VYM Options History — July 2007 In July 2007, VYM traded between $52.10 and $55.63. ATM implied volatility averaged 24.1%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 10.6% (HV 20d: 13.5%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 2 of 21 days.
Notable Days 2007-07-03 : Largest IV spike — 567.9% change2007-07-10 : Highest IV Rank — 9.8%2007-07-05 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $54.37 $52.10 $55.63 $54.48 $52.10 Max Pain $55.00 $55.00 $55.00 $55.00 $55.00 ATM IV 24.1% 11.3% 134.1% 20.1% 21.6% Expected Move 4.7% 3.2% 6.2% 5.8% 6.2% HV 20d 13.5% 11.1% 16.4% 14.1% 16.1% HV 60d 11.2% 10.1% 13.0% 10.1% 13.0% IV Rank 3.8% 0.0% 9.8% 5.8% 8.1% IV Percentile 11.6% 0.0% 22.9% 15.1% 22.9% Term Structure -4.1% -9.9% 4.8% -5.3% -8.0% Skew 25d -0.8% -7.5% 14.7% 0.1% -2.5% Skew 10d 3.0% -9.1% 14.7% -1.3% -9.1% Call IV 25d 28.0% 11.1% 139.0% 28.5% 30.5% Put IV 25d 27.2% 11.6% 153.8% 28.6% 28.1% Bid-Ask Spread % 153.50 81.56 200.00 161.81 156.17 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 2.5K 0 5.9K 3.5K 0 Net DEX -14.7K -27.3K 0 -19.8K 0 Net VEX -17 -40 0 -40 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 5.333 0 8 8 0
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 2007-07-02 $54.48 $55.00 20.1% 5.8% 14.1% 0.0% 0.0% 0.1% -5.3% 3.5K -19.8K -40 0.00 161.81 N/A N/A 0 0 8 0 2007-07-03 $54.51 $55.00 134.1% 0.0% 13.9% 0.0% 0.0% 14.7% 0.0% 3.1K -20.2K -39 0.00 200.00 N/A N/A 0 0 8 0 2007-07-05 $54.61 $55.00 21.8% 6.2% 13.7% 5.8% 0.0% 0.0% -9.9% 3.5K -20.5K -36 0.00 161.74 N/A N/A 0 0 8 0 2007-07-06 $54.58 $0.00 22.5% 3.9% 12.1% 6.4% 0.0% -6.8% -1.4% 3.5K -20.2K -35 0.00 154.15 N/A N/A 0 0 8 0 2007-07-09 $54.77 $0.00 25.1% 4.0% 11.1% 8.5% 0.0% -5.5% -1.2% 3.6K -21.4K -32 0.00 154.40 N/A N/A 0 0 8 0 2007-07-10 $54.02 $0.00 26.7% 4.2% 12.1% 9.8% 0.0% -3.5% -1.8% 3.4K -16.3K -29 0.00 154.00 N/A N/A 0 0 8 0 2007-07-11 $54.27 $0.00 20.8% 3.4% 11.6% 5.0% 0.0% -7.3% 4.8% 5.9K -14.3K -25 0.00 123.05 N/A N/A 0 0 8 0 2007-07-12 $55.36 $0.00 15.1% 4.3% 13.0% 0.4% 0.0% -1.1% -0.6% 3.7K -25.4K -27 0.00 153.91 N/A N/A 0 0 8 0 2007-07-13 $55.63 $0.00 14.8% 4.2% 12.9% 0.1% 0.0% 2.6% -4.9% 3.6K -27.3K -25 0.00 153.26 N/A N/A 0 0 8 0 2007-07-16 $55.58 $0.00 15.6% 4.5% 12.7% 0.8% 0.0% 2.5% -5.4% 3.7K -26.9K -20 0.00 154.74 N/A N/A 0 0 8 0 2007-07-17 $55.44 $0.00 15.2% 4.3% 12.7% 0.4% 0.0% 1.0% -2.5% 3.9K -25.9K -18 0.00 155.23 N/A N/A 0 0 8 0 2007-07-18 $55.26 $0.00 15.5% 4.4% 12.7% 0.7% 0.0% -1.3% -3.7% 4.0K -24.5K -16 0.00 155.14 N/A N/A 0 0 8 0 2007-07-19 $55.47 $0.00 15.6% 4.5% 12.0% 0.8% 0.0% 1.4% -3.0% 4.0K -26.1K -13 0.00 156.44 N/A N/A 0 0 8 0 2007-07-20 $54.71 $0.00 16.2% 4.6% 13.0% 1.2% 0.0% -7.5% -6.1% 4.0K -20.2K -9 0.00 157.63 N/A N/A 0 0 8 0 2007-07-23 $55.10 $0.00 17.0% 4.9% 12.5% 1.9% 0.0% -3.8% -4.5% 0 0 0 0.00 157.40 N/A N/A 0 0 0 0 2007-07-24 $53.95 $0.00 17.7% 5.1% 14.4% 2.5% 0.0% 0.1% -6.8% 0 0 0 0.00 158.65 N/A N/A 0 0 0 0 2007-07-25 $54.02 $0.00 11.3% 3.2% 14.4% 0.0% 0.0% 0.6% 0.7% 0 0 0 0.00 81.56 N/A N/A 0 0 0 0 2007-07-26 $53.03 $0.00 18.8% 5.4% 15.5% 5.9% 0.0% 0.1% -7.4% 0 0 0 0.00 157.25 N/A N/A 0 0 0 0 2007-07-27 $52.26 $0.00 19.5% 5.6% 16.2% 6.4% 0.0% -1.4% -4.9% 0 0 0 0.00 157.85 N/A N/A 0 0 0 0 2007-07-30 $52.59 $0.00 20.7% 5.9% 16.4% 7.4% 0.0% -0.0% -9.8% 0 0 0 0.00 159.22 N/A N/A 0 0 0 0 2007-07-31 $52.10 $0.00 21.6% 6.2% 16.1% 8.1% 0.0% -2.5% -8.0% 0 0 0 0.00 156.17 N/A N/A 0 0 0 0
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