VYM Options History — July 2008 In July 2008, VYM traded between $40.90 and $44.36. ATM implied volatility averaged 64.9%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 41.8% (HV 20d: 23.1%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days.
Notable Days 2008-07-02 : Largest IV spike — 119.2% change2008-07-09 : Highest IV Rank — 100.0%2008-07-11 : Largest Expected Move — 28.6%Monthly Statistics Metric Avg Min Max Open Close Price $42.82 $40.90 $44.36 $43.00 $43.65 Max Pain $50.00 $50.00 $50.00 $50.00 $50.00 ATM IV 64.9% 17.7% 155.3% 30.3% 17.7% Expected Move 13.5% 5.1% 28.6% 8.7% 5.1% HV 20d 23.1% 17.6% 27.0% 21.1% 26.6% HV 60d 18.9% 17.2% 21.2% 17.2% 21.2% IV Rank 48.1% 5.7% 100.0% 16.8% 5.7% IV Percentile 85.2% 24.2% 100.0% 86.5% 24.2% Term Structure -57.3% -82.8% -19.8% -19.8% -82.8% Skew 25d -30.1% -70.0% -5.8% -15.7% -7.5% Skew 10d -39.9% -90.7% -11.5% -24.9% -13.1% Call IV 25d 67.5% 22.3% 145.4% 39.5% 23.5% Put IV 25d 37.4% 15.7% 75.4% 23.8% 16.0% Bid-Ask Spread % 144.86 118.33 165.83 122.86 125.72 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 680 440 936 536 572 Net DEX -7.4K -10.4K -2.1K -2.4K -2.2K Net VEX -45 -59 -16 -24 -16 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 10 10 10 10 10
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 2008-07-01 $43.00 $0.00 30.3% 8.7% 21.1% 16.8% 0.0% -15.7% -19.8% 536 -2.4K -24 0.00 122.86 N/A N/A 0 0 10 0 2008-07-02 $42.39 $0.00 66.5% 19.1% 21.3% 45.8% 0.0% -46.8% -45.0% 683 -8.7K -56 0.00 148.11 N/A N/A 0 0 10 0 2008-07-03 $42.43 $0.00 67.2% 19.3% 20.0% 46.3% 0.0% -50.4% -47.1% 689 -8.5K -56 0.00 150.06 N/A N/A 0 0 10 0 2008-07-07 $42.08 $0.00 81.5% 23.4% 17.6% 57.8% 0.0% -56.3% -61.1% 652 -8.5K -54 0.00 144.76 N/A N/A 0 0 10 0 2008-07-08 $43.08 $0.00 81.2% 23.3% 20.3% 99.6% 0.0% -53.1% -60.0% 757 -9.3K -59 0.00 154.99 N/A N/A 0 0 10 0 2008-07-09 $42.36 $0.00 85.8% 24.6% 20.7% 100.0% 0.0% -63.8% -68.6% 680 -8.5K -53 0.00 148.81 N/A N/A 0 0 10 0 2008-07-10 $42.41 $0.00 89.5% 25.7% 20.3% 100.0% 0.0% -68.4% -73.8% 686 -8.3K -53 0.00 150.00 N/A N/A 0 0 10 0 2008-07-11 $42.07 $0.00 99.8% 28.6% 20.3% 100.0% 0.0% -70.0% -82.8% 648 -8.5K -52 0.00 144.76 N/A N/A 0 0 10 0 2008-07-14 $41.38 $50.00 133.0% 10.6% 20.3% 100.0% 0.0% -22.7% 0.0% 587 -8.0K -50 0.00 138.81 N/A N/A 0 0 10 0 2008-07-15 $40.90 $50.00 155.3% 11.0% 20.1% 100.0% 0.0% -23.0% 0.0% 549 -7.6K -47 0.00 136.20 N/A N/A 0 0 10 0 2008-07-16 $42.29 $50.00 83.0% 5.4% 24.4% 50.4% 0.0% -5.8% 0.0% 440 -2.1K -18 0.00 118.33 N/A N/A 0 0 10 0 2008-07-17 $42.97 $50.00 150.3% 9.6% 25.3% 96.6% 0.0% -22.9% 0.0% 737 -9.3K -55 0.00 151.89 N/A N/A 0 0 10 0 2008-07-18 $43.25 $50.00 33.7% 9.7% 25.4% 16.7% 0.0% -21.3% 0.0% 772 -9.4K -55 0.00 154.88 N/A N/A 0 0 10 0 2008-07-21 $43.06 $50.00 17.7% 5.1% 24.8% 5.7% 0.0% -6.6% 0.0% 507 -2.1K -17 0.00 122.04 N/A N/A 0 0 10 0 2008-07-22 $43.99 $50.00 34.8% 10.0% 26.1% 17.4% 0.0% -18.0% 0.0% 863 -10.4K -54 0.00 161.78 N/A N/A 0 0 10 0 2008-07-23 $44.36 $50.00 34.9% 10.0% 26.1% 17.5% 0.0% -15.4% 0.0% 936 -10.1K -53 0.00 165.83 N/A N/A 0 0 10 0 2008-07-24 $43.32 $50.00 35.4% 10.2% 27.0% 17.9% 0.0% -21.9% 0.0% 781 -9.5K -52 0.00 155.42 N/A N/A 0 0 10 0 2008-07-25 $43.09 $50.00 18.3% 5.3% 23.6% 6.2% 0.0% -6.6% 0.0% 518 -2.2K -17 0.00 121.91 N/A N/A 0 0 10 0 2008-07-28 $42.33 $50.00 37.8% 10.8% 24.3% 19.5% 0.0% -26.2% 0.0% 675 -8.2K -46 0.00 147.70 N/A N/A 0 0 10 0 2008-07-29 $43.51 $50.00 37.0% 10.6% 26.3% 19.0% 0.0% -21.7% 0.0% 806 -9.6K -50 0.00 157.61 N/A N/A 0 0 10 0 2008-07-30 $44.17 $50.00 37.3% 10.7% 26.8% 19.1% 0.0% -18.1% 0.0% 893 -10.4K -50 0.00 164.36 N/A N/A 0 0 10 0 2008-07-31 $43.65 $50.00 17.7% 5.1% 26.6% 5.7% 0.0% -7.5% 0.0% 572 -2.2K -16 0.00 125.72 N/A N/A 0 0 10 0
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