VYM Options History — August 2007 In August 2007, VYM traded between $51.46 and $53.93. ATM implied volatility averaged 26.8%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.2% (HV 20d: 21.6%). Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2007-08-09 : Highest Volume — 15 contracts2007-08-09 : Largest IV spike — 172.6% change2007-08-09 : Highest IV Rank — 51.5%2007-08-09 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $52.66 $51.46 $53.93 $52.54 $53.10 ATM IV 26.8% 15.0% 76.4% 21.9% 19.2% Expected Move 5.4% 3.9% 9.9% 6.3% 5.5% HV 20d 21.6% 16.5% 24.0% 16.5% 23.4% HV 60d 16.2% 13.2% 18.1% 13.2% 18.1% IV Rank 12.2% 2.9% 51.5% 8.4% 6.2% IV Percentile 28.7% 1.9% 94.0% 24.1% 23.5% Term Structure -4.7% -14.4% 0.6% -10.9% -3.4% Skew 25d 0.3% -6.3% 4.9% -0.3% 0.1% Skew 10d 1.6% -13.4% 6.4% -7.2% 4.6% Call IV 25d 26.1% 18.1% 43.4% 31.1% 27.4% Put IV 25d 26.3% 19.3% 48.0% 30.8% 27.5% Bid-Ask Spread % 156.79 148.02 189.72 158.71 155.52 Gamma HHI 0.62 0.46 1.00 1.00 0.53 Net GEX 4.6K 0 7.9K 0 7.6K Net DEX -38.1K -76.3K 0 0 -63.5K Net VEX -289 -493 0 0 -468 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 1.182 0 15 0 0 Total OI 19.273 0 31 0 31
Daily Data (22 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 2007-08-01 $52.54 $0.00 21.9% 6.3% 16.5% 8.4% 0.0% -0.3% -10.9% 0 0 0 0.00 158.71 N/A N/A 0 0 0 0 2007-08-02 $52.78 $0.00 22.6% 6.5% 16.6% 8.9% 0.0% 0.1% -11.0% 0 0 0 0.00 159.91 N/A N/A 0 0 0 0 2007-08-03 $51.46 $0.00 24.3% 7.0% 18.6% 10.2% 0.0% -6.3% -7.4% 0 0 0 0.00 154.14 N/A N/A 1 0 0 0 2007-08-06 $52.63 $0.00 65.5% 9.5% 20.6% 42.9% 0.0% 4.9% -14.4% 181 -2.6K -16 0.00 189.57 N/A N/A 0 0 1 0 2007-08-07 $53.25 $0.00 27.1% 4.0% 20.6% 12.5% 0.0% 0.1% -1.3% 240 -3.0K -17 0.00 149.21 N/A N/A 0 0 1 0 2007-08-08 $53.93 $0.00 28.0% 3.9% 21.1% 13.2% 0.0% 1.2% -1.5% 234 -3.3K -16 0.00 148.02 N/A N/A 0 0 1 0 2007-08-09 $52.48 $0.00 76.4% 9.9% 21.7% 51.5% 0.0% 4.7% -14.3% 182 -2.6K -16 0.00 189.72 N/A N/A 15 0 1 0 2007-08-10 $52.53 $0.00 31.9% 4.0% 21.6% 16.3% 0.0% 0.1% -2.8% 3.8K -32.3K -254 0.00 151.08 N/A N/A 0 0 16 0 2007-08-13 $52.10 $0.00 41.1% 4.3% 21.7% 23.5% 0.0% 0.1% -2.1% 3.4K -26.3K -228 0.00 150.65 N/A N/A 0 0 16 0 2007-08-14 $51.50 $0.00 46.4% 4.5% 21.9% 27.7% 0.0% 0.1% -1.1% 3.1K -24.5K -216 0.00 151.41 N/A N/A 10 0 16 0 2007-08-16 $51.56 $0.00 15.2% 4.3% 21.9% 3.0% 0.0% 0.1% -4.1% 6.1K -45.1K -415 0.00 151.88 N/A N/A 0 0 31 0 2007-08-17 $52.83 $0.00 15.0% 4.3% 24.0% 2.9% 0.0% 0.1% -2.9% 7.1K -62.0K -485 0.00 152.71 N/A N/A 0 0 31 0 2007-08-20 $52.70 $0.00 15.7% 4.5% 23.6% 3.5% 0.0% 0.1% -1.3% 7.9K -64.2K -487 0.00 153.01 N/A N/A 0 0 31 0 2007-08-21 $52.63 $0.00 16.0% 4.6% 23.3% 3.7% 0.0% 0.1% -5.0% 7.6K -62.6K -480 0.00 152.95 N/A N/A 0 0 31 0 2007-08-22 $53.11 $0.00 16.2% 4.6% 22.6% 3.8% 0.0% 0.1% 0.6% 7.8K -67.7K -489 0.00 154.18 N/A N/A 0 0 31 0 2007-08-23 $53.13 $0.00 16.4% 4.7% 22.6% 4.0% 0.0% 0.1% -0.2% 7.7K -67.9K -485 0.00 153.79 N/A N/A 0 0 31 0 2007-08-24 $53.60 $0.00 16.5% 4.7% 21.8% 4.1% 0.0% 0.1% -5.5% 7.7K -76.3K -493 0.00 153.07 N/A N/A 0 0 31 0 2007-08-27 $53.16 $0.00 17.6% 5.1% 21.3% 5.0% 0.0% 0.1% -1.7% 7.7K -66.3K -475 0.00 154.75 N/A N/A 0 0 31 0 2007-08-28 $51.99 $0.00 18.4% 5.3% 22.7% 5.6% 0.0% 0.1% -2.7% 6.8K -47.4K -408 0.00 154.46 N/A N/A 0 0 31 0 2007-08-29 $52.91 $0.00 18.4% 5.3% 23.3% 5.6% 0.0% 0.1% -3.3% 7.8K -59.9K -453 0.00 154.79 N/A N/A 0 0 31 0 2007-08-30 $52.65 $0.00 18.9% 5.4% 23.2% 5.9% 0.0% 0.1% -6.1% 7.5K -60.7K -463 0.00 155.74 N/A N/A 0 0 31 0 2007-08-31 $53.10 $0.00 19.2% 5.5% 23.4% 6.2% 0.0% 0.1% -3.4% 7.6K -63.5K -468 0.00 155.52 N/A N/A 0 0 31 0
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