VET Options History — January 2016

In January 2016, VET traded between $22.08 and $27.04. ATM implied volatility averaged 56.9%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 3.7% (HV 20d: 60.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.73.

Notable Days

2016-01-08: Highest Volume — 163 contracts
2016-01-12: Largest IV spike — 284.3% change
2016-01-12: Highest IV Rank — 38.4%
2016-01-11: Largest Expected Move — 23.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.56	$22.08	$27.04	$27.04	$26.77
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	56.9%	20.2%	77.8%	66.9%	53.0%
Expected Move	16.7%	14.0%	23.1%	14.0%	15.2%
HV 20d	60.5%	50.6%	75.2%	63.9%	74.9%
HV 60d	52.9%	46.9%	60.9%	47.2%	60.8%
IV Rank	23.2%	0.0%	38.4%	26.9%	21.9%
IV Percentile	58.3%	0.0%	88.1%	77.0%	48.4%
Term Structure	0.3%	-38.5%	17.1%	7.0%	7.1%
VWIV	57.8%	44.1%	73.9%	50.5%	53.9%
Skew 25d	11.2%	0.2%	20.4%	11.7%	4.3%
Skew 10d	20.9%	-8.6%	51.4%	27.3%	-8.6%
Call IV 25d	53.5%	40.6%	131.9%	40.6%	50.8%
Put IV 25d	64.7%	51.7%	134.8%	52.3%	55.1%
Bid-Ask Spread %	108.20	87.37	147.93	113.60	123.88
Gamma HHI	0.30	0.23	0.64	0.28	0.35
Net GEX	1.3K	-12.4K	5.5K	3.4K	5.3K
Net DEX	66.3K	-60.6K	156.0K	21.1K	-44.9K
Net VEX	-1.2K	-1.6K	-884	-1.6K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	0.00	2.83	2.60	0.00
Total Volume	119.579	8	163	151	8
Total OI	477.263	441	508	482	471

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
2016-01-04	$27.04	$0.00	66.9%	14.0%	63.9%	26.9%	0.0%	11.7%	7.0%	3.4K	21.1K	-1.6K	2.60	113.60	N/A	N/A	42	109	320	162
2016-01-05	$27.02	$0.00	49.5%	14.2%	63.9%	14.5%	50.5%	5.3%	2.8%	3.0K	50.9K	-1.5K	2.83	89.26	N/A	N/A	40	113	320	162
2016-01-06	$25.29	$25.00	56.8%	18.7%	52.2%	19.7%	60.5%	15.8%	-22.7%	104	77.0K	-1.3K	2.83	102.89	N/A	N/A	40	113	325	166
2016-01-07	$24.14	$25.00	57.2%	16.2%	54.6%	19.9%	56.3%	5.8%	0.4%	-926	117.1K	-1.2K	2.40	87.37	N/A	N/A	47	113	325	166
2016-01-08	$24.44	$25.00	55.2%	15.8%	54.5%	18.5%	55.5%	0.2%	0.2%	-1.4K	129.3K	-1.2K	2.26	100.39	N/A	N/A	50	113	314	166
2016-01-11	$23.85	$25.00	20.2%	23.1%	54.9%	0.0%	73.9%	2.9%	-38.5%	2.5K	23.3K	-1.6K	2.83	147.93	N/A	N/A	40	113	322	166
2016-01-12	$23.20	$25.00	77.8%	15.3%	52.0%	38.4%	63.4%	5.3%	6.7%	-781	156.0K	-1.1K	2.75	100.69	N/A	N/A	40	110	324	166
2016-01-13	$23.31	$25.00	56.9%	16.3%	51.9%	24.5%	44.1%	15.6%	-1.0%	-1.3K	154.9K	-1.1K	2.38	104.15	N/A	N/A	45	107	332	170
2016-01-14	$24.86	$25.00	51.2%	14.7%	50.6%	20.7%	53.0%	20.0%	5.4%	-12.4K	117.5K	-1.2K	2.42	101.99	N/A	N/A	45	109	339	169
2016-01-15	$23.35	$25.00	61.3%	17.6%	54.9%	27.4%	58.3%	20.4%	2.4%	2.1K	123.8K	-1.1K	2.37	110.41	N/A	N/A	46	109	341	167
2016-01-19	$22.80	$25.00	62.2%	17.8%	55.2%	28.0%	68.0%	7.0%	-0.7%	1.7K	95.4K	-1.0K	1.29	120.14	N/A	N/A	42	54	329	112
2016-01-20	$22.08	$25.00	65.0%	18.6%	55.1%	29.9%	62.0%	6.1%	-4.6%	1.3K	115.5K	-891	0.95	107.64	N/A	N/A	42	40	329	112
2016-01-21	$23.08	$25.00	59.1%	17.0%	58.3%	26.0%	53.6%	12.1%	0.5%	753	120.1K	-884	0.63	88.08	N/A	N/A	64	40	329	114
2016-01-22	$25.46	$25.00	49.4%	14.2%	69.0%	19.5%	49.7%	13.2%	16.5%	5.5K	-60.6K	-1.6K	0.85	99.44	N/A	N/A	47	40	352	114
2016-01-25	$23.58	$25.00	60.4%	17.3%	68.4%	26.9%	51.7%	12.4%	1.0%	3.2K	54.6K	-1.1K	0.85	102.37	N/A	N/A	47	40	357	114
2016-01-26	$24.49	$25.00	61.7%	17.7%	70.2%	27.7%	62.7%	16.2%	-0.8%	3.4K	58.4K	-1.1K	0.85	116.94	N/A	N/A	47	40	357	114
2016-01-27	$25.03	$25.00	66.6%	19.1%	70.6%	31.0%	66.5%	19.4%	6.7%	5.4K	-33.7K	-1.4K	0.83	129.87	N/A	N/A	47	39	357	114
2016-01-28	$26.86	$25.00	49.9%	14.3%	75.2%	19.8%	53.9%	19.5%	17.1%	4.6K	-16.3K	-1.3K	0.94	108.69	N/A	N/A	47	44	357	114
2016-01-29	$26.77	$25.00	53.0%	15.2%	74.9%	21.9%	0.0%	4.3%	7.1%	5.3K	-44.9K	-1.4K	0.00	123.88	N/A	N/A	8	0	357	114