VYM Options History — December 2007 In December 2007, VYM traded between $50.99 and $53.69. ATM implied volatility averaged 22.4%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.9% (HV 20d: 20.5%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days.
Notable Days 2007-12-24 : Largest IV spike — 226.1% change2007-12-11 : Highest IV Rank — 29.1%2007-12-24 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $52.11 $50.99 $53.69 $52.30 $51.10 Max Pain $55.00 $55.00 $55.00 $55.00 $55.00 ATM IV 22.4% 13.4% 47.7% 21.0% 21.5% Expected Move 5.4% 3.6% 12.9% 6.0% 6.2% HV 20d 20.5% 16.2% 23.4% 23.0% 16.2% HV 60d 17.8% 17.3% 18.3% 17.6% 18.1% IV Rank 9.1% 2.1% 29.1% 8.0% 8.4% IV Percentile 34.3% 1.3% 79.7% 37.4% 40.2% Term Structure -5.7% -13.9% -1.2% -6.0% -7.3% Skew 25d 0.5% -2.6% 14.4% 0.2% -2.6% Skew 10d -2.9% -9.1% 5.3% -2.9% -9.1% Call IV 25d 28.8% 18.9% 58.4% 29.7% 30.2% Put IV 25d 29.3% 19.0% 55.9% 29.9% 27.6% Bid-Ask Spread % 148.15 99.32 194.31 161.01 158.22 Gamma HHI 0.46 0.37 0.52 0.49 0.41 Net GEX 10.3K 6.0K 16.1K 11.9K 6.0K Net DEX -24.6K -73.5K 8.2K -29.2K 2.8K Net VEX -482 -659 -333 -553 -351 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 68.5 61 71 71 61
Daily Data (20 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 2007-12-03 $52.30 $55.00 21.0% 6.0% 23.0% 8.0% 0.0% 0.2% -6.0% 11.9K -29.2K -553 0.00 161.01 N/A N/A 0 0 61 10 2007-12-04 $51.96 $55.00 21.5% 6.2% 23.1% 8.4% 0.0% 0.0% -6.4% 10.2K -27.6K -531 0.00 132.95 N/A N/A 0 0 61 10 2007-12-05 $52.65 $55.00 21.9% 6.3% 23.4% 8.8% 0.0% 0.1% -8.3% 13.1K -42.0K -589 0.00 162.09 N/A N/A 0 0 61 10 2007-12-06 $53.30 $55.00 24.5% 7.0% 21.2% 10.8% 0.0% 0.2% -12.6% 14.4K -69.0K -659 0.00 157.28 N/A N/A 0 0 61 10 2007-12-07 $53.40 $0.00 23.1% 4.0% 21.2% 9.7% 0.0% 0.1% -2.9% 15.6K -65.6K -658 0.00 138.79 N/A N/A 0 0 61 10 2007-12-10 $53.69 $0.00 25.4% 4.2% 20.9% 11.5% 0.0% 0.1% -4.9% 16.1K -73.5K -642 0.00 154.66 N/A N/A 0 0 61 10 2007-12-11 $52.58 $0.00 47.7% 4.1% 22.3% 29.1% 0.0% 14.4% -5.8% 13.1K -50.1K -584 0.00 153.90 N/A N/A 0 0 61 10 2007-12-12 $52.71 $0.00 28.4% 3.6% 20.6% 13.9% 0.0% 1.7% -1.2% 12.6K -42.1K -565 0.00 141.22 N/A N/A 0 0 61 10 2007-12-13 $52.77 $0.00 15.4% 4.4% 20.5% 3.6% 0.0% 0.1% -4.6% 12.5K -32.1K -536 0.00 154.68 N/A N/A 0 0 61 10 2007-12-14 $51.67 $0.00 15.7% 4.5% 21.6% 3.9% 0.0% 0.1% -4.8% 9.9K -3.7K -418 0.00 152.52 N/A N/A 0 0 61 10 2007-12-17 $50.99 $0.00 13.4% 3.8% 22.1% 2.1% 0.0% 0.0% -3.1% 7.6K 8.2K -333 0.00 102.57 N/A N/A 0 0 61 10 2007-12-18 $51.43 $0.00 16.4% 4.7% 21.4% 4.4% 0.0% -0.9% -3.1% 8.6K 4.5K -340 0.00 149.91 N/A N/A 0 0 61 10 2007-12-19 $51.13 $0.00 17.8% 5.1% 21.5% 5.6% 0.0% 0.0% -8.8% 8.2K 6.8K -336 0.00 118.58 N/A N/A 0 0 61 10 2007-12-20 $51.24 $0.00 17.0% 4.9% 20.5% 4.9% 0.0% -1.8% -1.6% 7.7K 4.4K -347 0.00 153.96 N/A N/A 0 0 61 10 2007-12-21 $51.91 $0.00 13.9% 4.0% 20.4% 2.4% 0.0% 0.0% -3.6% 8.9K -2.8K -388 0.00 99.32 N/A N/A 0 0 61 10 2007-12-24 $52.17 $0.00 45.2% 12.9% 18.7% 27.1% 0.0% -2.5% -13.9% 6.3K -52.2K -560 0.00 194.31 N/A N/A 0 0 51 10 2007-12-26 $52.25 $0.00 18.7% 5.4% 18.2% 6.2% 0.0% 0.1% -4.3% 8.2K -17.5K -443 0.00 159.41 N/A N/A 0 0 51 10 2007-12-27 $51.58 $0.00 19.2% 5.5% 16.9% 6.6% 0.0% -0.3% -7.2% 8.7K -9.1K -419 0.00 159.33 N/A N/A 0 0 51 10 2007-12-28 $51.46 $0.00 20.1% 5.7% 16.8% 7.3% 0.0% -0.9% -4.4% 6.7K -2.1K -390 0.00 158.24 N/A N/A 0 0 51 10 2007-12-31 $51.10 $0.00 21.5% 6.2% 16.2% 8.4% 0.0% -2.6% -7.3% 6.0K 2.8K -351 0.00 158.22 N/A N/A 0 0 51 10
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