VYM Options History — April 2008 In April 2008, VYM traded between $46.57 and $48.84. ATM implied volatility averaged 21.9%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.2% (HV 20d: 22.2%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2008-04-30 : Highest Volume — 10 contracts2008-04-10 : Largest IV drop — 48.0% change2008-04-09 : Highest IV Rank — 17.8%2008-04-03 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $48.07 $46.57 $48.84 $48.84 $48.21 ATM IV 21.9% 16.4% 31.6% 23.0% 24.1% Expected Move 5.6% 4.4% 7.0% 6.6% 6.9% HV 20d 22.2% 13.6% 28.0% 27.9% 13.6% HV 60d 23.2% 21.0% 24.9% 24.9% 21.0% IV Rank 10.1% 5.7% 17.8% 11.0% 11.8% IV Percentile 48.6% 15.5% 71.0% 56.3% 66.3% Term Structure -5.3% -10.7% -1.1% -9.1% -7.9% Skew 25d 1.0% 0.1% 3.0% 0.1% 1.1% Skew 10d 6.5% -0.8% 11.3% 4.0% 9.5% Call IV 25d 27.0% 19.9% 34.9% 32.8% 33.0% Put IV 25d 28.0% 22.0% 35.0% 32.9% 34.1% Bid-Ask Spread % 156.17 150.90 159.90 156.87 159.90 Gamma HHI 0.51 0.48 0.55 0.55 0.50 Net GEX -7.8K -8.7K -5.4K -8.6K -8.0K Net DEX 92.8K 81.5K 113.0K 82.9K 92.0K Net VEX -226 -270 -158 -270 -208 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 0.5 0 10 0 10 Total OI 30.909 30 31 30 31
Daily Data (22 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 2008-04-01 $48.84 $0.00 23.0% 6.6% 27.9% 11.0% 0.0% 0.1% -9.1% -8.6K 82.9K -270 0.00 156.87 N/A N/A 0 0 0 30 2008-04-02 $48.62 $0.00 23.7% 6.8% 28.0% 11.5% 0.0% 0.1% -10.1% -8.7K 85.3K -262 0.00 157.80 N/A N/A 1 0 0 30 2008-04-03 $48.62 $0.00 24.4% 7.0% 28.0% 12.1% 0.0% 0.1% -10.7% -8.6K 81.5K -270 0.00 157.80 N/A N/A 0 0 1 30 2008-04-04 $48.52 $0.00 26.3% 4.4% 26.4% 13.6% 0.0% 2.1% -3.2% -8.7K 84.8K -267 0.00 150.90 N/A N/A 0 0 1 30 2008-04-07 $48.60 $0.00 28.2% 4.4% 26.2% 15.1% 0.0% 2.6% -2.7% -8.5K 83.5K -262 0.00 151.78 N/A N/A 0 0 1 30 2008-04-08 $48.41 $0.00 29.8% 4.8% 25.7% 16.4% 0.0% 2.1% -1.1% -8.0K 86.2K -260 0.00 151.67 N/A N/A 0 0 1 30 2008-04-09 $47.90 $0.00 31.6% 4.6% 23.6% 17.8% 0.0% 0.4% -1.2% -7.4K 93.3K -239 0.00 153.74 N/A N/A 0 0 1 30 2008-04-10 $47.95 $0.00 16.4% 4.7% 23.6% 5.7% 0.0% 0.5% -1.5% -7.6K 93.0K -237 0.00 154.07 N/A N/A 0 0 1 30 2008-04-11 $47.05 $0.00 17.0% 4.9% 24.7% 6.1% 0.0% 0.1% -1.8% -6.1K 107.1K -190 0.00 155.68 N/A N/A 0 0 1 30 2008-04-14 $46.57 $0.00 18.2% 5.2% 24.1% 7.1% 0.0% 0.1% -4.9% -5.4K 113.0K -158 0.00 156.12 N/A N/A 0 0 1 30 2008-04-15 $46.87 $0.00 18.0% 5.2% 24.1% 6.9% 0.0% 0.1% -3.5% -5.7K 110.6K -181 0.00 156.37 N/A N/A 0 0 1 30 2008-04-16 $47.72 $0.00 17.9% 5.1% 22.4% 6.9% 0.0% 0.1% -4.1% -7.7K 95.0K -221 0.00 155.48 N/A N/A 0 0 1 30 2008-04-17 $47.83 $0.00 18.2% 5.2% 22.1% 7.1% 0.0% 0.1% -3.8% -7.8K 93.6K -231 0.00 156.10 N/A N/A 0 0 1 30 2008-04-18 $48.33 $0.00 18.6% 5.3% 19.6% 7.4% 0.0% 1.7% -3.6% -8.0K 89.2K -231 0.00 156.16 N/A N/A 0 0 1 30 2008-04-21 $48.08 $0.00 19.5% 5.6% 19.4% 8.2% 0.0% 0.7% -4.1% -8.0K 95.4K -214 0.00 156.59 N/A N/A 0 0 1 30 2008-04-22 $47.71 $0.00 20.0% 5.7% 19.5% 8.5% 0.0% 0.1% -6.3% -7.5K 99.7K -204 0.00 157.84 N/A N/A 0 0 1 30 2008-04-23 $47.69 $0.00 20.4% 5.8% 18.8% 8.8% 0.0% 0.1% -7.1% -7.6K 101.4K -201 0.00 158.11 N/A N/A 0 0 1 30 2008-04-24 $48.25 $0.00 20.7% 5.9% 19.3% 9.1% 0.0% 1.3% -4.6% -8.3K 96.0K -215 0.00 157.68 N/A N/A 0 0 1 30 2008-04-25 $48.58 $0.00 20.8% 6.0% 18.4% 9.2% 0.0% 2.6% -8.9% -8.3K 85.8K -226 0.00 157.54 N/A N/A 0 0 1 30 2008-04-28 $48.69 $0.00 22.4% 6.4% 18.3% 10.5% 0.0% 3.0% -10.0% -8.6K 84.2K -220 0.00 158.14 N/A N/A 0 0 1 30 2008-04-29 $48.40 $0.00 23.3% 6.7% 13.6% 11.2% 0.0% 2.0% -6.2% -8.2K 88.9K -212 0.00 159.29 N/A N/A 0 0 1 30 2008-04-30 $48.21 $0.00 24.1% 6.9% 13.6% 11.8% 0.0% 1.1% -7.9% -8.0K 92.0K -208 0.00 159.90 N/A N/A 10 0 1 30
« Mar 2008 | All History | May 2008 » Home VYM History April 2008