VYM Options History — September 2008

In September 2008, VYM traded between $41.25 and $45.21. ATM implied volatility averaged 92.5%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 26.5%. IV traded above realized volatility by 66.6% (HV 20d: 25.9%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 13 of 14 trading days.

Notable Days

  • 2008-09-15: Highest Volume — 2 contracts
  • 2008-09-03: Largest IV spike — 158.2% change
  • 2008-09-18: Highest IV Rank — 99.3%
  • 2008-09-18: Largest Expected Move — 44.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.85$41.25$45.21$44.64$45.21
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV92.5%25.1%154.3%25.1%105.6%
Expected Move26.5%7.2%44.2%7.2%30.3%
HV 20d25.9%20.4%39.2%22.3%39.2%
HV 60d25.0%22.6%30.2%22.6%30.2%
IV Rank57.0%10.8%99.3%10.8%66.0%
IV Percentile95.3%66.3%99.6%66.3%97.2%
VWIV90.9%90.9%90.9%90.9%90.9%
Skew 25d-35.0%-45.6%-12.9%-12.9%-43.5%
Skew 10d-46.4%-60.3%-20.6%-20.6%-57.2%
Call IV 25d102.0%36.0%132.5%36.0%132.5%
Put IV 25d67.1%23.1%89.0%23.1%89.0%
Bid-Ask Spread %158.37139.11173.66139.11146.76
Gamma HHI1.001.001.001.001.00
Net GEX73701.0K567450
Net DEX-7.4K-11.9K0-1.6K-906
Net VEX-17-310-8-1
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume0.1430200
Total OI1010101010

Daily Data (14 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$44.64$50.0025.1%7.2%22.3%10.8%0.0%-12.9%0.0%567-1.6K-80.00139.11N/AN/A00100
2008-09-03$44.78$50.0064.8%18.6%20.4%38.0%0.0%-26.2%0.0%979-11.0K-310.00170.10N/AN/A00100
2008-09-04$43.56$50.0067.4%19.3%22.6%39.7%0.0%-38.4%0.0%813-8.9K-250.00159.91N/AN/A00100
2008-09-05$43.95$50.0069.5%19.9%21.6%41.2%0.0%-35.8%0.0%863-9.6K-270.00162.21N/AN/A00100
2008-09-08$45.20$50.0076.8%22.0%22.0%46.2%0.0%-27.1%0.0%1.0K-11.9K-260.00173.66N/AN/A00100
2008-09-09$43.95$50.0081.1%23.3%23.8%49.2%0.0%-41.7%0.0%863-9.6K-230.00162.50N/AN/A00100
2008-09-10$43.80$50.0085.1%24.4%23.3%51.9%0.0%-45.6%0.0%843-9.3K-220.00162.31N/AN/A00100
2008-09-11$44.17$50.0089.5%25.7%23.4%54.9%0.0%-43.5%0.0%892-9.9K-210.00168.03N/AN/A00100
2008-09-12$44.38$50.0094.8%27.2%23.4%58.5%0.0%-43.5%0.0%920-10.3K-190.00168.90N/AN/A00100
2008-09-15$42.67$50.00120.1%34.4%27.0%75.9%90.9%0.0%0.0%703-8.0K-140.00150.81N/AN/A02100
2008-09-16$43.19$50.00134.6%38.6%27.0%85.8%0.0%0.0%0.0%761-8.8K-120.00156.72N/AN/A00100
2008-09-17$41.25$50.00126.6%36.3%31.1%80.3%0.0%0.0%0.0%0000.00139.16N/AN/A00100
2008-09-18$43.17$50.00154.3%44.2%35.5%99.3%0.0%0.0%0.0%621-3.3K-50.00156.97N/AN/A00100
2008-09-19$45.21$50.00105.6%30.3%39.2%66.0%0.0%0.0%0.0%450-906-10.00146.76N/AN/A00100