VYM Options History — September 2011

In September 2011, VYM traded between $39.94 and $42.61. ATM implied volatility averaged 30.7%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 3.7% (HV 20d: 27.0%). Max pain ranged from $35.00 to $43.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.58.

Notable Days

2011-09-23: Highest Volume — 31 contracts
2011-09-09: Largest IV spike — 246.0% change
2011-09-09: Highest IV Rank — 51.4%
2011-09-29: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.30	$39.94	$42.61	$42.21	$40.42
Max Pain	$41.63	$35.00	$43.00	$35.00	$42.00
ATM IV	30.7%	4.5%	83.0%	25.2%	4.5%
Expected Move	8.1%	1.3%	16.0%	7.2%	1.3%
HV 20d	27.0%	23.2%	38.9%	38.2%	25.3%
HV 60d	27.0%	25.6%	28.3%	25.6%	28.3%
IV Rank	16.4%	0.0%	51.4%	12.6%	0.0%
IV Percentile	61.9%	0.0%	93.7%	63.1%	0.0%
Term Structure	-5.9%	-15.9%	4.7%	-0.5%	4.7%
VWIV	28.4%	4.5%	58.3%	22.8%	4.5%
Skew 25d	9.2%	2.6%	35.0%	10.8%	4.1%
Skew 10d	14.2%	2.7%	24.8%	8.7%	12.8%
Call IV 25d	34.0%	17.3%	72.0%	17.3%	71.5%
Put IV 25d	43.2%	27.3%	77.1%	28.1%	75.6%
Bid-Ask Spread %	118.23	35.08	200.00	200.00	150.00
Gamma HHI	0.40	0.19	1.00	1.00	0.98
Net GEX	1.6K	-13.4K	6.7K	-108	-13.4K
Net DEX	-451	-60.9K	95.1K	1.5K	95.1K
Net VEX	-201	-432	-13	-13	-42
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.00	3.00	0.00	3.00
Total Volume	4.714	0	31	0	20
Total OI	53.571	2	100	2	63

Daily Data (21 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
2011-09-01	$42.21	$35.00	25.2%	7.2%	38.2%	12.6%	0.0%	0.0%	0.0%	-108	1.5K	-13	0.00	200.00	N/A	N/A	0	0	0	2
2011-09-02	$41.36	$43.00	25.2%	7.2%	38.9%	12.6%	22.8%	10.8%	-0.5%	1.9K	12.2K	-193	0.00	98.89	N/A	N/A	0	7	29	18
2011-09-06	$41.08	$42.00	43.6%	9.9%	33.3%	25.0%	0.0%	2.6%	-14.2%	264	14.5K	-239	0.00	161.28	N/A	N/A	0	0	29	25
2011-09-07	$41.99	$42.00	23.4%	6.6%	31.8%	11.4%	0.0%	8.5%	-1.3%	60	18.1K	-211	0.00	75.54	N/A	N/A	0	0	29	25
2011-09-08	$41.66	$42.00	24.0%	6.7%	28.1%	11.8%	0.0%	8.6%	-1.1%	-650	27.4K	-197	0.00	74.54	N/A	N/A	0	0	29	25
2011-09-09	$40.68	$42.00	83.0%	10.3%	26.7%	51.4%	0.0%	2.8%	-11.0%	306	19.0K	-221	0.00	162.20	N/A	N/A	0	0	29	25
2011-09-12	$40.87	$0.00	20.7%	5.9%	26.5%	9.6%	0.0%	0.0%	0.0%	-124	1.7K	-14	0.00	200.00	N/A	N/A	0	0	0	2
2011-09-13	$41.19	$0.00	22.1%	6.3%	25.6%	10.6%	0.0%	0.0%	0.0%	-120	1.6K	-14	0.00	200.00	N/A	N/A	0	0	0	2
2011-09-14	$41.72	$42.00	22.5%	7.0%	26.0%	10.8%	24.7%	7.9%	0.0%	3.7K	-4.0K	-135	0.00	44.89	N/A	N/A	1	0	33	13
2011-09-15	$42.30	$42.00	24.2%	6.9%	26.4%	11.9%	25.4%	8.7%	0.0%	5.4K	-12.7K	-144	0.00	52.48	N/A	N/A	0	10	34	13
2011-09-16	$42.61	$42.00	21.0%	6.0%	23.2%	9.8%	0.0%	7.3%	0.0%	6.3K	-13.7K	-202	0.00	61.41	N/A	N/A	0	0	34	23
2011-09-19	$42.17	$41.00	14.9%	4.3%	23.3%	5.7%	0.0%	0.0%	-7.4%	1.0K	1.5K	-123	0.00	200.00	N/A	N/A	0	0	16	12
2011-09-20	$42.29	$42.00	25.1%	7.2%	23.3%	12.6%	24.2%	8.5%	-0.7%	1.7K	-5.5K	-176	0.00	44.24	N/A	N/A	17	0	27	16
2011-09-21	$41.11	$42.00	31.5%	9.0%	23.7%	16.9%	0.0%	35.0%	-11.9%	3.5K	-25.4K	-257	0.00	162.56	N/A	N/A	0	0	44	16
2011-09-22	$40.06	$42.00	43.8%	12.6%	24.9%	25.1%	0.0%	7.2%	-12.2%	2.5K	-9.8K	-280	0.00	155.82	N/A	N/A	0	0	44	21
2011-09-23	$39.94	$42.00	30.5%	8.7%	24.1%	16.2%	28.0%	10.1%	-1.5%	2.1K	19.3K	-216	0.48	35.08	N/A	N/A	21	10	44	21
2011-09-26	$40.72	$42.00	46.0%	13.2%	24.8%	26.6%	0.0%	5.2%	-14.6%	2.7K	-60.9K	-426	0.00	163.10	N/A	N/A	0	0	65	31
2011-09-27	$41.27	$42.00	28.7%	8.2%	23.7%	15.0%	35.6%	9.6%	-1.2%	6.7K	-26.2K	-373	0.00	40.59	N/A	N/A	5	0	65	31
2011-09-28	$40.56	$42.00	29.8%	8.5%	24.4%	15.7%	32.3%	10.4%	0.2%	5.3K	-4.6K	-304	0.00	39.57	N/A	N/A	0	1	64	26
2011-09-29	$41.08	$42.00	55.7%	16.0%	24.9%	33.1%	58.3%	4.1%	-15.9%	3.7K	-58.7K	-432	0.00	160.55	N/A	N/A	7	0	68	32
2011-09-30	$40.42	$42.00	4.5%	1.3%	25.3%	0.0%	4.5%	0.0%	4.7%	-13.4K	95.1K	-42	3.00	150.00	N/A	N/A	5	15	37	26