VET Options History — April 2017

In April 2017, VET traded between $34.73 and $38.12. ATM implied volatility averaged 28.2%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 7.3% (HV 20d: 20.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.91.

Notable Days

2017-04-03: Highest Volume — 223 contracts
2017-04-10: Largest IV spike — 64.9% change
2017-04-05: Highest IV Rank — 16.7%
2017-04-05: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.66	$34.73	$38.12	$37.17	$35.20
Max Pain	$35.79	$35.00	$40.00	$40.00	$35.00
ATM IV	28.2%	18.1%	43.5%	26.1%	21.1%
Expected Move	7.2%	5.2%	12.5%	7.5%	6.0%
HV 20d	20.8%	17.2%	30.7%	30.6%	18.5%
HV 60d	24.1%	23.9%	24.5%	24.1%	24.1%
IV Rank	6.6%	0.0%	16.7%	4.5%	2.1%
IV Percentile	21.7%	0.0%	75.8%	10.3%	1.6%
Term Structure	-1.8%	-40.5%	7.0%	-15.2%	1.3%
VWIV	24.9%	17.1%	28.6%	17.1%	21.1%
Skew 25d	4.1%	-8.0%	27.5%	-8.0%	27.5%
Skew 10d	9.7%	-2.4%	47.7%	12.9%	47.7%
Call IV 25d	22.1%	17.6%	29.7%	21.9%	19.5%
Put IV 25d	26.2%	13.9%	46.9%	13.9%	46.9%
Bid-Ask Spread %	97.79	85.52	125.82	112.85	101.52
Gamma HHI	0.54	0.46	0.66	0.50	0.62
Net GEX	-22.0K	-41.7K	-12.4K	-16.5K	-29.5K
Net DEX	182.5K	61.6K	420.5K	68.4K	370.5K
Net VEX	-3.3K	-3.7K	-2.8K	-3.1K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.56	1.55	0.87	0.96
Total Volume	192	131	223	223	155
Total OI	712.474	654	744	654	701

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
2017-04-03	$37.17	$40.00	26.1%	7.5%	30.6%	4.5%	17.1%	-8.0%	-15.2%	-16.5K	68.4K	-3.1K	0.87	112.85	N/A	N/A	119	104	322	332
2017-04-04	$37.52	$40.00	28.6%	8.2%	30.7%	6.3%	20.1%	0.1%	7.0%	-19.8K	121.2K	-3.7K	0.87	108.30	N/A	N/A	119	104	322	402
2017-04-05	$37.19	$40.00	43.5%	12.5%	23.8%	16.7%	25.7%	-3.6%	-40.5%	-22.5K	132.0K	-3.7K	0.85	125.82	N/A	N/A	119	101	322	402
2017-04-06	$37.29	$35.00	43.3%	7.1%	23.7%	16.5%	25.7%	3.7%	1.6%	-19.1K	166.0K	-3.7K	0.86	92.54	N/A	N/A	118	101	322	402
2017-04-07	$37.28	$35.00	25.4%	6.5%	23.6%	4.0%	24.4%	3.3%	3.6%	-22.4K	144.9K	-3.6K	0.86	88.29	N/A	N/A	118	101	324	402
2017-04-10	$37.65	$35.00	41.9%	5.3%	23.5%	15.5%	24.3%	2.7%	0.2%	-18.3K	127.5K	-3.5K	0.86	95.98	N/A	N/A	118	101	324	402
2017-04-11	$37.99	$35.00	36.9%	6.0%	22.6%	12.0%	25.4%	3.4%	0.5%	-16.6K	68.9K	-3.6K	0.88	85.52	N/A	N/A	115	101	324	402
2017-04-12	$38.12	$35.00	18.1%	5.2%	17.2%	0.0%	24.0%	1.1%	1.2%	-14.3K	68.1K	-3.6K	0.92	95.46	N/A	N/A	116	107	327	402
2017-04-13	$37.51	$35.00	19.6%	5.6%	18.2%	1.1%	28.4%	4.0%	0.3%	-16.9K	100.8K	-3.5K	0.92	91.59	N/A	N/A	116	107	329	392
2017-04-17	$37.50	$35.00	25.2%	7.2%	18.1%	5.0%	28.5%	4.5%	5.6%	-15.7K	61.6K	-3.3K	0.92	86.57	N/A	N/A	116	107	329	392
2017-04-18	$36.96	$35.00	26.8%	7.7%	17.8%	6.0%	28.6%	3.8%	2.7%	-23.0K	146.5K	-3.2K	1.08	92.51	N/A	N/A	107	116	329	392
2017-04-19	$36.05	$35.00	27.2%	7.8%	18.5%	6.3%	27.2%	-0.5%	-0.6%	-37.9K	235.0K	-3.1K	1.55	99.54	N/A	N/A	75	116	330	402
2017-04-20	$35.84	$35.00	26.6%	7.6%	18.6%	5.9%	26.6%	0.2%	-0.8%	-41.7K	234.6K	-3.0K	0.56	101.25	N/A	N/A	84	47	332	402
2017-04-21	$35.98	$35.00	26.2%	7.5%	18.6%	5.6%	26.2%	6.3%	-0.2%	-12.4K	195.4K	-3.1K	0.82	105.71	N/A	N/A	84	69	342	402
2017-04-24	$35.61	$35.00	25.7%	7.4%	18.8%	5.3%	25.7%	5.1%	-0.3%	-20.0K	247.2K	-3.0K	0.82	86.59	N/A	N/A	79	65	339	341
2017-04-25	$35.69	$35.00	24.2%	6.9%	18.5%	4.3%	24.2%	20.4%	0.1%	-22.6K	278.7K	-3.0K	0.76	95.02	N/A	N/A	79	60	339	341
2017-04-26	$35.28	$35.00	24.8%	7.1%	17.4%	4.6%	24.8%	3.2%	-1.1%	-22.0K	280.2K	-2.9K	0.89	105.00	N/A	N/A	79	70	339	341
2017-04-27	$34.73	$35.00	24.3%	7.0%	17.6%	4.3%	24.3%	0.8%	-0.3%	-26.1K	420.5K	-2.8K	0.96	88.00	N/A	N/A	79	76	339	351
2017-04-28	$35.20	$35.00	21.1%	6.0%	18.5%	2.1%	21.1%	27.5%	1.3%	-29.5K	370.5K	-2.8K	0.96	101.52	N/A	N/A	79	76	339	362