VYM Options History — May 2008 In May 2008, VYM traded between $47.50 and $49.45. ATM implied volatility averaged 26.5%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 11.5% (HV 20d: 14.9%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2008-05-15 : Largest IV drop — 71.6% change2008-05-14 : Highest IV Rank — 37.7%2008-05-02 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $48.54 $47.50 $49.45 $49.21 $48.15 Max Pain $50.00 $50.00 $50.00 $50.00 $50.00 ATM IV 26.5% 16.0% 56.4% 24.3% 21.2% Expected Move 5.1% 4.2% 7.2% 7.0% 6.1% HV 20d 14.9% 13.4% 16.7% 15.5% 13.4% HV 60d 20.2% 19.6% 20.5% 20.5% 19.8% IV Rank 13.7% 5.3% 37.7% 12.0% 9.5% IV Percentile 55.5% 14.3% 95.2% 67.1% 56.7% Term Structure -3.6% -8.4% 0.2% -8.4% -5.7% Skew 25d 0.8% -4.5% 7.2% 5.9% 0.3% Skew 10d 2.5% -2.9% 16.0% 14.4% 0.1% Call IV 25d 24.2% 13.7% 30.3% 28.5% 30.2% Put IV 25d 25.0% 18.5% 35.2% 34.4% 30.4% Bid-Ask Spread % 139.01 126.82 155.33 155.33 140.80 Gamma HHI 0.46 0.45 0.47 0.47 0.46 Net GEX -6.4K -7.5K -5.2K -7.4K -6.1K Net DEX 73.0K 48.6K 108.8K 57.8K 81.8K Net VEX -275 -345 -170 -344 -219 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 41 41 41 41 41
Daily Data (21 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 2008-05-01 $49.21 $0.00 24.3% 7.0% 15.5% 12.0% 0.0% 5.9% -8.4% -7.4K 57.8K -344 0.00 155.33 N/A N/A 0 0 11 30 2008-05-02 $49.45 $0.00 25.0% 7.2% 15.6% 12.5% 0.0% 7.2% -8.2% -6.7K 48.6K -345 0.00 153.36 N/A N/A 0 0 11 30 2008-05-05 $49.09 $50.00 28.2% 4.2% 15.8% 15.1% 0.0% 0.1% -2.4% -6.5K 56.8K -333 0.00 137.45 N/A N/A 0 0 11 30 2008-05-06 $49.33 $50.00 29.3% 4.5% 15.8% 16.0% 0.0% -0.3% -3.2% -7.5K 57.4K -328 0.00 137.46 N/A N/A 0 0 11 30 2008-05-07 $48.47 $50.00 31.2% 4.4% 16.7% 17.5% 0.0% 0.2% -0.1% -6.2K 71.8K -308 0.00 136.73 N/A N/A 0 0 11 30 2008-05-08 $48.35 $50.00 33.0% 4.4% 16.7% 19.0% 0.0% 0.2% 0.2% -6.1K 74.3K -299 0.00 137.25 N/A N/A 0 0 11 30 2008-05-09 $48.09 $50.00 35.2% 4.4% 15.2% 20.7% 0.0% 0.2% -0.1% -5.9K 79.5K -284 0.00 137.28 N/A N/A 0 0 11 30 2008-05-12 $48.64 $50.00 43.7% 4.5% 15.0% 27.5% 0.0% 0.3% -5.2% -6.1K 69.9K -291 0.00 138.38 N/A N/A 0 0 11 30 2008-05-13 $48.50 $50.00 49.3% 4.8% 15.1% 32.0% 0.0% 0.3% -0.9% -6.2K 71.8K -293 0.00 137.99 N/A N/A 0 0 11 30 2008-05-14 $48.82 $50.00 56.4% 4.5% 13.9% 37.7% 0.0% 0.2% -4.6% -6.4K 65.6K -295 0.00 138.69 N/A N/A 0 0 11 30 2008-05-15 $49.15 $50.00 16.0% 4.6% 14.1% 5.3% 0.0% 0.3% -3.1% -6.6K 58.3K -300 0.00 139.36 N/A N/A 0 0 11 30 2008-05-16 $49.08 $50.00 16.3% 4.7% 13.7% 5.5% 0.0% 0.3% -3.7% -6.5K 60.0K -293 0.00 139.08 N/A N/A 0 0 11 30 2008-05-19 $49.20 $50.00 16.9% 4.9% 13.5% 6.1% 0.0% 0.3% -1.5% -6.6K 56.9K -289 0.00 140.07 N/A N/A 0 0 11 30 2008-05-20 $48.60 $50.00 17.3% 5.0% 14.0% 6.4% 0.0% 0.3% -4.2% -6.5K 69.9K -273 0.00 139.15 N/A N/A 0 0 11 30 2008-05-21 $47.89 $50.00 18.4% 5.3% 15.0% 7.3% 0.0% 0.3% -4.2% -6.1K 87.8K -238 0.00 138.25 N/A N/A 0 0 11 30 2008-05-22 $48.09 $50.00 17.1% 4.9% 14.5% 6.2% 0.0% -4.5% -4.3% -7.2K 93.8K -227 0.00 126.82 N/A N/A 0 0 11 30 2008-05-23 $47.50 $50.00 18.7% 5.4% 14.9% 7.5% 0.0% 0.2% -2.1% -5.2K 93.3K -214 0.00 138.57 N/A N/A 0 0 11 30 2008-05-27 $47.71 $50.00 16.4% 4.7% 15.0% 5.7% 0.0% 4.8% -0.6% -6.0K 108.8K -170 0.00 127.38 N/A N/A 0 0 11 30 2008-05-28 $47.73 $50.00 20.4% 5.8% 14.9% 8.8% 0.0% 0.1% -5.8% -5.5K 89.5K -212 0.00 139.64 N/A N/A 0 0 11 30 2008-05-29 $48.28 $50.00 21.2% 6.1% 15.4% 9.5% 0.0% 0.3% -6.8% -6.3K 79.5K -226 0.00 140.14 N/A N/A 0 0 11 30 2008-05-30 $48.15 $50.00 21.2% 6.1% 13.4% 9.5% 0.0% 0.3% -5.7% -6.1K 81.8K -219 0.00 140.80 N/A N/A 0 0 11 30
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