VYM Options History — September 2007 In September 2007, VYM traded between $52.36 and $55.27. ATM implied volatility averaged 19.6%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.6% (HV 20d: 18.0%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2007-09-04 : Highest Volume — 10 contracts2007-09-13 : Largest IV drop — 45.0% change2007-09-12 : Highest IV Rank — 13.5%2007-09-06 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $53.92 $52.36 $55.27 $53.62 $54.65 ATM IV 19.6% 14.7% 28.4% 21.2% 18.6% Expected Move 4.9% 4.1% 6.4% 6.1% 5.3% HV 20d 18.0% 15.2% 21.5% 21.5% 15.3% HV 60d 18.1% 17.6% 18.6% 17.8% 18.5% IV Rank 6.5% 2.7% 13.5% 7.8% 5.7% IV Percentile 21.1% 1.1% 38.2% 26.9% 24.9% Term Structure -5.4% -8.0% -2.5% -8.0% -7.1% Skew 25d 3.0% 0.1% 8.1% 0.1% 3.1% Skew 10d 9.1% 4.6% 14.7% 6.7% 10.0% Call IV 25d 21.6% 15.1% 31.9% 29.9% 23.7% Put IV 25d 24.6% 20.3% 32.0% 29.9% 26.8% Bid-Ask Spread % 146.96 131.57 156.59 155.80 147.36 Gamma HHI 0.57 0.52 0.61 0.53 0.61 Net GEX 9.9K 8.1K 13.5K 8.1K 13.5K Net DEX -95.4K -127.7K -73.2K -73.2K -119.8K Net VEX -673 -870 -482 -482 -870 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 1.579 0 10 10 0 Total OI 45.211 31 61 31 61
Daily Data (19 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 2007-09-04 $53.62 $0.00 21.2% 6.1% 21.5% 7.8% 0.0% 0.1% -8.0% 8.1K -73.2K -482 0.00 155.80 N/A N/A 10 0 31 0 2007-09-05 $53.06 $0.00 21.9% 6.3% 20.5% 8.3% 0.0% 0.2% -7.3% 10.3K -87.6K -624 0.00 156.59 N/A N/A 0 0 41 0 2007-09-06 $53.19 $0.00 22.5% 6.4% 20.1% 8.8% 0.0% 0.2% -6.8% 9.9K -87.6K -605 0.00 156.56 N/A N/A 0 0 41 0 2007-09-07 $52.48 $0.00 23.5% 4.3% 20.0% 9.6% 0.0% 1.6% -2.9% 9.7K -77.3K -593 0.00 151.90 N/A N/A 0 0 41 0 2007-09-10 $52.36 $0.00 26.4% 4.3% 17.6% 11.9% 0.0% 1.2% -2.5% 9.5K -75.9K -562 0.00 153.53 N/A N/A 0 0 41 0 2007-09-11 $52.94 $0.00 27.2% 4.1% 18.0% 12.6% 0.0% 3.0% -2.7% 10.4K -86.0K -588 0.00 150.26 N/A N/A 0 0 41 0 2007-09-12 $53.20 $0.00 28.4% 4.3% 17.8% 13.5% 0.0% 3.8% -2.7% 10.1K -91.2K -602 0.00 148.91 N/A N/A 0 0 41 0 2007-09-13 $53.50 $0.00 15.6% 4.5% 17.2% 3.4% 0.0% 5.0% -4.4% 11.2K -100.9K -629 0.00 146.04 N/A N/A 0 0 41 0 2007-09-14 $53.66 $0.00 14.7% 4.2% 17.2% 2.7% 0.0% 5.5% -4.8% 10.9K -97.1K -622 0.00 145.43 N/A N/A 0 0 41 0 2007-09-17 $53.41 $0.00 16.4% 4.7% 15.2% 4.0% 0.0% 4.7% -5.3% 11.3K -96.1K -606 0.00 148.70 N/A N/A 0 0 41 0 2007-09-18 $54.96 $0.00 16.9% 4.8% 18.1% 4.4% 0.0% 8.1% -5.8% 12.7K -127.7K -624 0.00 131.57 N/A N/A 0 10 41 0 2007-09-19 $55.27 $0.00 16.0% 4.6% 18.1% 3.7% 0.0% 7.4% -6.3% 8.2K -114.0K -771 0.00 135.10 N/A N/A 0 0 41 10 2007-09-20 $54.93 $0.00 15.9% 4.6% 18.1% 3.6% 0.0% 1.1% -7.2% 8.2K -106.8K -771 0.00 140.61 N/A N/A 0 0 41 10 2007-09-21 $55.13 $0.00 16.7% 4.8% 18.1% 4.2% 0.0% 0.4% -8.0% 8.2K -108.9K -764 0.00 139.88 N/A N/A 0 0 41 10 2007-09-24 $54.33 $0.00 17.2% 4.9% 18.8% 4.7% 0.0% 2.1% -3.4% 9.1K -89.5K -773 0.00 147.33 N/A N/A 0 0 41 10 2007-09-25 $54.33 $0.00 17.6% 5.0% 18.6% 4.9% 0.0% 2.0% -4.5% 8.9K -82.9K -769 0.00 147.14 N/A N/A 0 0 41 10 2007-09-26 $54.71 $0.00 17.8% 5.1% 16.5% 5.1% 0.0% 3.2% -6.5% 9.0K -91.2K -771 0.00 145.51 N/A N/A 0 0 41 10 2007-09-27 $54.76 $0.00 18.1% 5.2% 15.5% 5.4% 0.0% 3.6% -6.7% 8.5K -98.3K -764 0.00 144.04 N/A N/A 10 0 41 10 2007-09-28 $54.65 $0.00 18.6% 5.3% 15.3% 5.7% 0.0% 3.1% -7.1% 13.5K -119.8K -870 0.00 147.36 N/A N/A 0 0 51 10
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