VYM Options History — April 2007

In April 2007, VYM traded between $51.65 and $54.09. ATM implied volatility averaged 49.3%. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 40.8% (HV 20d: 8.5%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

  • 2007-04-12: Largest IV drop — 48.1% change
  • 2007-04-05: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.96$51.65$54.09$51.65$53.74
ATM IV49.3%37.8%72.8%53.1%51.1%
Expected Move12.7%10.4%16.5%15.2%14.6%
HV 20d8.5%6.4%11.7%11.7%6.9%
HV 60d10.9%10.8%11.1%10.8%10.9%
Term Structure-14.1%-22.7%-8.5%-20.4%-19.5%
Skew 25d13.0%-1.8%19.7%-1.8%19.6%
Skew 10d22.0%-1.8%36.1%-1.8%35.7%
Call IV 25d48.3%37.4%74.1%70.7%51.8%
Put IV 25d61.3%50.7%77.6%68.9%71.4%
Bid-Ask Spread %179.54170.64191.57190.00173.14
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$51.65$0.0053.1%15.2%11.7%0.0%0.0%-1.8%-20.4%0000.00190.00N/AN/A0000
2007-04-03$51.97$0.0054.4%15.6%10.8%0.0%0.0%1.1%-20.8%0000.00191.05N/AN/A0000
2007-04-04$52.11$0.0055.9%16.0%10.7%0.0%0.0%2.4%-21.7%0000.00190.92N/AN/A0000
2007-04-05$52.22$0.0057.5%16.5%10.5%0.0%0.0%3.5%-22.7%0000.00191.57N/AN/A0000
2007-04-09$52.27$0.0066.4%10.4%10.5%0.0%0.0%13.0%-8.5%0000.00182.38N/AN/A0000
2007-04-10$52.46$0.0069.1%10.5%10.5%0.0%0.0%13.7%-8.6%0000.00181.48N/AN/A0000
2007-04-11$52.18$0.0072.8%10.7%8.4%0.0%0.0%13.0%-9.2%0000.00183.10N/AN/A0000
2007-04-12$52.29$0.0037.8%10.8%8.3%0.0%0.0%13.5%-9.3%0000.00182.38N/AN/A0000
2007-04-13$52.56$0.0037.9%10.9%8.3%0.0%0.0%14.5%-10.2%0000.00180.66N/AN/A0000
2007-04-16$53.17$0.0039.3%11.3%8.6%0.0%0.0%17.2%-10.5%0000.00175.15N/AN/A0000
2007-04-17$53.26$0.0039.9%11.4%8.2%0.0%0.0%14.1%-10.8%0000.00176.96N/AN/A0000
2007-04-18$53.40$0.0040.4%11.6%7.9%0.0%0.0%14.7%-11.0%0000.00176.77N/AN/A0000
2007-04-19$53.26$0.0041.2%11.8%7.0%0.0%0.0%14.5%-11.6%0000.00177.12N/AN/A0000
2007-04-20$53.64$0.0041.4%11.9%7.2%0.0%0.0%16.1%-12.6%0000.00172.49N/AN/A0000
2007-04-23$53.55$0.0043.7%12.5%7.3%0.0%0.0%16.4%-14.3%0000.00175.31N/AN/A0000
2007-04-24$53.47$0.0045.0%12.9%7.1%0.0%0.0%16.4%-13.8%0000.00176.28N/AN/A0000
2007-04-25$53.89$0.0045.4%13.0%7.1%0.0%0.0%18.4%-15.1%0000.00171.65N/AN/A0000
2007-04-26$54.09$0.0046.3%13.3%6.4%0.0%0.0%19.4%-15.4%0000.00171.65N/AN/A0000
2007-04-27$54.06$0.0047.3%13.6%6.4%0.0%0.0%19.7%-16.2%0000.00170.64N/AN/A0000
2007-04-30$53.74$0.0051.1%14.6%6.9%0.0%0.0%19.6%-19.5%0000.00173.14N/AN/A0000