VET Options History — November 2015

In November 2015, VET traded between $29.04 and $35.62. ATM implied volatility averaged 53.1%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 12.1% (HV 20d: 40.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.65.

Notable Days

2015-11-27: Highest Volume — 205 contracts
2015-11-30: Largest IV spike — 40.4% change
2015-11-05: Highest IV Rank — 42.3%
2015-11-02: Largest Expected Move — 24.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.29	$29.04	$35.62	$35.45	$29.93
Max Pain	$39.47	$35.00	$40.00	$35.00	$40.00
ATM IV	53.1%	34.3%	87.8%	83.8%	48.2%
Expected Move	14.3%	9.8%	24.0%	24.0%	13.8%
HV 20d	40.9%	32.6%	45.2%	39.3%	40.3%
HV 60d	44.5%	40.1%	47.4%	46.4%	40.1%
IV Rank	17.6%	3.7%	42.3%	39.4%	13.6%
IV Percentile	46.0%	4.4%	92.1%	91.3%	42.5%
Term Structure	-3.7%	-21.6%	19.9%	-21.0%	19.9%
VWIV	53.4%	34.6%	78.5%	78.5%	34.6%
Skew 25d	2.8%	-47.8%	23.4%	11.4%	-47.8%
Skew 10d	2.7%	-76.1%	37.7%	36.1%	-76.1%
Call IV 25d	55.6%	32.2%	107.4%	107.4%	95.8%
Put IV 25d	58.4%	34.6%	118.8%	118.8%	48.0%
Bid-Ask Spread %	113.30	103.02	130.82	130.82	116.91
Gamma HHI	0.36	0.28	0.47	0.40	0.42
Net GEX	3.4K	968	6.1K	5.5K	5.1K
Net DEX	24.6K	-189.7K	130.3K	-120.7K	14.5K
Net VEX	-1.5K	-2.0K	-1.1K	-1.8K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.00	1.00	1.00	0.55
Total Volume	85.053	0	205	88	0
Total OI	393.737	356	525	356	525

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
2015-11-02	$35.45	$35.00	83.8%	24.0%	39.3%	39.4%	78.5%	11.4%	-21.0%	5.5K	-120.7K	-1.8K	1.00	130.82	N/A	N/A	44	44	242	114
2015-11-04	$35.62	$35.00	64.4%	18.5%	32.6%	25.8%	57.0%	20.1%	-12.5%	6.1K	-189.7K	-1.9K	0.94	126.51	N/A	N/A	47	44	242	114
2015-11-05	$33.40	$40.00	87.8%	15.3%	38.3%	42.3%	75.8%	23.4%	-12.8%	5.0K	-100.9K	-1.7K	0.94	117.20	N/A	N/A	47	44	246	114
2015-11-06	$33.31	$40.00	56.6%	12.4%	37.4%	20.3%	0.0%	4.9%	4.9%	3.3K	-72.3K	-1.5K	0.00	120.08	N/A	N/A	12	0	248	109
2015-11-09	$32.82	$40.00	71.1%	14.9%	37.5%	30.5%	0.0%	-33.7%	-8.4%	4.9K	-71.5K	-1.6K	0.00	115.37	N/A	N/A	8	0	250	109
2015-11-10	$32.66	$40.00	55.9%	16.9%	37.1%	19.8%	59.3%	9.3%	-21.6%	5.4K	-12.5K	-1.6K	0.85	108.36	N/A	N/A	52	44	252	114
2015-11-11	$32.32	$40.00	69.8%	20.0%	36.9%	29.6%	73.9%	-17.7%	-10.5%	5.1K	-23.9K	-1.6K	0.85	122.78	N/A	N/A	52	44	252	114
2015-11-12	$30.10	$40.00	62.0%	17.8%	42.9%	24.1%	58.4%	18.4%	-21.5%	2.2K	79.0K	-1.2K	0.85	105.77	N/A	N/A	52	44	252	114
2015-11-13	$30.11	$40.00	49.2%	14.1%	42.6%	15.2%	49.7%	5.0%	-5.8%	1.8K	103.1K	-1.2K	0.81	104.90	N/A	N/A	52	42	254	114
2015-11-16	$31.12	$40.00	34.7%	10.0%	45.2%	5.0%	0.0%	-5.1%	14.4%	3.5K	50.3K	-1.3K	0.00	120.67	N/A	N/A	0	0	254	109
2015-11-17	$30.33	$40.00	47.8%	13.7%	44.7%	14.2%	47.9%	18.7%	-2.4%	2.5K	67.8K	-1.2K	0.81	106.17	N/A	N/A	52	42	254	114
2015-11-18	$30.53	$40.00	41.0%	11.8%	44.7%	9.4%	45.1%	5.1%	5.7%	1.2K	103.2K	-1.1K	0.78	106.42	N/A	N/A	54	42	254	114
2015-11-19	$29.49	$40.00	34.4%	9.9%	44.3%	4.7%	34.6%	12.4%	9.5%	1.5K	108.8K	-1.1K	0.48	108.61	N/A	N/A	87	42	258	114
2015-11-20	$29.04	$40.00	44.6%	12.8%	43.3%	11.0%	44.1%	-9.5%	-2.0%	2.3K	102.9K	-1.2K	0.74	103.53	N/A	N/A	95	70	282	114
2015-11-23	$29.40	$40.00	35.1%	10.1%	44.1%	4.3%	0.0%	4.9%	-4.2%	968	130.3K	-1.3K	0.00	115.70	N/A	N/A	0	10	276	138
2015-11-24	$29.73	$40.00	44.1%	12.6%	43.9%	10.6%	44.1%	2.6%	1.3%	1.8K	100.8K	-1.4K	0.20	103.02	N/A	N/A	55	11	276	145
2015-11-25	$29.68	$40.00	43.9%	12.6%	43.0%	10.5%	44.2%	12.1%	0.1%	3.4K	105.2K	-1.7K	0.69	109.54	N/A	N/A	106	73	335	161
2015-11-27	$29.51	$40.00	34.3%	9.8%	40.0%	3.7%	34.6%	19.1%	-3.8%	3.7K	92.9K	-1.7K	0.55	110.41	N/A	N/A	132	73	341	163
2015-11-30	$29.93	$40.00	48.2%	13.8%	40.3%	13.6%	0.0%	-47.8%	19.9%	5.1K	14.5K	-2.0K	0.00	116.91	N/A	N/A	0	0	367	158