VYM Options History — January 2008 In January 2008, VYM traded between $46.49 and $50.53. ATM implied volatility averaged 23.8%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.7% (HV 20d: 20.1%). Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 3 of 20 days.
Notable Days 2008-01-14 : Highest Volume — 30 contracts2008-01-09 : Largest IV spike — 164.9% change2008-01-09 : Highest IV Rank — 51.4%2008-01-09 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $48.92 $46.49 $50.53 $50.46 $49.43 ATM IV 23.8% 14.2% 76.1% 23.3% 23.9% Expected Move 5.8% 4.1% 11.2% 6.7% 6.9% HV 20d 20.1% 16.1% 26.7% 16.6% 26.7% HV 60d 20.1% 18.1% 22.0% 18.1% 22.0% IV Rank 10.3% 2.7% 51.4% 9.8% 10.3% IV Percentile 38.9% 3.2% 96.0% 46.8% 47.6% Term Structure -4.7% -13.6% 1.4% -6.2% -13.6% Skew 25d -2.8% -17.2% 2.4% -6.3% 1.1% Skew 10d -6.7% -15.1% -1.1% -13.2% -4.1% Call IV 25d 28.2% 11.9% 51.8% 32.3% 15.9% Put IV 25d 25.4% 14.3% 46.9% 26.0% 17.0% Bid-Ask Spread % 147.82 111.05 190.05 153.58 118.17 Gamma HHI 0.43 0.33 0.52 0.42 0.46 Net GEX -1.2K -6.4K 5.6K 4.9K -6.0K Net DEX 79.0K -14.1K 147.8K 14.1K 117.5K Net VEX -320 -467 -81 -278 -383 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 1.5 0 30 0 0 Total OI 77.5 61 91 61 91
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 2008-01-02 $50.46 $0.00 23.3% 6.7% 16.6% 9.8% 0.0% -6.3% -6.2% 4.9K 14.1K -278 0.00 153.58 N/A N/A 0 0 51 10 2008-01-03 $50.53 $0.00 23.5% 6.7% 16.6% 10.0% 0.0% -6.1% -10.7% 5.6K 16.3K -271 0.00 153.56 N/A N/A 0 0 51 10 2008-01-04 $49.65 $0.00 24.8% 4.2% 16.6% 11.0% 0.0% 0.1% -4.2% 4.0K 26.4K -206 0.00 154.84 N/A N/A 0 0 51 10 2008-01-07 $50.01 $0.00 27.6% 4.3% 16.1% 13.3% 0.0% 0.1% 0.5% 3.7K 28.1K -189 0.00 155.95 N/A N/A 0 0 51 10 2008-01-08 $49.17 $0.00 28.7% 4.5% 16.7% 14.1% 0.0% -2.5% 0.8% 2.9K 31.6K -167 0.00 153.35 N/A N/A 0 0 51 10 2008-01-09 $49.68 $0.00 76.1% 11.2% 17.1% 51.4% 0.0% -4.9% -10.3% 4.5K -14.1K -394 0.00 190.05 N/A N/A 0 0 51 10 2008-01-10 $50.40 $0.00 15.6% 4.5% 17.0% 3.8% 0.0% 0.1% 1.4% 4.3K 26.0K -202 0.00 158.87 N/A N/A 0 0 51 10 2008-01-11 $49.60 $0.00 17.0% 4.9% 17.6% 4.9% 0.0% -17.2% -5.7% 2.1K 41.8K -81 0.00 129.88 N/A N/A 0 0 51 10 2008-01-14 $49.83 $0.00 16.7% 4.8% 17.8% 4.6% 0.0% 0.1% -4.9% 3.8K 29.3K -178 0.00 156.39 N/A N/A 0 30 51 10 2008-01-15 $48.72 $0.00 17.3% 5.0% 18.0% 5.1% 0.0% -3.7% -3.2% -5.9K 113.3K -460 0.00 152.85 N/A N/A 0 0 51 40 2008-01-16 $49.08 $0.00 17.5% 5.0% 17.9% 5.3% 0.0% -2.5% -2.9% -4.9K 118.5K -452 0.00 152.76 N/A N/A 0 0 51 40 2008-01-17 $47.22 $0.00 14.2% 4.1% 21.7% 2.7% 0.0% 2.4% -3.8% -6.4K 129.2K -376 0.00 111.05 N/A N/A 0 0 51 40 2008-01-18 $46.73 $0.00 18.9% 5.4% 21.8% 6.4% 0.0% -9.1% -5.5% -5.5K 139.8K -350 0.00 139.61 N/A N/A 0 0 51 40 2008-01-22 $46.49 $0.00 20.8% 6.0% 21.6% 7.9% 0.0% -5.8% -2.5% -5.0K 147.8K -302 0.00 143.23 N/A N/A 0 0 51 40 2008-01-23 $47.96 $0.00 20.4% 5.8% 24.4% 7.5% 0.0% 0.2% -2.8% -5.0K 117.4K -456 0.00 151.85 N/A N/A 0 0 51 40 2008-01-24 $48.15 $0.00 20.7% 5.9% 24.4% 7.8% 0.0% 0.2% -4.6% -5.3K 130.5K -389 0.00 151.73 N/A N/A 0 0 51 40 2008-01-28 $48.34 $0.00 22.7% 6.5% 24.5% 9.4% 0.0% 0.2% -5.6% -5.7K 127.0K -400 0.00 151.94 N/A N/A 0 0 51 40 2008-01-29 $48.80 $0.00 22.9% 6.6% 24.6% 9.6% 0.0% 0.0% -3.1% -4.3K 113.2K -467 0.00 124.25 N/A N/A 0 0 51 40 2008-01-30 $48.23 $0.00 24.1% 6.9% 24.9% 10.5% 0.0% 0.3% -6.2% -5.5K 126.7K -392 0.00 152.47 N/A N/A 0 0 51 40 2008-01-31 $49.43 $0.00 23.9% 6.9% 26.7% 10.3% 0.0% 1.1% -13.6% -6.0K 117.5K -383 0.00 118.17 N/A N/A 0 0 51 40
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