VYM Options History — April 2011 In April 2011, VYM traded between $44.19 and $46.11. ATM implied volatility averaged 9.8%, placing in the 1.8% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 0.2% (HV 20d: 9.6%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2011-04-01 : Highest Volume — 9 contracts2011-04-18 : Largest IV spike — 69.8% change2011-04-18 : Highest IV Rank — 3.5%2011-04-11 : Largest Expected Move — 4.4%Monthly Statistics Metric Avg Min Max Open Close Price $44.89 $44.19 $46.11 $44.56 $46.11 Max Pain $44.20 $44.00 $46.00 $46.00 $44.00 ATM IV 9.8% 6.4% 12.8% 8.9% 10.4% Expected Move 3.2% 1.8% 4.4% 2.5% 3.0% HV 20d 9.6% 7.9% 12.1% 12.1% 9.2% HV 60d 24.3% 23.0% 25.5% 25.5% 23.0% IV Rank 1.8% 0.0% 3.5% 0.8% 2.7% IV Percentile 5.4% 0.0% 10.7% 2.4% 8.3% Term Structure 1.7% 0.9% 4.7% 4.7% 1.5% Skew 25d 4.5% 1.0% 7.5% 3.8% 1.0% Skew 10d 4.1% 1.2% 7.3% 2.8% 2.5% Call IV 25d 8.5% 6.4% 10.6% 7.9% 7.9% Put IV 25d 13.0% 8.5% 15.8% 11.6% 8.9% Bid-Ask Spread % 121.15 82.33 200.00 103.12 83.65 Gamma HHI 0.71 0.48 1.00 0.87 0.51 Net GEX 1.0K -2.7K 4.7K -2.7K 3.4K Net DEX -4.9K -36.6K 17.1K 17.1K -36.6K Net VEX -50 -100 0 -45 -51 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.55 0 9 9 0 Total OI 11.4 1 18 8 18
Daily Data (20 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 2011-04-01 $44.56 $46.00 8.9% 2.5% 12.1% 0.8% 0.0% 3.8% 4.7% -2.7K 17.1K -45 0.00 103.12 N/A N/A 9 0 0 8 2011-04-04 $44.66 $44.00 11.0% 3.7% 11.9% 2.2% 0.0% 7.5% 1.3% 834 -448 -100 0.00 88.62 N/A N/A 0 0 9 8 2011-04-05 $44.71 $44.00 9.6% 3.5% 11.6% 1.3% 0.0% 6.1% 1.4% 893 -955 -98 0.00 91.21 N/A N/A 0 0 9 8 2011-04-06 $44.88 $0.00 9.4% 4.3% 11.3% 1.1% 0.0% 0.0% 0.0% -258 4.3K -1 0.00 200.00 N/A N/A 0 0 0 1 2011-04-07 $44.79 $0.00 7.9% 4.3% 11.3% 0.1% 0.0% 0.0% 0.0% -367 4.1K -1 0.00 200.00 N/A N/A 0 0 0 1 2011-04-08 $44.68 $44.00 8.6% 3.6% 9.6% 0.6% 0.0% 6.3% 1.8% 1.0K -573 -94 0.00 93.28 N/A N/A 0 0 9 8 2011-04-11 $44.66 $0.00 10.7% 4.4% 9.5% 2.0% 0.0% 0.0% 0.0% -238 4.3K 0 0.00 200.00 N/A N/A 0 0 0 1 2011-04-12 $44.28 $44.00 11.8% 3.9% 9.9% 2.8% 0.0% 5.4% 1.6% 848 5.5K -86 0.00 92.05 N/A N/A 0 0 9 8 2011-04-13 $44.28 $44.00 12.8% 3.8% 8.7% 3.4% 0.0% 4.6% 2.0% 786 5.9K -84 0.00 94.93 N/A N/A 0 0 9 8 2011-04-14 $44.41 $0.00 7.6% 2.2% 8.2% 0.0% 0.0% 0.0% 0.0% -58 4.4K 0 0.00 200.00 N/A N/A 0 0 0 1 2011-04-15 $44.69 $0.00 7.5% 2.1% 8.3% 0.0% 0.0% 0.0% 0.0% -2 4.5K 0 0.00 200.00 N/A N/A 0 0 0 1 2011-04-18 $44.19 $44.00 12.7% 3.6% 7.9% 3.5% 0.0% 4.8% 1.1% 823 3.0K -77 0.00 85.34 N/A N/A 0 0 9 7 2011-04-19 $44.38 $45.00 9.8% 2.8% 7.9% 1.6% 0.0% 6.0% 0.0% 4.7K -13.4K -43 0.00 121.30 N/A N/A 0 0 9 0 2011-04-20 $45.02 $44.00 6.4% 1.8% 9.2% 0.0% 0.0% 6.4% 0.0% -2.7K 8.5K -31 0.00 115.17 N/A N/A 0 0 0 7 2011-04-21 $45.08 $44.00 10.5% 3.0% 9.0% 2.8% 0.0% 4.8% 1.4% 2.4K -13.0K -73 0.00 97.73 N/A N/A 0 0 9 7 2011-04-25 $45.05 $44.00 10.8% 3.1% 8.9% 3.0% 0.0% 4.0% 1.2% 2.6K -12.7K -68 0.00 90.85 N/A N/A 0 0 9 7 2011-04-26 $45.56 $44.00 9.5% 2.7% 9.5% 2.1% 0.0% 2.1% 0.0% 2.7K -22.7K -59 0.00 96.48 N/A N/A 0 0 9 7 2011-04-27 $45.85 $44.00 10.7% 3.1% 9.5% 2.8% 0.0% 3.4% 0.9% 2.7K -27.4K -46 0.00 86.88 N/A N/A 0 0 9 7 2011-04-28 $46.06 $44.00 10.3% 2.9% 9.3% 2.6% 0.0% 1.0% 1.3% 2.9K -31.5K -37 0.00 82.33 N/A N/A 2 0 9 7 2011-04-29 $46.11 $44.00 10.4% 3.0% 9.2% 2.7% 0.0% 1.0% 1.5% 3.4K -36.6K -51 0.00 83.65 N/A N/A 0 0 11 7
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