%	-8.4%	48.7K	-300.3K	-3.5K	0.26	91.67	N/A	N/A	238	63	433	93
2014-11-10	$55.78	$55.00	38.6%	8.8%	55.9%	45.7%	28.8%	7.9%	-1.6%	29.7K	-72.8K	-2.9K	0.26	89.53	N/A	N/A	238	63	436	97
2014-11-11	$56.00	$55.00	45.0%	8.7%	54.8%	57.0%	28.4%	1.1%	1.7%	16.0K	142.0K	-1.9K	0.26	92.23	N/A	N/A	238	63	331	102
2014-11-12	$55.54	$55.00	52.0%	8.2%	53.1%	69.6%	28.5%	3.1%	4.2%	33.1K	-105.0K	-3.0K	0.26	100.96	N/A	N/A	246	63	436	97
2014-11-13	$53.71	$55.00	29.3%	8.2%	50.1%	29.0%	30.1%	15.3%	-3.8%	19.2K	46.6K	-2.3K	0.26	100.53	N/A	N/A	246	63	436	97
2014-11-14	$54.45	$55.00	34.7%	9.0%	48.7%	38.7%	0.0%	5.2%	-4.3%	18.1K	60.6K	-2.4K	0.00	93.10	N/A	N/A	0	0	436	97
2014-11-17	$53.36	$55.00	37.9%	9.0%	49.0%	44.3%	29.4%	1.7%	-7.6%	17.3K	113.1K	-2.0K	0.26	104.44	N/A	N/A	246	63	436	97
2014-11-18	$52.81	$55.00	27.7%	8.2%	47.8%	26.2%	29.4%	5.4%	-2.4%	5.5K	212.2K	-1.6K	0.26	88.46	N/A	N/A	246	63	436	97
2014-11-19	$52.21	$55.00	30.4%	8.9%	47.4%	31.1%	19.4%	5.5%	8.0%	7.8K	178.7K	-1.8K	0.00	97.86	N/A	N/A	16	0	436	97
2014-11-20	$53.62	$55.00	35.3%	8.0%	48.0%	39.7%	26.7%	5.7%	-11.7%	14.9K	172.2K	-1.7K	0.17	100.55	N/A	N/A	180	31	435	97
2014-11-21	$55.25	$55.00	32.9%	8.3%	49.6%	35.5%	29.0%	11.6%	-4.6%	13.7K	53.4K	-2.2K	0.17	97.14	N/A	N/A	180	31	435	97
2014-11-24	$53.27	$55.00	30.0%	8.0%	49.7%	30.3%	0.0%	4.4%	9.7%	4.3K	225.2K	-1.6K	0.00	103.80	N/A	N/A	0	0	307	97
2014-11-25	$52.61	$55.00	33.8%	7.2%	48.8%	37.1%	29.8%	8.9%	-6.0%	6.3K	206.1K	-1.5K	0.29	104.04	N/A	N/A	106	31	307	97
2014-11-26	$51.35	$55.00	36.0%	9.7%	49.2%	41.1%	0.0%	3.8%	-4.4%	2.5K	252.0K	-1.3K	0.67	90.42	N/A	N/A	3	2	307	96
2014-11-28	$47.39	$55.00	39.5%	9.5%	55.0%	47.3%	0.0%	1.0%	-3.9%	244	355.3K	-735	3.33	109.42	N/A	N/A	3	10	310	98