VYM Options History — October 2007

In October 2007, VYM traded between $53.17 and $55.66. ATM implied volatility averaged 19.0%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 6.6% (HV 20d: 12.4%). Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-10-23: Highest Volume — 10 contracts
  • 2007-10-12: Largest IV spike — 156.3% change
  • 2007-10-12: Highest IV Rank — 19.6%
  • 2007-10-12: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.65$53.17$55.66$55.23$54.48
ATM IV19.0%10.8%36.2%19.9%21.3%
Expected Move5.0%3.1%10.4%5.7%6.1%
HV 20d12.4%9.3%15.5%15.5%11.5%
HV 60d17.7%15.8%18.6%18.6%15.8%
IV Rank6.2%0.0%19.6%6.7%8.2%
IV Percentile22.2%0.0%48.7%29.0%36.1%
Term Structure-5.0%-10.3%0.2%-6.6%-5.3%
Skew 25d-0.4%-26.2%24.7%5.8%0.2%
Skew 10d-0.0%-35.4%20.4%13.1%-1.5%
Call IV 25d24.4%9.6%51.6%22.9%30.1%
Put IV 25d23.9%8.3%52.8%28.7%30.2%
Bid-Ask Spread %144.24106.16193.22141.90161.42
Gamma HHI0.580.360.950.620.45
Net GEX13.2K7.4K17.2K13.4K16.8K
Net DEX-122.9K-158.2K-66.4K-140.1K-133.1K
Net VEX-823-913-694-852-895
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.43501000
Total OI62.69651716171

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$55.23$0.0019.9%5.7%15.5%6.7%0.0%5.8%-6.6%13.4K-140.1K-8520.00141.90N/AN/A005110
2007-10-02$55.22$0.0020.4%5.9%15.2%7.2%0.0%5.8%-7.6%13.1K-142.1K-8490.00142.90N/AN/A005110
2007-10-03$55.09$0.0021.1%6.0%14.6%7.7%0.0%4.9%-8.3%12.4K-136.0K-8490.00121.80N/AN/A005110
2007-10-04$55.21$0.0016.1%4.6%14.6%3.7%0.0%-16.9%-7.6%10.2K-112.4K-6940.00111.32N/AN/A004110
2007-10-05$55.60$0.0022.9%3.9%13.6%9.2%0.0%0.1%-1.5%13.1K-155.1K-8260.00152.16N/AN/A005110
2007-10-08$55.31$0.0022.6%3.6%13.7%8.9%0.0%-5.1%-2.1%13.6K-147.1K-8250.00112.11N/AN/A005110
2007-10-09$55.66$0.0022.7%4.1%13.5%9.0%0.0%-10.6%-3.2%12.4K-158.2K-8120.00106.16N/AN/A005110
2007-10-10$55.54$0.0027.4%4.2%13.5%12.7%0.0%0.1%-4.6%13.1K-155.5K-8090.00153.91N/AN/A005110
2007-10-11$55.41$0.0014.1%4.0%13.6%2.2%0.0%0.1%-2.9%12.9K-147.1K-8170.00155.29N/AN/A005110
2007-10-12$55.39$0.0036.2%10.4%13.6%19.6%0.0%6.4%-10.3%7.5K-139.8K-8280.00193.22N/AN/A005110
2007-10-15$54.99$0.0015.1%4.3%13.8%3.0%0.0%0.1%-5.0%13.3K-135.1K-8170.00155.91N/AN/A005110
2007-10-16$54.58$0.0015.8%4.5%9.7%3.5%0.0%3.2%-5.6%13.9K-118.2K-8130.00154.09N/AN/A005110
2007-10-17$54.32$0.0014.2%4.1%9.5%2.3%0.0%-0.5%-2.6%14.2K-118.6K-8100.00132.85N/AN/A005110
2007-10-18$54.37$0.0013.9%4.0%9.3%2.0%0.0%-1.1%-1.8%13.5K-107.6K-8040.00139.45N/AN/A005110
2007-10-19$53.17$0.0016.7%4.8%12.0%4.2%0.0%-2.0%-4.7%11.6K-66.4K-7470.00152.35N/AN/A005110
2007-10-22$53.44$0.0010.8%3.1%11.2%0.0%0.0%0.0%-2.7%7.4K-90.8K-7700.00108.13N/AN/A005010
2007-10-23$53.54$0.0018.4%5.3%11.2%6.0%0.0%24.7%-6.8%11.9K-77.2K-7490.00161.89N/AN/A1005110
2007-10-24$53.53$0.0018.1%5.2%10.9%5.8%0.0%-26.2%-7.9%15.7K-98.5K-8840.00162.26N/AN/A006110
2007-10-25$53.76$0.0018.5%5.3%11.0%6.1%0.0%0.1%-6.2%16.3K-102.3K-8730.00157.80N/AN/A006110
2007-10-26$54.30$0.0018.8%5.4%11.7%6.3%0.0%0.2%-4.3%17.2K-127.0K-9130.00160.68N/AN/A006110
2007-10-29$54.60$0.0012.2%3.5%11.2%1.1%0.0%1.2%0.2%12.9K-108.1K-8110.00119.46N/AN/A005110
2007-10-30$54.22$0.0020.8%6.0%11.4%7.9%0.0%0.2%-7.4%16.6K-111.1K-8720.00160.39N/AN/A006110
2007-10-31$54.48$0.0021.3%6.1%11.5%8.2%0.0%0.2%-5.3%16.8K-133.1K-8950.00161.42N/AN/A006110