VYM Options History — January 2007 In January 2007, VYM traded between $51.14 and $52.08. ATM implied volatility averaged 24.7%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 17.7% (HV 20d: 7.0%). Max pain ranged from $52.00 to $52.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2007-01-29 : Highest Volume — 4 contracts2007-01-26 : Largest IV spike — 153.1% change2007-01-29 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $51.53 $51.14 $52.08 $51.72 $52.00 Max Pain $52.00 $52.00 $52.00 $52.00 $52.00 ATM IV 24.7% 15.2% 53.6% 22.3% 31.6% Expected Move 6.4% 4.1% 15.4% 6.4% 9.1% HV 20d 7.0% 6.8% 7.3% 7.3% 7.0% Term Structure -2.7% -19.0% 26.8% -9.7% 26.8% VWIV 55.3% 55.3% 55.3% 55.3% 55.3% Skew 25d 7.8% 0.1% 57.0% 0.1% 10.1% Skew 10d 13.8% 1.9% 57.8% 23.1% 15.3% Call IV 25d 25.8% 8.5% 64.7% 31.7% 64.7% Put IV 25d 33.6% 20.6% 74.8% 31.8% 74.8% Bid-Ask Spread % 162.88 146.82 195.09 146.82 190.22 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 256 0 4.3K 0 829 Net DEX -982 -11.0K 0 0 -11.0K Net VEX -2 -18 0 0 -18 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.2 0 4 0 0 Total OI 0.4 0 4 0 4
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 2007-01-03 $51.72 $0.00 22.3% 6.4% 0.0% 0.0% 0.0% 0.1% -9.7% 0 0 0 0.00 146.82 N/A N/A 0 0 0 0 2007-01-04 $51.59 $0.00 23.0% 6.6% 0.0% 0.0% 0.0% 0.1% -10.5% 0 0 0 0.00 146.90 N/A N/A 0 0 0 0 2007-01-05 $51.23 $0.00 24.1% 4.1% 0.0% 0.0% 0.0% 0.1% 0.6% 0 0 0 0.00 153.91 N/A N/A 0 0 0 0 2007-01-08 $51.24 $0.00 27.0% 4.2% 0.0% 0.0% 0.0% 0.1% -0.7% 0 0 0 0.00 155.02 N/A N/A 0 0 0 0 2007-01-09 $51.20 $0.00 28.2% 4.3% 0.0% 0.0% 0.0% 0.1% -2.3% 0 0 0 0.00 154.70 N/A N/A 0 0 0 0 2007-01-10 $51.14 $0.00 29.6% 4.3% 0.0% 0.0% 0.0% 0.1% -0.3% 0 0 0 0.00 155.07 N/A N/A 0 0 0 0 2007-01-11 $51.33 $0.00 15.2% 4.4% 0.0% 0.0% 0.0% 0.1% -0.4% 0 0 0 0.00 155.04 N/A N/A 0 0 0 0 2007-01-12 $51.50 $0.00 15.8% 4.5% 0.0% 0.0% 0.0% 0.1% -2.5% 0 0 0 0.00 154.39 N/A N/A 0 0 0 0 2007-01-16 $51.50 $0.00 16.3% 4.7% 0.0% 0.0% 0.0% 0.1% -2.4% 0 0 0 0.00 156.55 N/A N/A 0 0 0 0 2007-01-17 $51.53 $0.00 17.0% 4.9% 0.0% 0.0% 0.0% 0.1% -5.4% 0 0 0 0.00 157.57 N/A N/A 0 0 0 0 2007-01-18 $51.54 $0.00 17.3% 4.9% 0.0% 0.0% 0.0% 0.1% -5.6% 0 0 0 0.00 157.14 N/A N/A 0 0 0 0 2007-01-19 $51.72 $0.00 17.1% 4.9% 0.0% 0.0% 0.0% 0.1% -5.6% 0 0 0 0.00 159.15 N/A N/A 0 0 0 0 2007-01-22 $51.54 $0.00 18.5% 5.3% 0.0% 0.0% 0.0% 12.0% -6.6% 0 0 0 0.00 158.07 N/A N/A 0 0 0 0 2007-01-23 $51.67 $0.00 18.4% 5.3% 0.0% 0.0% 0.0% 13.8% -6.6% 0 0 0 0.00 159.37 N/A N/A 0 0 0 0 2007-01-24 $52.08 $0.00 18.7% 5.4% 0.0% 0.0% 0.0% 17.9% -6.3% 0 0 0 0.00 158.33 N/A N/A 0 0 0 0 2007-01-25 $51.51 $0.00 19.7% 5.6% 7.3% 0.0% 0.0% 11.9% -7.5% 0 0 0 0.00 157.73 N/A N/A 0 0 0 0 2007-01-26 $51.45 $0.00 49.9% 14.3% 7.1% 0.0% 0.0% 57.0% -16.4% 0 0 0 0.00 194.58 N/A N/A 0 0 0 0 2007-01-29 $51.48 $0.00 53.6% 15.4% 6.8% 0.0% 55.3% 9.8% -19.0% 0 0 0 0.00 195.09 N/A N/A 4 0 0 0 2007-01-30 $51.66 $52.00 30.9% 8.9% 6.8% 0.0% 0.0% 21.8% 25.7% 4.3K -8.6K -18 0.00 191.93 N/A N/A 0 0 4 0 2007-01-31 $52.00 $52.00 31.6% 9.1% 7.0% 0.0% 0.0% 10.1% 26.8% 829 -11.0K -18 0.00 190.22 N/A N/A 0 0 4 0
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