VYM Options History — August 2011

In August 2011, VYM traded between $39.02 and $43.63. ATM implied volatility averaged 35.6%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 3.6% (HV 20d: 32.0%). Max pain ranged from $35.00 to $43.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.00.

Notable Days

2011-08-18: Highest Volume — 8 contracts
2011-08-04: Largest IV spike — 310.3% change
2011-08-09: Highest IV Rank — 54.0%
2011-08-04: Largest Expected Move — 20.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.25	$39.02	$43.63	$43.63	$42.52
Max Pain	$38.50	$35.00	$43.00	$39.00	$43.00
ATM IV	35.6%	15.4%	86.9%	17.6%	22.3%
Expected Move	9.3%	4.4%	20.5%	5.0%	6.4%
HV 20d	32.0%	11.2%	41.5%	11.2%	40.9%
HV 60d	21.6%	12.2%	25.8%	12.2%	25.6%
IV Rank	19.6%	6.0%	54.0%	7.5%	10.7%
IV Percentile	67.9%	33.7%	95.2%	43.3%	56.3%
Term Structure	-7.4%	-27.9%	-0.4%	-2.2%	-1.3%
VWIV	27.8%	22.6%	33.1%	33.1%	22.6%
Skew 25d	6.0%	-7.5%	12.7%	8.2%	5.9%
Skew 10d	7.3%	-17.4%	23.3%	9.2%	17.8%
Call IV 25d	39.0%	11.6%	96.3%	12.4%	21.2%
Put IV 25d	45.0%	20.2%	88.8%	20.6%	27.1%
Bid-Ask Spread %	129.90	48.36	200.00	68.12	48.36
Gamma HHI	0.50	0.25	1.00	0.74	0.29
Net GEX	-251	-1.4K	1.1K	887	1.1K
Net DEX	9.0K	-4.6K	28.2K	-4.6K	1.4K
Net VEX	-73	-210	0	-42	-210
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	0.957	0	8	1	7
Total OI	12	0	40	6	40

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-08-01	$43.63	$0.00	17.6%	5.0%	11.2%	7.5%	0.0%	8.2%	-2.2%	887	-4.6K	-42	68.12	N/A	N/A	0	1	5	1
2011-08-02	$42.73	$0.00	18.4%	5.3%	13.0%	8.0%	0.0%	4.2%	-1.6%	488	123	-47	56.91	N/A	N/A	0	0	5	2
2011-08-03	$42.87	$0.00	17.4%	5.0%	13.0%	7.4%	0.0%	8.7%	-1.2%	560	-493	-50	76.82	N/A	N/A	0	0	5	2
2011-08-04	$41.17	$0.00	71.6%	20.5%	18.0%	43.8%	0.0%	-7.5%	-27.9%	262	-1.4K	-51	177.40	N/A	N/A	0	5	5	2
2011-08-05	$41.39	$0.00	73.7%	12.5%	18.4%	45.2%	0.0%	3.7%	-9.6%	-229	9.0K	-91	169.83	N/A	N/A	0	0	5	7
2011-08-08	$39.19	$0.00	31.9%	9.2%	25.4%	17.1%	0.0%	0.0%	0.0%	0	0	0	200.00	N/A	N/A	0	0	0	0
2011-08-09	$40.61	$0.00	86.9%	13.2%	29.6%	54.0%	0.0%	2.5%	-12.1%	-250	11.1K	-82	168.34	N/A	N/A	0	0	5	7
2011-08-10	$39.02	$0.00	35.9%	10.3%	31.9%	19.8%	0.0%	0.0%	0.0%	0	0	0	200.00	N/A	N/A	0	0	0	0
2011-08-11	$40.49	$0.00	48.0%	13.8%	35.6%	27.9%	0.0%	1.1%	-11.7%	-256	11.3K	-81	168.07	N/A	N/A	0	0	5	7
2011-08-12	$40.82	$0.00	26.2%	7.5%	35.8%	13.3%	0.0%	9.7%	-2.3%	-559	15.8K	-69	74.34	N/A	N/A	0	0	5	7
2011-08-15	$41.66	$0.00	22.1%	6.3%	36.8%	10.5%	0.0%	9.9%	-1.2%	-605	13.7K	-74	84.26	N/A	N/A	0	0	5	7
2011-08-16	$41.47	$0.00	24.1%	6.9%	36.4%	11.9%	0.0%	8.4%	-1.5%	-623	14.4K	-70	81.85	N/A	N/A	1	0	5	7
2011-08-17	$41.61	$0.00	21.4%	6.1%	36.5%	10.1%	0.0%	7.7%	-0.4%	-443	12.2K	-78	84.58	N/A	N/A	0	0	6	7
2011-08-18	$40.25	$0.00	30.7%	8.8%	37.4%	16.3%	33.1%	11.0%	-3.0%	-372	15.4K	-69	75.00	N/A	N/A	0	8	6	7
2011-08-19	$39.90	$39.00	31.1%	8.9%	37.4%	16.5%	0.0%	12.7%	-3.3%	-1.4K	28.2K	-117	76.44	N/A	N/A	0	0	6	15
2011-08-22	$39.89	$0.00	15.4%	4.4%	37.4%	6.0%	0.0%	0.0%	0.0%	-129	2.0K	-16	200.00	N/A	N/A	0	0	0	2
2011-08-23	$41.05	$39.00	25.6%	7.4%	39.4%	12.9%	0.0%	9.6%	-1.1%	-1.4K	22.5K	-117	84.12	N/A	N/A	0	0	6	15
2011-08-24	$41.61	$35.00	23.3%	6.7%	39.8%	11.4%	0.0%	0.0%	0.0%	-112	1.6K	-15	200.00	N/A	N/A	0	0	0	2
2011-08-25	$40.84	$39.00	48.9%	14.0%	40.1%	28.5%	0.0%	4.1%	-17.2%	-939	20.7K	-128	166.17	N/A	N/A	0	0	6	15
2011-08-26	$41.29	$39.00	49.7%	14.2%	40.4%	29.0%	0.0%	4.0%	-16.8%	-903	18.6K	-128	162.33	N/A	N/A	0	0	6	15
2011-08-29	$42.27	$39.00	52.2%	15.0%	41.5%	30.7%	0.0%	4.2%	-19.2%	-809	13.9K	-128	164.76	N/A	N/A	0	0	6	15
2011-08-30	$42.40	$35.00	25.4%	7.3%	40.9%	12.7%	0.0%	0.0%	0.0%	-105	1.4K	-13	200.00	N/A	N/A	0	0	0	2
2011-08-31	$42.52	$43.00	22.3%	6.4%	40.9%	10.7%	22.6%	5.9%	-1.3%	1.1K	1.4K	-210	48.36	N/A	N/A	7	0	22	18