VYM Options History — March 2011 In March 2011, VYM traded between $42.79 and $44.48. ATM implied volatility averaged 12.9%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 11.5% (HV 20d: 24.4%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days.
Notable Days 2011-03-04 : Highest Volume — 9 contracts2011-03-25 : Largest IV spike — 57.1% change2011-03-18 : Highest IV Rank — 6.3%2011-03-18 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $43.83 $42.79 $44.48 $43.81 $44.33 Max Pain $46.00 $46.00 $46.00 $46.00 $46.00 ATM IV 12.9% 8.6% 17.1% 15.8% 12.6% Expected Move 3.6% 2.4% 4.9% 4.5% 3.6% HV 20d 24.4% 12.8% 38.6% 38.6% 12.9% HV 60d 27.5% 25.8% 29.1% 29.1% 25.8% IV Rank 3.5% 0.6% 6.3% 5.5% 3.3% IV Percentile 7.4% 2.0% 19.8% 9.9% 6.3% Term Structure 0.8% -0.4% 2.0% -0.4% 1.5% Skew 25d 5.5% 3.0% 8.2% 3.0% 4.0% Skew 10d 5.9% 2.0% 9.5% 2.0% 3.0% Call IV 25d 10.4% 7.7% 12.2% 8.0% 7.7% Put IV 25d 16.0% 11.1% 19.3% 11.1% 11.7% Bid-Ask Spread % 125.54 64.49 200.00 130.35 98.23 Gamma HHI 0.95 0.73 1.00 1.00 0.89 Net GEX -2.5K -9.0K 0 0 -2.7K Net DEX 15.7K 0 42.7K 0 18.3K Net VEX -13 -47 0 0 -46 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.773 0 9 0 0 Total OI 5.227 0 10 0 8
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 2011-03-01 $43.81 $0.00 15.8% 4.5% 38.6% 5.5% 0.0% 0.0% -0.4% 0 0 0 0.00 130.35 N/A N/A 0 0 0 0 2011-03-02 $43.89 $0.00 8.6% 2.5% 37.3% 0.6% 0.0% 0.0% 0.2% 0 0 0 0.00 155.17 N/A N/A 0 1 0 0 2011-03-03 $44.48 $0.00 11.2% 3.2% 37.5% 2.4% 0.0% 3.0% 2.0% -273 3.8K -4 0.00 98.79 N/A N/A 0 0 0 1 2011-03-04 $44.20 $46.00 13.1% 2.4% 36.1% 3.6% 0.0% 0.0% 0.0% -205 3.2K -5 0.00 200.00 N/A N/A 0 9 0 1 2011-03-07 $43.93 $46.00 13.8% 2.7% 34.7% 4.1% 0.0% 0.0% 0.0% -6.5K 23.9K -33 0.00 200.00 N/A N/A 0 0 0 10 2011-03-08 $44.30 $46.00 12.4% 3.9% 34.8% 3.2% 0.0% 4.6% 1.4% -7.6K 19.2K -29 0.00 87.99 N/A N/A 0 0 0 10 2011-03-09 $44.33 $46.00 13.2% 4.0% 34.7% 3.7% 0.0% 5.0% 1.1% -7.5K 18.7K -28 0.00 89.11 N/A N/A 0 0 0 10 2011-03-10 $43.62 $46.00 9.8% 2.8% 35.1% 1.4% 0.0% 0.0% 0.0% -6.7K 29.0K -27 0.00 200.00 N/A N/A 0 0 0 10 2011-03-11 $43.81 $46.00 9.5% 2.7% 32.1% 1.2% 0.0% 0.0% 0.0% -9.0K 26.9K -27 0.00 200.00 N/A N/A 0 0 0 10 2011-03-14 $43.58 $46.00 10.5% 3.0% 31.9% 1.9% 0.0% 0.0% 0.0% -5.2K 28.0K -21 0.00 200.00 N/A N/A 0 0 0 10 2011-03-15 $43.07 $46.00 16.1% 4.6% 27.3% 5.7% 0.0% 8.2% 0.7% -4.0K 39.4K -8 0.00 93.45 N/A N/A 0 0 0 10 2011-03-17 $42.79 $46.00 17.1% 4.9% 22.1% 6.3% 0.0% 6.9% 0.4% -1.5K 41.8K -2 0.00 106.81 N/A N/A 0 0 0 10 2011-03-18 $43.02 $46.00 17.1% 4.9% 13.9% 6.3% 0.0% 7.6% 0.3% -584 42.7K -1 0.00 106.02 N/A N/A 0 0 0 10 2011-03-21 $43.69 $46.00 14.0% 4.0% 14.0% 4.3% 0.0% 7.3% 1.0% -106 4.2K -1 0.00 64.49 N/A N/A 0 0 0 1 2011-03-22 $43.60 $46.00 13.8% 3.9% 13.9% 4.1% 0.0% 6.1% 1.3% -96 4.2K -1 0.00 68.06 N/A N/A 0 0 0 1 2011-03-23 $43.69 $46.00 12.9% 3.7% 13.3% 3.5% 0.0% 0.0% 0.0% -77 4.3K -1 0.00 112.01 N/A N/A 0 0 0 1 2011-03-24 $44.01 $46.00 9.5% 2.7% 13.5% 1.2% 0.0% 0.0% 0.0% -171 4.2K -1 0.00 108.54 N/A N/A 0 0 0 1 2011-03-25 $43.87 $46.00 14.9% 4.3% 13.5% 4.9% 0.0% 0.0% 0.0% -134 4.2K -1 0.00 129.44 N/A N/A 0 0 0 1 2011-03-28 $43.81 $46.00 12.8% 3.7% 13.4% 3.4% 0.0% 4.0% -0.3% -85 4.3K 0 0.00 82.57 N/A N/A 0 7 0 1 2011-03-29 $44.05 $46.00 11.6% 3.3% 13.3% 2.6% 0.0% 4.3% 1.5% -2.5K 19.9K -47 0.00 85.89 N/A N/A 0 0 0 8 2011-03-30 $44.40 $46.00 13.0% 3.7% 12.8% 3.6% 0.0% 0.0% 0.0% -211 4.2K -1 0.00 144.87 N/A N/A 0 0 0 1 2011-03-31 $44.33 $46.00 12.6% 3.6% 12.9% 3.3% 0.0% 4.0% 1.5% -2.7K 18.3K -46 0.00 98.23 N/A N/A 0 0 0 8
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