VYM Options History — October 2011

In October 2011, VYM traded between $39.43 and $44.73. ATM implied volatility averaged 35.3%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 11.1% (HV 20d: 24.2%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2011-10-20: Highest Volume — 90 contracts
2011-10-12: Largest IV spike — 210.3% change
2011-10-12: Highest IV Rank — 44.6%
2011-10-06: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.50	$39.43	$44.73	$39.43	$43.68
Max Pain	$41.62	$41.00	$43.00	$41.00	$43.00
ATM IV	35.3%	16.4%	71.7%	39.2%	20.3%
Expected Move	9.3%	4.7%	18.1%	11.2%	5.8%
HV 20d	24.2%	20.5%	26.6%	25.8%	20.5%
HV 60d	29.5%	28.7%	30.3%	28.7%	29.4%
IV Rank	20.4%	7.9%	44.6%	23.0%	10.5%
IV Percentile	65.0%	38.5%	91.3%	73.8%	46.8%
Term Structure	-6.9%	-44.9%	15.8%	-19.3%	-1.0%
VWIV	38.6%	17.0%	74.9%	63.9%	17.0%
Skew 25d	9.6%	-5.8%	33.8%	-3.1%	5.5%
Skew 10d	13.5%	-3.2%	47.8%	-3.2%	9.4%
Call IV 25d	35.5%	11.5%	91.7%	91.7%	18.9%
Put IV 25d	45.1%	20.0%	94.1%	88.6%	24.4%
Bid-Ask Spread %	115.41	41.22	180.37	158.12	64.74
Gamma HHI	0.48	0.30	0.75	0.30	0.55
Net GEX	26.8K	2.7K	80.8K	2.7K	75.2K
Net DEX	-240.3K	-651.1K	-54.8K	-54.8K	-460.2K
Net VEX	-656	-1.6K	-106	-296	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.00	5.00	0.00	0.00
Total Volume	17.667	0	90	50	0
Total OI	167.19	84	338	84	338

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
2011-10-03	$39.43	$41.00	39.2%	11.2%	25.8%	23.0%	0.0%	-3.1%	-19.3%	2.7K	-54.8K	-296	0.00	158.12	N/A	N/A	50	0	62	22
2011-10-04	$40.07	$41.00	38.1%	10.9%	26.6%	22.3%	63.9%	3.6%	15.8%	7.7K	-117.5K	-522	0.10	162.56	N/A	N/A	29	3	112	22
2011-10-05	$40.64	$41.00	59.7%	17.1%	25.8%	36.6%	0.0%	-5.8%	-44.9%	11.3K	-107.9K	-562	0.00	161.65	N/A	N/A	0	0	117	25
2011-10-06	$41.05	$41.00	63.0%	18.1%	26.0%	38.8%	74.9%	-2.7%	-19.3%	10.7K	-121.0K	-550	1.50	165.50	N/A	N/A	2	3	112	25
2011-10-07	$41.07	$41.00	27.4%	7.9%	24.5%	15.2%	0.0%	8.2%	0.0%	14.9K	-85.4K	-475	0.00	42.93	N/A	N/A	2	0	119	22
2011-10-10	$42.17	$41.00	65.8%	10.6%	26.2%	40.6%	0.0%	33.8%	0.0%	14.5K	-182.0K	-557	1.43	171.67	N/A	N/A	7	10	117	22
2011-10-11	$42.08	$41.00	23.1%	7.4%	26.1%	12.4%	0.0%	9.3%	0.0%	22.9K	-165.0K	-440	0.00	43.99	N/A	N/A	0	0	110	12
2011-10-12	$42.43	$41.00	71.7%	11.1%	25.9%	44.6%	0.0%	25.4%	0.0%	15.1K	-199.4K	-495	0.00	169.78	N/A	N/A	0	0	110	12
2011-10-13	$42.39	$41.00	37.3%	10.7%	25.4%	21.8%	0.0%	24.5%	-13.0%	15.8K	-196.0K	-543	0.00	174.81	N/A	N/A	0	0	114	17
2011-10-14	$42.89	$41.00	23.3%	6.7%	25.6%	12.5%	0.0%	31.9%	13.8%	19.3K	-215.0K	-526	0.00	180.37	N/A	N/A	0	0	114	17
2011-10-17	$42.27	$41.00	39.6%	11.4%	25.9%	23.3%	29.6%	7.3%	-14.9%	15.2K	-190.7K	-476	5.00	175.93	N/A	N/A	1	5	114	17
2011-10-18	$42.97	$41.00	39.5%	11.3%	26.5%	23.2%	40.5%	4.4%	-15.8%	15.0K	-209.5K	-500	0.22	180.37	N/A	N/A	9	2	113	22
2011-10-19	$42.73	$42.00	24.4%	7.0%	24.4%	13.2%	0.0%	10.0%	-1.3%	27.0K	-216.0K	-473	0.00	41.22	N/A	N/A	0	0	122	24
2011-10-20	$42.94	$42.00	23.8%	6.8%	22.1%	12.8%	22.2%	8.3%	-0.2%	26.7K	-243.1K	-442	0.20	47.68	N/A	N/A	75	15	122	24
2011-10-21	$43.67	$41.00	26.2%	7.5%	22.4%	14.4%	0.0%	9.6%	0.0%	13.6K	-190.0K	-106	0.00	66.12	N/A	N/A	0	0	59	29
2011-10-24	$43.88	$42.00	42.8%	12.3%	21.7%	25.4%	41.0%	6.4%	-12.3%	23.8K	-328.4K	-810	1.21	176.67	N/A	N/A	19	23	153	27
2011-10-25	$43.20	$43.00	22.7%	6.5%	22.4%	12.1%	0.0%	8.5%	-0.5%	42.8K	-230.5K	-956	0.00	50.81	N/A	N/A	12	0	182	50
2011-10-26	$43.65	$43.00	20.2%	5.8%	21.3%	10.4%	20.1%	5.6%	0.4%	46.7K	-309.4K	-1.0K	0.00	65.34	N/A	N/A	30	0	184	50
2011-10-27	$44.73	$43.00	16.9%	4.8%	22.4%	8.2%	17.0%	5.2%	0.6%	60.6K	-573.1K	-1.0K	0.00	63.06	N/A	N/A	70	0	214	50
2011-10-28	$44.60	$43.00	16.4%	4.7%	21.2%	7.9%	0.0%	4.9%	0.9%	80.8K	-651.1K	-1.6K	0.00	60.28	N/A	N/A	4	0	284	50
2011-10-31	$43.68	$43.00	20.3%	5.8%	20.5%	10.5%	0.0%	5.5%	-1.0%	75.2K	-460.2K	-1.5K	0.00	64.74	N/A	N/A	0	0	288	50