VYM Options History — February 2007

In February 2007, VYM traded between $51.07 and $52.79. ATM implied volatility averaged 43.2%. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 35.8% (HV 20d: 7.3%). Max pain ranged from $52.00 to $52.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 1 of 19 days.

Notable Days

  • 2007-02-05: Largest IV spike — 13.2% change
  • 2007-02-28: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.34$51.07$52.79$52.34$51.19
Max Pain$52.00$52.00$52.00$52.00$52.00
ATM IV43.2%32.8%56.9%32.8%56.9%
Expected Move12.2%9.4%16.3%9.4%16.3%
HV 20d7.3%5.4%12.2%7.2%12.1%
Term Structure-16.6%-23.8%26.8%26.8%-23.8%
Skew 25d8.5%5.1%12.2%12.2%5.6%
Skew 10d23.0%19.1%29.2%19.1%20.9%
Call IV 25d52.7%41.4%73.4%64.8%73.4%
Put IV 25d61.2%48.8%79.0%77.0%79.0%
Bid-Ask Spread %175.99173.35188.26188.26179.56
Gamma HHI1.001.001.001.001.00
Net GEX66203.6K8100
Net DEX-7.6K-16.5K0-11.6K0
Net VEX-7-170-170
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI2.5260440

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$52.34$52.0032.8%9.4%7.2%0.0%0.0%12.2%26.8%810-11.6K-170.00188.26N/AN/A0040
2007-02-02$52.42$0.0033.8%10.0%7.1%0.0%0.0%7.3%-15.0%815-11.7K-170.00174.73N/AN/A0040
2007-02-05$52.38$0.0038.2%10.4%6.5%0.0%0.0%7.5%-16.1%821-11.6K-150.00174.73N/AN/A0040
2007-02-06$52.44$0.0039.8%10.5%6.5%0.0%0.0%7.7%-16.4%825-11.7K-140.00174.53N/AN/A0040
2007-02-07$52.37$0.0041.9%10.7%6.5%0.0%0.0%7.5%-16.9%833-11.6K-140.00175.09N/AN/A0040
2007-02-08$52.34$0.0037.8%10.8%6.5%0.0%0.0%7.5%-17.3%838-11.5K-130.00175.72N/AN/A0040
2007-02-09$52.16$0.0038.4%11.0%6.6%0.0%0.0%7.0%-18.1%851-11.2K-120.00176.27N/AN/A0040
2007-02-12$52.05$0.0040.2%11.5%6.6%0.0%0.0%7.0%-19.8%888-10.9K-100.00176.37N/AN/A0040
2007-02-13$52.45$0.0040.5%11.6%7.1%0.0%0.0%8.2%-19.5%881-11.7K-90.00175.16N/AN/A0040
2007-02-14$52.79$0.0040.7%11.7%7.4%0.0%0.0%9.4%-21.1%714-12.2K-70.00173.36N/AN/A0040
2007-02-15$52.74$0.0041.4%11.9%7.4%0.0%0.0%9.3%-21.8%715-12.1K-60.00173.35N/AN/A0040
2007-02-16$52.69$0.0042.1%12.1%7.4%0.0%0.0%9.3%-22.6%3.6K-16.5K-30.00173.78N/AN/A0040
2007-02-20$52.79$0.0045.4%13.0%7.2%0.0%0.0%10.2%-16.3%0000.00173.46N/AN/A0000
2007-02-21$52.64$0.0046.3%13.3%7.3%0.0%0.0%9.8%-17.3%0000.00174.46N/AN/A0000
2007-02-22$52.60$0.0047.3%13.6%6.8%0.0%0.0%9.9%-18.1%0000.00174.88N/AN/A0000
2007-02-23$52.48$0.0048.9%14.0%5.5%0.0%0.0%9.6%-17.5%0000.00175.55N/AN/A0000
2007-02-26$52.60$0.0052.1%14.9%5.4%0.0%0.0%10.6%-21.9%0000.00174.88N/AN/A0000
2007-02-27$51.07$0.0055.4%15.9%12.2%0.0%0.0%5.1%-22.8%0000.00179.77N/AN/A0000
2007-02-28$51.19$0.0056.9%16.3%12.1%0.0%0.0%5.6%-23.8%0000.00179.56N/AN/A0000