VET Options History — February 2015 In February 2015, VET traded between $42.52 and $49.11. ATM implied volatility averaged 44.0%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 20.7% (HV 20d: 64.7%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.63.
Notable Days 2015-02-26 : Highest Volume — 313 contracts2015-02-11 : Largest IV drop — 29.4% change2015-02-09 : Highest IV Rank — 61.2%2015-02-25 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $45.35 $42.52 $49.11 $45.60 $44.41 Max Pain $48.42 $40.00 $50.00 $40.00 $50.00 ATM IV 44.0% 34.0% 55.1% 37.3% 46.5% Expected Move 12.2% 9.7% 15.4% 10.7% 13.3% HV 20d 64.7% 57.0% 75.7% 70.4% 58.3% HV 60d 62.9% 60.8% 64.0% 60.8% 61.1% IV Rank 45.0% 30.5% 61.2% 35.3% 48.7% IV Percentile 82.6% 60.3% 95.6% 73.4% 87.3% Term Structure -0.4% -10.9% 17.1% 17.1% -10.9% VWIV 46.4% 38.4% 68.0% 38.4% 45.3% Skew 25d 8.5% -2.0% 31.6% 28.8% 9.7% Skew 10d 14.9% -31.9% 42.7% 36.5% 6.8% Call IV 25d 46.7% 27.3% 67.1% 27.3% 45.9% Put IV 25d 55.2% 43.0% 69.2% 56.1% 55.6% Bid-Ask Spread % 107.89 94.26 122.71 122.71 110.62 Gamma HHI 0.28 0.19 0.84 0.35 0.22 Net GEX 14.0K 3.3K 97.6K 10.4K 5.9K Net DEX 12.4K -216.0K 162.9K 17.1K 100.9K Net VEX -2.2K -2.5K -1.8K -2.0K -2.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.00 0.85 0.58 0.70 Total Volume 240.579 1 313 2 305 Total OI 503.737 442 540 442 540
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 2015-02-02 $45.60 $40.00 37.3% 10.7% 70.4% 35.3% 0.0% 28.8% 17.1% 10.4K 17.1K -2.0K 0.00 122.71 N/A N/A 0 2 289 153 2015-02-03 $49.11 $40.00 38.4% 11.0% 69.0% 36.9% 38.4% 31.6% 6.3% 12.1K -216.0K -2.5K 0.58 119.01 N/A N/A 165 96 289 155 2015-02-04 $44.90 $40.00 41.8% 12.0% 75.4% 41.9% 68.0% 2.0% 5.0% 12.1K -44.6K -2.3K 0.58 121.06 N/A N/A 165 96 331 155 2015-02-05 $45.33 $50.00 44.2% 11.9% 75.4% 45.4% 44.5% 3.3% -4.6% 12.8K -41.8K -2.5K 0.64 106.41 N/A N/A 165 105 331 155 2015-02-06 $45.91 $50.00 52.4% 13.7% 75.4% 57.3% 47.3% 9.7% -9.6% 9.5K 9.0K -2.3K 0.64 105.12 N/A N/A 165 105 331 165 2015-02-09 $46.96 $50.00 55.1% 11.8% 75.7% 61.2% 42.6% 8.5% -5.7% 12.1K -83.1K -2.4K 0.61 94.26 N/A N/A 173 105 331 165 2015-02-10 $45.10 $50.00 52.3% 13.9% 65.9% 57.2% 43.7% 1.9% -3.9% 10.9K -152 -2.2K 0.61 97.91 N/A N/A 173 105 336 165 2015-02-11 $44.74 $50.00 36.9% 10.6% 65.4% 34.8% 40.2% 0.1% 2.0% 7.3K 78.5K -1.9K 0.60 111.00 N/A N/A 176 105 336 165 2015-02-12 $46.34 $50.00 41.9% 12.0% 63.3% 42.0% 42.6% 4.8% 0.1% 12.0K -41.3K -2.3K 0.60 106.92 N/A N/A 176 105 339 165 2015-02-13 $46.97 $50.00 42.0% 12.0% 60.9% 42.2% 45.1% 9.6% -4.5% 12.9K -84.7K -2.5K 0.60 102.88 N/A N/A 176 105 339 165 2015-02-17 $47.14 $50.00 40.4% 11.6% 57.0% 39.8% 42.9% 14.9% 4.2% 12.3K -78.8K -2.2K 0.60 108.75 N/A N/A 176 105 338 165 2015-02-18 $45.13 $50.00 45.3% 13.0% 59.3% 47.0% 46.9% 12.6% 7.7% 10.1K -21.3K -2.3K 0.76 104.57 N/A N/A 176 133 338 165 2015-02-19 $45.61 $50.00 40.5% 11.6% 59.3% 39.9% 0.0% 3.4% -3.2% 9.4K 58.7K -1.8K 0.00 108.65 N/A N/A 0 10 338 192 2015-02-20 $45.01 $50.00 34.0% 9.7% 59.3% 30.5% 0.0% 3.0% 1.8% 97.6K 55.6K -1.9K 0.00 113.32 N/A N/A 1 0 338 196 2015-02-23 $43.79 $50.00 40.5% 11.6% 59.7% 40.0% 44.3% 11.0% 4.8% 4.2K 146.1K -1.9K 0.85 105.39 N/A N/A 156 133 324 199 2015-02-24 $42.52 $50.00 43.1% 12.3% 60.6% 43.7% 48.6% 2.1% -1.2% 5.3K 128.8K -2.0K 0.81 100.62 N/A N/A 166 134 325 199 2015-02-25 $43.82 $50.00 53.7% 15.4% 61.5% 59.1% 56.2% 5.9% -6.3% 5.6K 89.1K -2.0K 0.81 103.68 N/A N/A 166 134 327 200 2015-02-26 $43.34 $50.00 49.3% 14.1% 57.8% 52.8% 46.1% -2.0% -6.3% 3.3K 162.9K -1.9K 0.75 107.02 N/A N/A 179 134 327 200 2015-02-27 $44.41 $50.00 46.5% 13.3% 58.3% 48.7% 45.3% 9.7% -10.9% 5.9K 100.9K -2.0K 0.70 110.62 N/A N/A 179 126 340 200
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