VYM Options History — March 2008 In March 2008, VYM traded between $45.16 and $48.52. ATM implied volatility averaged 21.3%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.0% (HV 20d: 22.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days.
Notable Days 2008-03-17 : Highest Volume — 10 contracts2008-03-13 : Largest IV drop — 45.7% change2008-03-12 : Highest IV Rank — 17.8%2008-03-05 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $46.85 $45.16 $48.52 $47.07 $47.17 Max Pain $55.00 $55.00 $55.00 $55.00 $55.00 ATM IV 21.3% 16.8% 32.2% 16.8% 23.3% Expected Move 5.6% 4.8% 7.1% 4.8% 6.7% HV 20d 22.2% 16.3% 26.6% 19.6% 25.0% HV 60d 22.5% 21.0% 23.9% 21.3% 23.9% IV Rank 9.4% 5.8% 17.8% 5.8% 11.2% IV Percentile 42.3% 19.4% 64.7% 19.4% 57.1% Term Structure -6.2% -10.9% 3.5% 3.5% -7.1% Skew 25d -3.8% -22.0% 17.6% 17.6% 0.2% Skew 10d -8.2% -29.0% 17.3% 17.3% -4.6% Call IV 25d 27.2% 9.8% 36.2% 9.8% 33.0% Put IV 25d 23.4% 13.2% 33.2% 27.4% 33.2% Bid-Ask Spread % 145.76 131.00 155.77 131.78 154.49 Gamma HHI 0.53 0.50 0.55 0.53 0.53 Net GEX -5.9K -9.2K -3.6K -6.7K -6.6K Net DEX 137.2K 79.9K 163.8K 147.0K 104.7K Net VEX -222 -277 -145 -264 -215 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.5 0 10 0 0 Total OI 72.7 30 91 91 30
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 2008-03-03 $47.07 $55.00 16.8% 4.8% 19.6% 5.8% 0.0% 17.6% 3.5% -6.7K 147.0K -264 0.00 131.78 N/A N/A 0 0 51 40 2008-03-04 $46.94 $55.00 23.9% 6.9% 19.3% 11.3% 0.0% -21.0% -10.7% -5.7K 154.6K -238 0.00 131.00 N/A N/A 0 0 51 40 2008-03-05 $47.09 $55.00 24.6% 7.1% 16.3% 11.9% 0.0% -17.5% -10.9% -5.8K 151.1K -256 0.00 137.19 N/A N/A 0 0 51 40 2008-03-06 $46.00 $55.00 19.5% 5.6% 18.1% 7.9% 0.0% -22.0% -9.0% -4.9K 158.8K -200 0.00 132.32 N/A N/A 0 0 51 40 2008-03-07 $45.70 $0.00 20.1% 4.9% 17.5% 8.4% 0.0% -7.6% -7.5% -4.5K 159.3K -186 0.00 134.77 N/A N/A 0 0 51 40 2008-03-10 $45.16 $0.00 21.7% 4.8% 17.5% 9.6% 0.0% -8.1% -3.2% -3.6K 163.8K -145 0.00 138.44 N/A N/A 0 0 51 40 2008-03-11 $46.68 $0.00 30.7% 4.8% 21.5% 16.7% 0.0% -1.6% -4.5% -5.8K 151.1K -228 0.00 147.91 N/A N/A 0 0 51 40 2008-03-12 $46.53 $0.00 32.2% 5.1% 21.3% 17.8% 0.0% -2.2% -5.1% -5.3K 154.6K -218 0.00 146.69 N/A N/A 0 0 51 40 2008-03-13 $46.63 $0.00 17.5% 5.0% 20.7% 6.4% 0.0% -1.9% -4.7% -5.5K 155.8K -212 0.00 147.55 N/A N/A 0 0 51 40 2008-03-14 $45.82 $0.00 18.2% 5.2% 21.0% 6.9% 0.0% -5.4% -5.5% -4.2K 163.4K -167 0.00 143.37 N/A N/A 0 0 51 40 2008-03-17 $45.68 $0.00 19.0% 5.4% 20.9% 7.5% 0.0% -6.2% -6.6% -4.1K 162.6K -157 0.00 144.38 N/A N/A 0 10 51 40 2008-03-18 $47.11 $0.00 18.0% 5.2% 24.0% 6.9% 0.0% -0.1% -7.0% -7.1K 144.8K -242 0.00 150.94 N/A N/A 0 0 51 40 2008-03-19 $46.67 $0.00 19.1% 5.5% 24.2% 7.9% 0.0% -1.9% -7.0% -5.5K 157.9K -198 0.00 149.48 N/A N/A 0 0 51 40 2008-03-20 $48.11 $0.00 18.2% 5.2% 26.3% 7.1% 0.0% 0.1% -4.7% -6.8K 142.8K -265 0.00 152.15 N/A N/A 0 0 51 40 2008-03-24 $48.52 $0.00 19.0% 5.5% 26.3% 7.8% 0.0% 0.2% -7.3% -9.2K 79.9K -277 0.00 155.35 N/A N/A 0 0 0 30 2008-03-25 $48.22 $0.00 19.9% 5.7% 26.0% 8.4% 0.0% 0.2% -3.9% -7.5K 88.1K -274 0.00 154.76 N/A N/A 0 0 0 30 2008-03-26 $47.54 $0.00 20.4% 5.8% 26.4% 8.8% 0.0% 0.1% -7.4% -7.0K 95.9K -253 0.00 155.77 N/A N/A 0 0 0 30 2008-03-27 $47.54 $0.00 21.3% 6.1% 26.4% 9.6% 0.0% 0.2% -7.7% -6.7K 101.7K -238 0.00 153.75 N/A N/A 0 0 0 30 2008-03-28 $46.83 $0.00 21.7% 6.2% 26.6% 9.9% 0.0% 0.1% -6.7% -6.2K 105.4K -210 0.00 153.14 N/A N/A 0 0 0 30 2008-03-31 $47.17 $0.00 23.3% 6.7% 25.0% 11.2% 0.0% 0.2% -7.1% -6.6K 104.7K -215 0.00 154.49 N/A N/A 0 0 0 30
« Feb 2008 | All History | Apr 2008 » Home VYM History March 2008