VYM Options History — June 2007 In June 2007, VYM traded between $53.50 and $55.55. ATM implied volatility averaged 46.4%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 35.0% (HV 20d: 11.4%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2007-06-27 : Highest Volume — 8 contracts2007-06-12 : Largest IV spike — 182.9% change2007-06-01 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $54.53 $53.50 $55.55 $55.44 $53.92 Max Pain $55.00 $55.00 $55.00 $55.00 $55.00 ATM IV 46.4% 14.6% 126.1% 56.0% 18.9% Expected Move 8.2% 4.2% 16.1% 16.1% 5.4% HV 20d 11.4% 7.6% 13.5% 7.6% 13.5% HV 60d 9.3% 8.4% 10.0% 8.5% 10.0% Term Structure -10.1% -23.8% -2.1% -23.8% -7.0% VWIV 21.5% 21.5% 21.5% 21.5% 21.5% Skew 25d 0.7% -7.2% 19.8% 19.8% 0.1% Skew 10d 0.8% -7.2% 39.6% 39.6% -4.7% Call IV 25d 36.9% 20.0% 60.0% 58.0% 26.8% Put IV 25d 37.6% 20.0% 77.9% 77.9% 26.9% Bid-Ask Spread % 176.16 155.53 194.16 159.77 158.40 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 308 0 3.3K 0 3.2K Net DEX -1.6K -17.5K 0 0 -16.3K Net VEX -4 -42 0 0 -41 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 0.381 0 8 0 0 Total OI 0.762 0 8 0 8
Daily Data (21 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 2007-06-01 $55.44 $0.00 56.0% 16.1% 7.6% 0.0% 0.0% 19.8% -23.8% 0 0 0 0.00 159.77 N/A N/A 0 0 0 0 2007-06-04 $55.55 $0.00 62.0% 9.0% 7.6% 0.0% 0.0% 5.6% -12.2% 0 0 0 0.00 192.49 N/A N/A 0 0 0 0 2007-06-05 $55.21 $0.00 65.6% 9.2% 8.0% 0.0% 0.0% 3.7% -11.9% 0 0 0 0.00 193.22 N/A N/A 0 0 0 0 2007-06-06 $54.79 $0.00 69.1% 9.3% 8.5% 0.0% 0.0% 1.3% -12.6% 0 0 0 0.00 193.45 N/A N/A 0 0 0 0 2007-06-07 $53.83 $0.00 74.1% 9.6% 10.4% 0.0% 0.0% -4.3% -13.1% 0 0 0 0.00 190.62 N/A N/A 0 0 0 0 2007-06-08 $54.59 $0.00 77.3% 9.6% 10.8% 0.0% 0.0% 0.1% -13.5% 0 0 0 0.00 193.84 N/A N/A 0 0 0 0 2007-06-11 $54.46 $0.00 39.3% 4.3% 10.7% 0.0% 0.0% -0.1% -2.6% 0 0 0 0.00 155.53 N/A N/A 0 0 0 0 2007-06-12 $53.90 $0.00 111.1% 10.2% 11.3% 0.0% 0.0% -4.3% -14.7% 0 0 0 0.00 193.09 N/A N/A 0 0 0 0 2007-06-13 $54.52 $0.00 126.1% 10.2% 12.0% 0.0% 0.0% -0.6% -15.3% 0 0 0 0.00 193.75 N/A N/A 0 0 0 0 2007-06-14 $54.92 $0.00 35.9% 10.3% 11.9% 0.0% 0.0% 1.8% -15.2% 0 0 0 0.00 194.16 N/A N/A 0 0 0 0 2007-06-15 $55.25 $0.00 14.6% 4.2% 12.1% 0.0% 0.0% -0.1% -2.1% 0 0 0 0.00 157.24 N/A N/A 0 0 0 0 2007-06-18 $55.13 $0.00 15.3% 4.4% 12.0% 0.0% 0.0% -0.1% -4.0% 0 0 0 0.00 158.65 N/A N/A 0 0 0 0 2007-06-19 $55.28 $0.00 15.3% 4.4% 12.0% 0.0% 0.0% -0.1% -3.3% 0 0 0 0.00 158.47 N/A N/A 0 0 0 0 2007-06-20 $54.61 $0.00 39.3% 11.3% 12.8% 0.0% 0.0% -0.5% -11.8% 0 0 0 0.00 194.03 N/A N/A 0 0 0 0 2007-06-21 $54.64 $0.00 40.0% 11.5% 12.8% 0.0% 0.0% -0.4% -12.2% 0 0 0 0.00 194.16 N/A N/A 0 0 0 0 2007-06-22 $54.00 $0.00 16.4% 4.7% 13.0% 0.0% 0.0% 0.0% -4.8% 0 0 0 0.00 157.74 N/A N/A 0 0 0 0 2007-06-25 $53.57 $0.00 17.4% 5.0% 13.2% 0.0% 0.0% -0.2% -6.3% 0 0 0 0.00 156.48 N/A N/A 0 0 0 0 2007-06-26 $53.50 $0.00 45.0% 12.9% 13.1% 0.0% 0.0% -7.2% -13.8% 0 0 0 0.00 187.15 N/A N/A 0 0 0 0 2007-06-27 $54.00 $0.00 18.1% 5.2% 13.5% 0.0% 21.5% 0.1% -6.3% 0 0 0 0.00 158.64 N/A N/A 8 0 0 0 2007-06-28 $54.10 $55.00 18.4% 5.3% 13.5% 0.0% 0.0% 0.1% -6.4% 3.3K -17.5K -42 0.00 158.48 N/A N/A 0 0 8 0 2007-06-29 $53.92 $55.00 18.9% 5.4% 13.5% 0.0% 0.0% 0.1% -7.0% 3.2K -16.3K -41 0.00 158.40 N/A N/A 0 0 8 0
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