VET Options History — February 2016

In February 2016, VET traded between $23.31 and $27.20. ATM implied volatility averaged 62.8%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 10.0% (HV 20d: 72.9%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2016-02-04: Highest Volume — 102 contracts
2016-02-08: Largest IV spike — 51.4% change
2016-02-01: Highest IV Rank — 52.1%
2016-02-01: Largest Expected Move — 28.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.57	$23.31	$27.20	$26.22	$27.20
Max Pain	$29.25	$25.00	$30.00	$25.00	$30.00
ATM IV	62.8%	38.0%	98.2%	98.2%	51.4%
Expected Move	18.1%	14.7%	28.1%	28.1%	14.7%
HV 20d	72.9%	57.2%	81.6%	75.1%	58.2%
HV 60d	63.3%	60.9%	65.3%	60.9%	65.3%
IV Rank	28.4%	11.8%	52.1%	52.1%	20.8%
IV Percentile	64.1%	9.5%	95.2%	95.2%	38.9%
Term Structure	-8.2%	-34.0%	12.3%	-34.0%	12.3%
VWIV	61.1%	49.1%	103.7%	103.7%	53.7%
Skew 25d	9.1%	-1.0%	28.7%	28.7%	1.1%
Skew 10d	17.8%	2.6%	39.6%	33.4%	10.0%
Call IV 25d	58.5%	43.8%	85.8%	85.8%	56.8%
Put IV 25d	67.6%	56.0%	114.5%	114.5%	58.0%
Bid-Ask Spread %	107.15	84.72	129.31	129.31	115.56
Gamma HHI	0.28	0.24	0.36	0.33	0.27
Net GEX	4.0K	635	9.1K	3.2K	3.4K
Net DEX	29.6K	-43.3K	98.6K	34.2K	20.3K
Net VEX	-1.1K	-1.5K	-887	-1.2K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.62	0.90	0.90	0.78
Total Volume	83	67	102	95	71
Total OI	477.85	463	491	474	465

Daily Data (20 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
2016-02-01	$26.22	$25.00	98.2%	28.1%	75.1%	52.1%	103.7%	28.7%	-34.0%	3.2K	34.2K	-1.2K	0.90	129.31	N/A	N/A	50	45	355	119
2016-02-02	$25.06	$25.00	55.5%	15.9%	76.7%	23.6%	56.1%	14.0%	-0.6%	3.6K	40.1K	-1.2K	0.90	112.37	N/A	N/A	50	45	355	124
2016-02-03	$26.77	$25.00	70.3%	20.2%	80.6%	33.5%	69.1%	22.5%	-17.9%	4.5K	-11.9K	-1.4K	0.82	128.39	N/A	N/A	55	45	355	124
2016-02-04	$26.81	$30.00	70.1%	16.4%	76.8%	33.3%	49.1%	8.4%	-8.0%	5.4K	-43.3K	-1.5K	0.85	86.78	N/A	N/A	55	47	362	124
2016-02-05	$26.33	$30.00	38.0%	15.4%	75.0%	11.8%	53.1%	1.0%	2.5%	9.1K	-32.0K	-1.3K	0.85	108.73	N/A	N/A	55	47	362	124
2016-02-08	$26.22	$30.00	57.5%	16.6%	75.0%	24.9%	49.6%	9.9%	-4.6%	5.3K	-5.0K	-1.3K	0.85	95.46	N/A	N/A	55	47	362	124
2016-02-09	$23.95	$30.00	58.6%	18.5%	81.6%	25.6%	60.1%	4.3%	-14.9%	4.7K	22.0K	-1.2K	0.85	102.94	N/A	N/A	55	47	362	124
2016-02-10	$23.31	$30.00	66.0%	18.9%	81.6%	30.6%	66.1%	-0.1%	-8.2%	2.9K	84.7K	-975	0.62	105.18	N/A	N/A	52	32	362	124
2016-02-11	$23.46	$30.00	67.9%	19.5%	81.6%	31.8%	65.3%	7.8%	-10.0%	2.6K	98.6K	-951	0.73	84.72	N/A	N/A	44	32	363	123
2016-02-12	$24.29	$30.00	51.3%	14.7%	79.2%	20.8%	56.7%	15.4%	2.1%	4.1K	63.2K	-1.1K	0.73	113.99	N/A	N/A	44	32	362	123
2016-02-16	$24.29	$30.00	66.9%	19.2%	75.8%	31.2%	65.6%	3.0%	-12.7%	4.0K	66.9K	-983	0.73	100.17	N/A	N/A	44	32	362	123
2016-02-17	$25.56	$30.00	61.8%	17.7%	77.0%	27.7%	59.6%	8.3%	-14.4%	5.1K	36.1K	-1.0K	0.80	112.93	N/A	N/A	44	35	362	123
2016-02-18	$25.53	$30.00	67.1%	19.2%	75.8%	31.3%	66.2%	-1.0%	-14.0%	7.0K	-9.9K	-1.2K	0.86	115.16	N/A	N/A	44	38	362	120
2016-02-19	$25.68	$30.00	62.5%	17.9%	74.5%	28.2%	58.8%	16.2%	-2.3%	2.2K	11.8K	-1.0K	0.86	104.27	N/A	N/A	44	38	362	129
2016-02-22	$26.80	$30.00	66.9%	19.2%	67.6%	31.2%	59.3%	20.5%	-13.7%	3.7K	16.0K	-1.1K	0.68	104.52	N/A	N/A	40	27	339	125
2016-02-23	$25.63	$30.00	61.6%	17.6%	63.5%	27.6%	59.5%	8.7%	-3.0%	2.3K	61.0K	-887	0.68	107.25	N/A	N/A	40	27	340	123
2016-02-24	$26.08	$30.00	58.4%	16.7%	62.4%	25.5%	55.4%	1.0%	-11.6%	635	69.9K	-919	0.68	108.39	N/A	N/A	40	27	340	123
2016-02-25	$25.85	$30.00	62.2%	17.8%	62.2%	28.0%	57.5%	6.8%	-6.2%	2.3K	57.3K	-993	0.68	98.96	N/A	N/A	40	27	340	123
2016-02-26	$26.41	$30.00	64.3%	18.4%	57.2%	29.4%	58.5%	4.3%	-4.6%	3.8K	11.8K	-1.1K	0.70	108.02	N/A	N/A	40	28	340	123
2016-02-29	$27.20	$30.00	51.4%	14.7%	58.2%	20.8%	53.7%	1.1%	12.3%	3.4K	20.3K	-1.0K	0.78	115.56	N/A	N/A	40	31	340	125