VYM Options History — March 2007

In March 2007, VYM traded between $50.00 and $52.27. ATM implied volatility averaged 62.9%. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 48.6% (HV 20d: 14.3%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.

Notable Days

  • 2007-03-15: Largest IV drop — 71.8% change
  • 2007-03-02: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.11$50.00$52.27$51.07$51.56
ATM IV62.9%38.8%137.8%58.8%49.4%
Expected Move12.2%10.0%17.7%16.9%14.2%
HV 20d14.3%11.8%16.7%11.8%12.3%
HV 60d10.9%10.4%11.3%10.5%10.8%
Term Structure-14.9%-26.4%-11.5%-25.6%-17.7%
Skew 25d-4.9%-13.1%5.3%5.3%-2.3%
Skew 10d-4.3%-15.4%20.3%20.3%-2.3%
Call IV 25d57.1%47.8%82.4%76.3%66.1%
Put IV 25d52.2%35.5%85.2%81.6%63.8%
Bid-Ask Spread %185.54177.16190.90179.57190.28
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$51.07$0.0058.8%16.9%11.8%0.0%0.0%5.3%-25.6%0000.00179.57N/AN/A0000
2007-03-02$50.45$0.0061.6%17.7%12.1%0.0%0.0%2.8%-26.4%0000.00181.42N/AN/A0000
2007-03-05$50.00$0.0069.3%10.0%12.3%0.0%0.0%-12.4%-12.1%0000.00177.16N/AN/A0000
2007-03-06$50.74$0.0071.1%10.0%13.7%0.0%0.0%-9.6%-12.4%0000.00183.01N/AN/A0000
2007-03-07$50.58$0.0074.6%10.1%13.7%0.0%0.0%-10.4%-12.9%0000.00182.08N/AN/A0000
2007-03-08$50.95$0.0078.5%10.2%14.1%0.0%0.0%-9.1%-12.7%0000.00184.38N/AN/A0000
2007-03-09$51.04$0.0083.1%10.3%14.1%0.0%0.0%-8.8%-12.9%0000.00185.24N/AN/A0000
2007-03-12$51.03$0.00105.2%10.7%14.1%0.0%0.0%-9.3%-13.9%0000.00185.49N/AN/A0000
2007-03-13$50.16$0.00119.7%11.0%15.2%0.0%0.0%-13.1%-14.4%0000.00177.80N/AN/A0000
2007-03-14$50.36$0.00137.8%11.1%15.0%0.0%0.0%-12.4%-14.4%0000.00180.66N/AN/A0000
2007-03-15$50.61$0.0038.8%11.1%14.9%0.0%0.0%-7.4%-15.7%0000.00184.58N/AN/A0000
2007-03-16$50.38$0.0039.9%11.4%14.9%0.0%0.0%-8.9%-15.3%0000.00182.82N/AN/A0000
2007-03-19$50.87$0.0041.1%11.8%15.5%0.0%0.0%-7.1%-11.6%0000.00186.33N/AN/A0000
2007-03-20$51.29$0.0041.6%11.9%15.8%0.0%0.0%-5.3%-11.5%0000.00188.45N/AN/A0000
2007-03-21$51.95$0.0041.5%11.9%16.6%0.0%0.0%-0.6%-12.1%0000.00190.63N/AN/A0000
2007-03-22$52.16$0.0042.2%12.1%16.7%0.0%0.0%0.8%-12.3%0000.00190.69N/AN/A0000
2007-03-23$52.27$0.0042.9%12.3%16.7%0.0%0.0%1.6%-12.6%0000.00190.90N/AN/A0000
2007-03-26$52.04$0.0045.3%13.0%16.7%0.0%0.0%1.9%-14.1%0000.00190.35N/AN/A0000
2007-03-27$51.82$0.0046.2%13.3%12.9%0.0%0.0%0.1%-15.1%0000.00190.18N/AN/A0000
2007-03-28$51.48$0.0047.7%13.7%13.1%0.0%0.0%-2.7%-14.9%0000.00189.95N/AN/A0000
2007-03-29$51.69$0.0048.2%13.8%13.2%0.0%0.0%-1.1%-16.7%0000.00190.01N/AN/A0000
2007-03-30$51.56$0.0049.4%14.2%12.3%0.0%0.0%-2.3%-17.7%0000.00190.28N/AN/A0000