VYM Options History — May 2007

In May 2007, VYM traded between $53.71 and $55.36. ATM implied volatility averaged 48.5%. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 40.8% (HV 20d: 7.7%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.

Notable Days

  • 2007-05-10: Largest IV drop — 47.2% change
  • 2007-05-03: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.74$53.71$55.36$53.71$55.36
ATM IV48.5%36.5%69.1%52.5%54.3%
Expected Move12.4%9.6%15.8%15.0%15.6%
HV 20d7.7%6.7%8.5%6.9%7.7%
HV 60d10.6%8.6%11.3%10.9%8.6%
Term Structure-18.6%-22.6%-14.0%-20.6%-22.6%
Skew 25d19.7%12.7%66.6%15.4%66.6%
Skew 10d34.9%25.5%82.7%31.8%82.7%
Call IV 25d40.6%5.2%58.0%58.0%5.6%
Put IV 25d60.3%47.2%76.8%73.3%72.2%
Bid-Ask Spread %162.51156.36174.80174.80160.52
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
2007-05-01$53.71$0.0052.5%15.0%6.9%0.0%0.0%15.4%-20.6%0000.00174.80N/AN/A0000
2007-05-02$54.11$0.0053.8%15.4%7.1%0.0%0.0%17.5%-20.9%0000.00173.24N/AN/A0000
2007-05-03$54.38$0.0055.3%15.8%7.1%0.0%0.0%19.2%-21.5%0000.00171.99N/AN/A0000
2007-05-04$54.48$0.0057.0%9.6%7.1%0.0%0.0%13.1%-14.7%0000.00160.83N/AN/A0000
2007-05-07$54.62$0.0063.1%9.9%7.1%0.0%0.0%13.8%-16.9%0000.00160.21N/AN/A0000
2007-05-08$54.55$0.0065.9%10.0%7.2%0.0%0.0%13.8%-17.4%0000.00160.90N/AN/A0000
2007-05-09$54.79$0.0069.1%10.2%6.7%0.0%0.0%14.6%-17.4%0000.00160.02N/AN/A0000
2007-05-10$54.12$0.0036.5%10.5%8.5%0.0%0.0%12.7%-17.5%0000.00164.44N/AN/A0000
2007-05-11$54.40$0.0036.8%10.6%8.5%0.0%0.0%13.9%-17.4%0000.00161.09N/AN/A0000
2007-05-14$54.35$0.0038.5%11.0%7.7%0.0%0.0%14.2%-18.8%0000.00161.65N/AN/A0000
2007-05-15$54.51$0.0038.7%11.1%7.7%0.0%0.0%14.9%-20.8%0000.00161.23N/AN/A0000
2007-05-16$54.99$0.0039.2%11.2%8.2%0.0%0.0%16.7%-20.4%0000.00158.45N/AN/A0000
2007-05-17$54.98$0.0039.8%11.4%8.1%0.0%0.0%16.8%-21.0%0000.00158.70N/AN/A0000
2007-05-18$55.26$0.0040.4%11.6%7.9%0.0%0.0%18.2%-20.9%0000.00156.36N/AN/A0000
2007-05-21$55.26$0.0042.6%12.2%7.8%0.0%0.0%15.0%-14.0%0000.00160.38N/AN/A0000
2007-05-22$55.31$0.0043.5%12.5%7.8%0.0%0.0%15.4%-14.5%0000.00160.42N/AN/A0000
2007-05-23$55.23$0.0044.4%12.7%7.5%0.0%0.0%15.4%-15.3%0000.00160.87N/AN/A0000
2007-05-24$54.72$0.0045.6%13.1%8.3%0.0%0.0%13.7%-17.0%0000.00164.00N/AN/A0000
2007-05-25$54.85$0.0046.6%13.3%8.3%0.0%0.0%57.7%-17.5%0000.00162.49N/AN/A0000
2007-05-29$55.00$0.0051.4%14.7%7.9%0.0%0.0%16.4%-21.1%0000.00162.28N/AN/A0000
2007-05-30$55.30$0.0052.7%15.1%8.1%0.0%0.0%18.2%-21.5%0000.00160.31N/AN/A0000
2007-05-31$55.36$0.0054.3%15.6%7.7%0.0%0.0%66.6%-22.6%0000.00160.52N/AN/A0000