VYM Options History — July 2011 In July 2011, VYM traded between $43.76 and $45.95. ATM implied volatility averaged 21.2%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 8.4% (HV 20d: 12.7%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2011-07-01 : Highest Volume — 3 contracts2011-07-26 : Largest IV spike — 256.9% change2011-07-29 : Highest IV Rank — 34.1%2011-07-29 : Largest Expected Move — 16.4%Monthly Statistics Metric Avg Min Max Open Close Price $45.09 $43.76 $45.95 $45.54 $43.76 Max Pain $43.00 $43.00 $43.00 $43.00 $43.00 ATM IV 21.2% 8.0% 57.1% 8.0% 57.1% Expected Move 6.3% 2.3% 16.4% 2.3% 16.4% HV 20d 12.7% 11.7% 14.6% 14.6% 12.3% HV 60d 12.1% 11.7% 12.5% 11.8% 12.3% IV Rank 9.9% 1.0% 34.1% 1.0% 34.1% IV Percentile 36.6% 2.8% 89.3% 2.8% 89.3% Term Structure -2.3% -19.7% 11.5% 4.0% -19.7% Skew 25d 3.4% -9.0% 13.9% 3.4% -7.6% Skew 10d 3.7% -7.6% 11.9% 2.6% -7.6% Call IV 25d 24.1% 7.8% 76.2% 7.8% 76.2% Put IV 25d 27.6% 11.2% 69.7% 11.2% 68.6% Bid-Ask Spread % 107.14 63.59 194.06 93.61 190.43 Gamma HHI 0.79 0.40 1.00 1.00 0.74 Net GEX 1.3K 486 2.8K 1.7K 486 Net DEX -8.2K -12.2K -2.6K -2.6K -7.8K Net VEX -33 -49 -6 -6 -49 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 0.3 0 3 3 0 Total OI 5 3 6 3 6
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 2011-07-01 $45.54 $43.00 8.0% 2.3% 14.6% 1.0% 0.0% 3.4% 4.0% 1.7K -2.6K -6 0.00 93.61 N/A N/A 3 0 2 1 2011-07-05 $45.45 $0.00 11.8% 3.7% 13.2% 3.6% 0.0% 2.7% 1.5% 2.3K -8.9K -34 0.00 79.77 N/A N/A 0 0 5 1 2011-07-06 $45.58 $0.00 10.4% 3.6% 13.1% 2.7% 0.0% 2.5% 1.4% 2.3K -10.0K -35 0.00 82.75 N/A N/A 0 0 5 1 2011-07-07 $45.95 $0.00 12.1% 3.6% 12.8% 3.8% 0.0% 3.2% 2.0% 2.6K -12.2K -35 0.00 88.59 N/A N/A 0 0 5 1 2011-07-08 $45.69 $0.00 9.4% 3.5% 12.7% 2.0% 0.0% 5.7% 1.8% 2.8K -10.5K -34 0.00 95.30 N/A N/A 0 0 5 1 2011-07-11 $45.15 $0.00 16.3% 4.2% 13.6% 6.6% 0.0% 6.3% 0.6% 1.7K -7.4K -31 0.00 87.07 N/A N/A 0 0 5 1 2011-07-12 $45.00 $0.00 17.3% 8.1% 13.6% 7.3% 0.0% 13.9% 11.5% 1.3K -7.1K -30 0.00 138.59 N/A N/A 0 0 5 1 2011-07-13 $45.09 $0.00 15.0% 4.3% 13.6% 5.8% 0.0% 5.9% 0.7% 1.2K -6.7K -29 0.00 87.73 N/A N/A 0 0 5 1 2011-07-14 $44.88 $0.00 14.7% 4.2% 12.6% 5.6% 0.0% -9.0% 2.0% 698 -6.1K -28 0.00 107.69 N/A N/A 0 0 5 1 2011-07-15 $44.99 $0.00 43.6% 12.5% 12.5% 25.0% 0.0% 3.7% -16.5% 575 -6.9K -28 0.00 193.71 N/A N/A 0 0 5 1 2011-07-18 $44.59 $0.00 14.8% 4.2% 12.4% 5.6% 0.0% 5.4% 0.1% 657 -5.5K -26 0.00 63.59 N/A N/A 0 0 3 0 2011-07-19 $45.13 $0.00 14.0% 4.0% 11.8% 5.1% 0.0% 5.3% 0.1% 725 -6.4K -27 0.00 70.34 N/A N/A 0 0 3 0 2011-07-20 $45.10 $0.00 13.8% 3.9% 11.7% 4.9% 0.0% 4.8% 0.2% 756 -6.3K -27 0.00 72.45 N/A N/A 0 0 3 0 2011-07-21 $45.62 $0.00 12.5% 3.6% 12.3% 4.1% 0.0% 5.6% 0.2% 720 -7.3K -27 0.00 79.10 N/A N/A 2 0 3 0 2011-07-22 $45.53 $0.00 11.9% 3.4% 12.1% 3.7% 0.0% 4.5% 0.4% 1.3K -11.9K -45 0.00 80.91 N/A N/A 0 0 5 0 2011-07-25 $45.28 $0.00 14.6% 4.2% 12.3% 5.5% 0.0% 4.3% -0.2% 1.2K -11.2K -44 0.00 75.98 N/A N/A 0 0 5 0 2011-07-26 $45.02 $0.00 52.3% 15.0% 11.9% 30.8% 0.0% 4.8% -16.3% 645 -11.4K -44 0.00 194.06 N/A N/A 0 0 5 0 2011-07-27 $44.36 $0.00 18.0% 5.2% 12.6% 7.8% 0.0% 7.7% -1.6% 1.1K -8.6K -42 0.00 69.29 N/A N/A 0 0 5 0 2011-07-28 $44.09 $0.00 55.7% 16.0% 12.6% 33.1% 0.0% -4.2% -18.1% 610 -10.0K -43 0.00 191.90 N/A N/A 0 1 5 0 2011-07-29 $43.76 $0.00 57.1% 16.4% 12.3% 34.1% 0.0% -7.6% -19.7% 486 -7.8K -49 0.00 190.43 N/A N/A 0 0 5 1
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