VYM Options History — August 2008 In August 2008, VYM traded between $43.44 and $45.37. ATM implied volatility averaged 43.5%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 18.4% (HV 20d: 25.1%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days.
Notable Days 2008-08-11 : Largest IV spike — 158.5% change2008-08-28 : Highest IV Rank — 31.8%2008-08-28 : Largest Expected Move — 16.0%Monthly Statistics Metric Avg Min Max Open Close Price $44.25 $43.44 $45.37 $43.60 $44.41 Max Pain $50.00 $50.00 $50.00 $50.00 $50.00 ATM IV 43.5% 16.2% 55.7% 38.1% 22.7% Expected Move 12.5% 4.7% 16.0% 10.9% 6.5% HV 20d 25.1% 21.5% 28.2% 26.6% 22.4% HV 60d 22.6% 21.0% 23.6% 21.0% 23.4% IV Rank 23.4% 4.7% 31.8% 19.7% 9.1% IV Percentile 85.5% 11.5% 94.0% 88.5% 54.8% Skew 25d -21.2% -30.1% -7.7% -21.8% -13.6% Skew 10d -27.7% -39.6% -12.9% -27.9% -20.7% Call IV 25d 61.4% 23.8% 77.5% 54.9% 33.1% Put IV 25d 40.2% 16.1% 55.1% 33.1% 19.5% Bid-Ask Spread % 162.19 136.61 174.91 158.02 136.61 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 878 543 1.1K 816 543 Net DEX -9.6K -12.6K -1.6K -9.7K -1.6K Net VEX -40 -51 -9 -49 -9 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 (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 2008-08-01 $43.60 $50.00 38.1% 10.9% 26.6% 19.7% 0.0% -21.8% 0.0% 816 -9.7K -49 0.00 158.02 N/A N/A 0 0 10 0 2008-08-04 $43.44 $50.00 39.3% 11.3% 26.4% 20.5% 0.0% -23.4% 0.0% 797 -9.4K -47 0.00 156.59 N/A N/A 0 0 10 0 2008-08-05 $44.58 $50.00 39.5% 11.3% 26.7% 20.7% 0.0% -17.1% 0.0% 946 -11.1K -51 0.00 167.94 N/A N/A 0 0 10 0 2008-08-06 $44.72 $50.00 39.9% 11.4% 25.8% 20.9% 0.0% -16.6% 0.0% 965 -11.4K -50 0.00 168.90 N/A N/A 0 0 10 0 2008-08-07 $43.76 $50.00 40.6% 11.6% 27.2% 21.4% 0.0% -22.1% 0.0% 838 -9.7K -46 0.00 161.43 N/A N/A 0 0 10 0 2008-08-08 $44.88 $50.00 16.2% 4.7% 28.2% 4.7% 0.0% -7.7% 0.0% 799 -2.7K -18 0.00 139.48 N/A N/A 0 0 10 0 2008-08-11 $45.37 $50.00 42.0% 12.0% 27.3% 22.4% 0.0% -14.0% 0.0% 1.1K -12.6K -51 0.00 174.91 N/A N/A 0 0 10 0 2008-08-12 $44.73 $50.00 42.9% 12.3% 27.5% 23.0% 0.0% -17.6% 0.0% 969 -11.3K -47 0.00 169.59 N/A N/A 0 0 10 0 2008-08-13 $44.35 $50.00 43.5% 12.5% 25.6% 23.4% 0.0% -20.2% 0.0% 915 -10.6K -46 0.00 165.22 N/A N/A 0 0 10 0 2008-08-14 $44.56 $50.00 44.0% 12.6% 25.2% 23.8% 0.0% -19.1% 0.0% 947 -10.9K -46 0.00 168.69 N/A N/A 0 0 10 0 2008-08-15 $44.89 $50.00 44.5% 12.8% 25.2% 24.1% 0.0% -17.4% 0.0% 993 -11.5K -45 0.00 171.10 N/A N/A 0 0 10 0 2008-08-18 $44.21 $50.00 46.8% 13.4% 25.8% 25.6% 0.0% -22.5% 0.0% 897 -10.3K -40 0.00 164.36 N/A N/A 0 0 10 0 2008-08-19 $43.62 $50.00 47.6% 13.7% 25.2% 26.2% 0.0% -26.8% 0.0% 822 -9.3K -39 0.00 160.16 N/A N/A 0 0 10 0 2008-08-20 $43.76 $50.00 48.4% 13.9% 25.0% 26.7% 0.0% -26.2% 0.0% 839 -9.5K -38 0.00 161.41 N/A N/A 0 0 10 0 2008-08-21 $43.83 $50.00 49.2% 14.1% 23.5% 27.3% 0.0% -26.2% 0.0% 847 -9.6K -38 0.00 160.82 N/A N/A 0 0 10 0 2008-08-22 $44.46 $50.00 49.8% 14.3% 23.9% 27.7% 0.0% -22.2% 0.0% 934 -10.6K -40 0.00 167.29 N/A N/A 0 0 10 0 2008-08-25 $43.62 $50.00 52.8% 15.2% 24.0% 29.8% 0.0% -29.7% 0.0% 822 -9.2K -35 0.00 159.91 N/A N/A 0 0 10 0 2008-08-26 $43.63 $50.00 53.9% 15.5% 22.0% 30.5% 0.0% -30.1% 0.0% 823 -9.2K -34 0.00 160.16 N/A N/A 0 0 10 0 2008-08-27 $44.00 $50.00 54.9% 15.7% 21.5% 31.2% 0.0% -27.9% 0.0% 870 -9.8K -34 0.00 163.06 N/A N/A 0 0 10 0 2008-08-28 $44.84 $50.00 55.7% 16.0% 22.0% 31.8% 0.0% -22.1% 0.0% 987 -11.2K -36 0.00 170.33 N/A N/A 0 0 10 0 2008-08-29 $44.41 $50.00 22.7% 6.5% 22.4% 9.1% 0.0% -13.6% 0.0% 543 -1.6K -9 0.00 136.61 N/A N/A 0 0 10 0
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