VYM Options History — June 2008 In June 2008, VYM traded between $42.79 and $47.97. ATM implied volatility averaged 26.7%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 9.6% (HV 20d: 17.0%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 0 of 21 days.
Notable Days 2008-06-20 : Largest IV spike — 157.0% change2008-06-30 : Highest IV Rank — 42.0%2008-06-30 : Largest Expected Move — 17.7%Monthly Statistics Metric Avg Min Max Open Close Price $45.54 $42.79 $47.97 $47.70 $42.82 Max Pain $50.00 $50.00 $50.00 $50.00 $50.00 ATM IV 26.7% 17.5% 61.8% 22.9% 61.8% Expected Move 6.9% 4.6% 17.7% 6.6% 17.7% HV 20d 17.0% 13.2% 20.8% 13.5% 20.8% HV 60d 17.8% 15.5% 19.3% 19.2% 17.1% IV Rank 13.9% 6.6% 42.0% 10.9% 42.0% IV Percentile 66.2% 28.2% 98.4% 65.1% 98.4% Term Structure -9.6% -39.5% -1.2% -7.8% -39.5% Skew 25d -8.9% -39.1% 0.3% 0.2% -39.1% Skew 10d -15.0% -54.5% -0.6% -2.1% -54.5% Call IV 25d 33.8% 22.8% 87.1% 32.7% 87.1% Put IV 25d 24.9% 16.5% 48.0% 32.8% 48.0% Bid-Ask Spread % 140.68 121.03 165.87 139.98 152.93 Gamma HHI 0.64 0.45 1.00 0.45 1.00 Net GEX -2.0K -6.0K 947 -5.5K 732 Net DEX 79.3K -8.9K 124.0K 91.7K -8.9K Net VEX -85 -189 -20 -189 -57 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 32.143 10 41 41 10
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 2008-06-02 $47.70 $50.00 22.9% 6.6% 13.5% 10.9% 0.0% 0.2% -7.8% -5.5K 91.7K -189 0.00 139.98 N/A N/A 0 0 11 30 2008-06-03 $47.43 $50.00 22.9% 6.6% 13.4% 10.9% 0.0% 0.3% -7.2% -5.2K 97.5K -171 0.00 139.48 N/A N/A 0 0 11 30 2008-06-04 $47.22 $50.00 24.6% 7.1% 13.2% 12.2% 0.0% 0.3% -7.7% -4.8K 101.1K -166 0.00 140.05 N/A N/A 0 0 11 30 2008-06-05 $47.97 $50.00 24.9% 7.2% 13.4% 12.5% 0.0% 0.3% -8.8% -6.0K 87.7K -189 0.00 140.59 N/A N/A 0 0 11 30 2008-06-06 $46.47 $0.00 26.9% 4.6% 17.4% 14.1% 0.0% -6.3% -1.2% -3.5K 111.9K -126 0.00 144.26 N/A N/A 0 0 11 30 2008-06-09 $46.34 $0.00 29.8% 4.8% 17.3% 16.4% 0.0% -7.1% -3.2% -3.2K 114.3K -106 0.00 142.63 N/A N/A 0 0 11 30 2008-06-10 $46.39 $0.00 31.1% 4.8% 16.7% 17.5% 0.0% -7.0% -2.2% -3.3K 114.0K -103 0.00 143.40 N/A N/A 0 0 11 30 2008-06-11 $45.62 $0.00 33.0% 5.2% 17.4% 18.9% 0.0% -8.5% -7.3% -2.1K 121.0K -73 0.00 134.67 N/A N/A 0 0 11 30 2008-06-12 $45.68 $0.00 17.9% 5.1% 17.1% 6.9% 0.0% -5.8% -5.8% -2.1K 120.7K -77 0.00 143.74 N/A N/A 0 0 11 30 2008-06-13 $45.97 $0.00 17.5% 5.0% 17.1% 6.6% 0.0% -4.5% -4.8% -2.4K 118.6K -84 0.00 145.78 N/A N/A 0 0 11 30 2008-06-16 $46.21 $0.00 18.1% 5.2% 17.4% 7.0% 0.0% -3.7% -4.1% -2.9K 117.1K -82 0.00 147.12 N/A N/A 0 0 11 30 2008-06-17 $45.79 $0.00 18.9% 5.4% 17.4% 7.6% 0.0% -5.7% -8.3% -2.2K 121.3K -64 0.00 145.16 N/A N/A 0 0 11 30 2008-06-18 $45.29 $0.00 19.1% 5.5% 17.3% 7.8% 0.0% -8.3% -4.0% -1.5K 124.0K -54 0.00 140.78 N/A N/A 0 0 11 30 2008-06-19 $45.45 $0.00 19.4% 5.6% 16.9% 8.0% 0.0% -7.7% -3.5% -1.7K 123.7K -49 0.00 141.24 N/A N/A 0 0 11 30 2008-06-20 $44.66 $0.00 49.8% 14.3% 17.5% 32.4% 0.0% -22.4% -23.7% 947 123.3K -68 0.00 165.87 N/A N/A 0 0 11 30 2008-06-23 $44.50 $0.00 21.8% 6.3% 17.2% 10.0% 0.0% -12.2% -9.9% 666 -2.4K -25 0.00 132.41 N/A N/A 0 0 10 0 2008-06-24 $44.17 $0.00 22.0% 6.3% 17.0% 10.1% 0.0% -12.6% -12.3% 759 -3.2K -30 0.00 133.13 N/A N/A 0 0 10 0 2008-06-25 $44.74 $0.00 21.7% 6.2% 18.0% 9.9% 0.0% -10.9% -8.4% 631 -2.1K -20 0.00 136.62 N/A N/A 0 0 10 0 2008-06-26 $43.12 $0.00 26.7% 7.7% 20.7% 13.9% 0.0% -13.3% -15.8% 562 -2.5K -25 0.00 123.39 N/A N/A 0 0 10 0 2008-06-27 $42.79 $0.00 29.0% 8.3% 20.7% 15.8% 0.0% -13.1% -17.3% 530 -2.5K -24 0.00 121.03 N/A N/A 0 0 10 0 2008-06-30 $42.82 $0.00 61.8% 17.7% 20.8% 42.0% 0.0% -39.1% -39.5% 732 -8.9K -57 0.00 152.93 N/A N/A 0 0 10 0
« May 2008 | All History | Jul 2008 » Home VYM History June 2008