VYM Options History — June 2011

In June 2011, VYM traded between $43.73 and $45.07. ATM implied volatility averaged 20.0%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.6% (HV 20d: 13.4%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 5.00.

Notable Days

2011-06-01: Highest Volume — 6 contracts
2011-06-23: Largest IV spike — 469.2% change
2011-06-27: Highest IV Rank — 37.0%
2011-06-27: Largest Expected Move — 17.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.28	$43.73	$45.07	$45.07	$44.99
Max Pain	$44.94	$43.00	$46.00	$44.00	$43.00
ATM IV	20.0%	9.8%	61.4%	13.8%	11.3%
Expected Move	5.7%	2.8%	17.6%	4.0%	3.2%
HV 20d	13.4%	12.2%	14.6%	12.2%	14.5%
HV 60d	11.4%	11.1%	11.6%	11.5%	11.6%
IV Rank	9.1%	2.3%	37.0%	5.0%	3.2%
IV Percentile	33.7%	8.3%	89.7%	23.0%	15.1%
Term Structure	0.1%	-25.4%	31.7%	0.7%	1.7%
VWIV	14.3%	9.5%	19.0%	9.5%	19.0%
Skew 25d	4.5%	-3.1%	10.2%	6.6%	0.5%
Skew 10d	5.1%	-3.1%	10.0%	3.7%	2.2%
Call IV 25d	23.9%	9.4%	77.3%	9.4%	9.4%
Put IV 25d	28.5%	10.0%	82.2%	16.0%	10.0%
Bid-Ask Spread %	125.84	82.29	200.00	97.91	100.31
Gamma HHI	0.80	0.52	0.99	0.76	0.69
Net GEX	-4.6K	-14.3K	710	-3.3K	710
Net DEX	22.4K	-2.1K	47.6K	7.1K	-812
Net VEX	-22	-45	0	-37	-5
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.00	5.00	5.00	5.00	5.00
Total Volume	0.368	0	6	6	0
Total OI	11	0	17	11	3

Daily Data (19 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
2011-06-01	$45.07	$44.00	13.8%	4.0%	12.2%	5.0%	9.5%	6.6%	0.7%	-3.3K	7.1K	-37	5.00	97.91	N/A	N/A	1	5	2	9
2011-06-02	$44.85	$46.00	16.0%	4.6%	12.3%	6.4%	0.0%	0.0%	-0.0%	-5.8K	29.1K	-43	0.00	126.44	N/A	N/A	0	0	1	14
2011-06-03	$44.44	$46.00	14.9%	4.4%	12.6%	5.7%	0.0%	6.6%	1.3%	-5.7K	33.7K	-45	0.00	82.29	N/A	N/A	0	0	3	14
2011-06-06	$44.12	$0.00	15.9%	3.0%	12.7%	6.4%	0.0%	0.0%	0.0%	-6.1K	39.1K	-33	0.00	200.00	N/A	N/A	0	0	1	14
2011-06-07	$44.15	$46.00	14.6%	4.3%	12.7%	5.5%	0.0%	4.8%	1.4%	-6.3K	37.7K	-37	0.00	85.96	N/A	N/A	0	0	3	14
2011-06-08	$44.12	$46.00	14.9%	4.4%	12.3%	5.7%	0.0%	4.8%	1.6%	-6.5K	38.8K	-34	0.00	83.14	N/A	N/A	0	0	3	14
2011-06-09	$44.35	$46.00	14.7%	4.2%	12.4%	5.6%	0.0%	4.8%	1.5%	-6.9K	34.8K	-32	0.00	90.02	N/A	N/A	0	0	3	14
2011-06-10	$43.73	$46.00	14.5%	4.2%	13.0%	5.4%	0.0%	6.5%	2.1%	-7.0K	45.2K	-27	0.00	90.67	N/A	N/A	0	0	3	14
2011-06-13	$43.88	$46.00	15.0%	4.3%	12.8%	5.8%	0.0%	7.6%	2.0%	-8.6K	43.3K	-23	0.00	89.78	N/A	N/A	0	0	3	14
2011-06-14	$44.38	$46.00	14.6%	4.2%	13.6%	5.5%	0.0%	3.1%	1.7%	-8.3K	32.5K	-20	0.00	95.85	N/A	N/A	0	0	3	14
2011-06-15	$43.73	$46.00	15.9%	4.6%	14.0%	6.4%	0.0%	7.9%	1.0%	-10.3K	47.6K	-17	0.00	87.82	N/A	N/A	0	0	3	14
2011-06-16	$43.96	$46.00	16.6%	4.8%	14.2%	6.8%	19.0%	10.2%	1.3%	-14.3K	42.1K	-16	0.00	86.62	N/A	N/A	0	1	3	14
2011-06-17	$44.09	$0.00	11.0%	3.1%	14.3%	3.1%	0.0%	0.0%	0.0%	0	0	0	0.00	200.00	N/A	N/A	0	0	0	0
2011-06-20	$44.41	$0.00	9.8%	2.8%	14.6%	2.3%	0.0%	0.0%	0.0%	0	0	0	0.00	200.00	N/A	N/A	0	0	0	0
2011-06-23	$44.27	$43.00	55.8%	16.0%	14.2%	33.2%	0.0%	-1.6%	-20.7%	129	-1.7K	-13	0.00	195.74	N/A	N/A	0	0	2	1
2011-06-27	$43.84	$43.00	61.4%	17.6%	14.4%	37.0%	0.0%	-3.1%	-25.4%	125	-1.6K	-12	0.00	196.53	N/A	N/A	0	0	2	1
2011-06-28	$44.32	$43.00	15.6%	4.5%	14.0%	6.2%	0.0%	3.9%	-0.2%	152	374	-6	0.00	83.20	N/A	N/A	0	0	2	1
2011-06-29	$44.58	$43.00	33.6%	9.6%	14.2%	18.2%	0.0%	5.5%	31.7%	167	-2.1K	-11	0.00	198.69	N/A	N/A	0	0	2	1
2011-06-30	$44.99	$43.00	11.3%	3.2%	14.5%	3.2%	0.0%	0.5%	1.7%	710	-812	-5	0.00	100.31	N/A	N/A	0	0	2	1