VYM Options History — May 2011 In May 2011, VYM traded between $45.12 and $46.10. ATM implied volatility averaged 15.0%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.8% (HV 20d: 10.2%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 15 of 18 trading days. Term structure was in contango for 10 of 18 days.
Notable Days 2011-05-05 : Largest IV spike — 478.1% change2011-05-05 : Highest IV Rank — 39.4%2011-05-05 : Largest Expected Move — 18.7%Monthly Statistics Metric Avg Min Max Open Close Price $45.65 $45.12 $46.10 $46.10 $45.84 Max Pain $44.00 $44.00 $44.00 $44.00 $44.00 ATM IV 15.0% 7.0% 65.1% 7.0% 11.0% Expected Move 4.4% 2.0% 18.7% 2.0% 3.2% HV 20d 10.2% 8.9% 10.9% 9.2% 10.9% HV 60d 16.2% 10.6% 23.0% 23.0% 11.2% IV Rank 5.8% 0.4% 39.4% 0.4% 3.1% IV Percentile 19.1% 0.4% 90.5% 0.4% 12.7% Term Structure -3.9% -54.8% 2.4% 1.5% 1.0% Skew 25d 4.8% -0.4% 17.4% 2.4% 3.5% Skew 10d 5.2% 2.5% 28.1% 4.0% 3.0% Call IV 25d 13.5% 7.0% 74.4% 7.0% 10.6% Put IV 25d 18.3% 9.4% 91.8% 9.4% 14.1% Bid-Ask Spread % 110.73 81.32 200.00 94.84 112.16 Gamma HHI 0.67 0.41 1.00 0.63 1.00 Net GEX 3.1K -2.7K 7.5K 2.7K -2.1K Net DEX -24.3K -43.9K 5.7K -31.2K 3.3K Net VEX -32 -75 0 -36 -14 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 14.667 0 18 16 9
Daily Data (18 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 2011-05-02 $46.10 $44.00 7.0% 2.0% 9.2% 0.4% 0.0% 2.4% 0.0% 2.7K -31.2K -36 0.00 94.84 N/A N/A 0 0 9 7 2011-05-03 $45.99 $44.00 13.4% 3.8% 9.3% 4.7% 0.0% 5.7% 0.0% 2.8K -29.8K -37 0.00 109.78 N/A N/A 0 0 9 7 2011-05-04 $45.78 $44.00 11.3% 3.2% 9.5% 3.3% 0.0% 2.8% 1.5% 3.7K -31.8K -54 0.00 81.32 N/A N/A 0 0 11 7 2011-05-05 $45.29 $44.00 65.1% 18.7% 10.4% 39.4% 0.0% 17.4% -54.8% 591 -14.0K -75 0.00 185.55 N/A N/A 0 0 11 7 2011-05-06 $45.45 $44.00 15.5% 4.5% 10.4% 6.1% 0.0% 2.8% 0.0% 2.8K -21.3K -46 0.00 124.73 N/A N/A 0 0 9 7 2011-05-09 $45.64 $44.00 11.1% 3.2% 10.4% 3.1% 0.0% 3.1% 0.0% 3.8K -27.0K -34 0.00 106.42 N/A N/A 0 0 9 7 2011-05-10 $45.93 $0.00 11.2% 3.8% 10.5% 3.2% 0.0% -0.4% 0.0% 3.7K -32.7K -23 0.00 200.00 N/A N/A 0 0 9 7 2011-05-11 $45.63 $0.00 10.0% 3.5% 10.3% 2.4% 0.0% 5.8% 1.4% 5.0K -31.9K -43 0.00 92.93 N/A N/A 0 0 11 7 2011-05-12 $45.94 $0.00 12.2% 3.5% 10.4% 3.9% 0.0% 4.0% 1.0% 5.5K -39.2K -30 0.00 100.77 N/A N/A 0 0 11 7 2011-05-13 $45.67 $0.00 12.3% 3.5% 10.8% 3.9% 0.0% 5.6% 1.3% 5.5K -33.9K -38 0.00 94.34 N/A N/A 0 0 11 7 2011-05-16 $45.53 $0.00 12.5% 3.6% 10.7% 4.1% 0.0% 5.6% 0.9% 6.8K -33.1K -32 0.00 96.15 N/A N/A 0 0 11 7 2011-05-17 $45.47 $0.00 14.3% 4.1% 9.8% 5.3% 0.0% 5.3% 0.8% 7.5K -32.6K -30 0.00 95.52 N/A N/A 0 0 11 7 2011-05-18 $45.85 $0.00 11.9% 3.4% 10.0% 3.7% 0.0% 3.2% 1.1% 5.3K -41.2K -21 0.00 103.89 N/A N/A 0 0 11 7 2011-05-19 $45.98 $0.00 11.0% 3.2% 8.9% 3.1% 0.0% 4.3% 2.4% 3.5K -43.9K -17 0.00 104.59 N/A N/A 0 0 11 7 2011-05-23 $45.21 $0.00 14.5% 4.1% 10.9% 5.4% 0.0% 5.0% 0.4% 631 -2.8K -12 0.00 82.52 N/A N/A 0 0 2 0 2011-05-24 $45.12 $0.00 12.5% 3.6% 10.9% 4.1% 0.0% 0.0% 0.0% 0 0 0 0.00 111.94 N/A N/A 0 0 0 0 2011-05-26 $45.31 $44.00 13.0% 3.7% 10.2% 4.4% 0.0% 3.5% 1.0% -2.7K 5.7K -42 0.00 95.72 N/A N/A 0 0 2 9 2011-05-31 $45.84 $44.00 11.0% 3.2% 10.9% 3.1% 0.0% 0.0% 0.0% -2.1K 3.3K -14 0.00 112.16 N/A N/A 0 0 0 9
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