VYM Options History — February 2011

Name: VYM Options Analytics - February 2011
Creator: Options Analysis Suite

In February 2011, VYM traded between $43.77 and $44.55. ATM implied volatility averaged 9.1%, placing in the 0.7% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 29.7% (HV 20d: 38.8%). Net GEX was positive for 0 of 7 trading days. Term structure was in contango for 2 of 7 days.

Notable Days

2011-02-24: Largest IV drop — 31.0% change
2011-02-23: Highest IV Rank — 2.9%
2011-02-23: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.13	$43.77	$44.55	$44.40	$44.33
ATM IV	9.1%	7.7%	12.4%	8.5%	7.7%
Expected Move	2.6%	2.2%	3.6%	2.4%	2.2%
HV 20d	38.8%	38.4%	39.5%	39.5%	38.4%
HV 60d	29.4%	29.4%	29.5%	29.5%	29.4%
IV Rank	0.7%	0.0%	2.9%	0.0%	0.0%
IV Percentile	0.6%	0.0%	2.4%	0.0%	0.0%
Term Structure	0.3%	-0.1%	0.6%	0.6%	-0.1%
Bid-Ask Spread %	145.88	80.67	200.00	200.00	163.79
Net GEX	0	0	0	0	0
Net DEX	0	0	0	0	0
Net VEX	0	0	0	0	0
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
Total Volume	0	0	0	0	0
Total OI	0	0	0	0	0

Daily Data (7 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	Spread %	Call Wall	Put Wall
2011-02-17	$44.40	$0.00	8.5%	2.4%	39.5%	0.0%	0.0%	0.0%	0.0%	200.00	N/A	N/A
2011-02-18	$44.55	$0.00	8.2%	2.3%	38.9%	0.0%	0.0%	0.0%	0.0%	200.00	N/A	N/A
2011-02-22	$44.01	$0.00	10.6%	3.0%	39.2%	1.7%	0.0%	0.0%	0.0%	81.48	N/A	N/A
2011-02-23	$43.84	$0.00	12.4%	3.6%	39.1%	2.9%	0.0%	0.0%	0.0%	80.67	N/A	N/A
2011-02-24	$43.77	$0.00	8.6%	2.5%	38.4%	0.3%	0.0%	0.0%	0.6%	139.78	N/A	N/A
2011-02-25	$44.01	$0.00	7.8%	2.2%	38.4%	0.0%	0.0%	0.0%	0.3%	155.42	N/A	N/A
2011-02-28	$44.33	$0.00	7.7%	2.2%	38.4%	0.0%	0.0%	0.0%	-0.1%	163.79	N/A	N/A