VYM Options History — January 2012

In January 2012, VYM traded between $45.58 and $46.66. ATM implied volatility averaged 15.7%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.2% (HV 20d: 11.5%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.43.

Notable Days

2012-01-12: Highest Volume — 77 contracts
2012-01-10: Largest IV spike — 206.3% change
2012-01-10: Highest IV Rank — 24.4%
2012-01-10: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.08	$45.58	$46.66	$45.68	$46.06
Max Pain	$42.45	$42.00	$45.00	$45.00	$42.00
ATM IV	15.7%	10.6%	41.0%	15.5%	13.7%
Expected Move	4.3%	3.0%	9.7%	4.4%	3.9%
HV 20d	11.5%	6.3%	15.9%	15.9%	6.3%
HV 60d	19.4%	17.0%	20.9%	20.9%	17.0%
IV Rank	7.5%	4.1%	24.4%	7.3%	6.2%
IV Percentile	33.2%	11.9%	78.6%	38.9%	32.5%
Term Structure	1.5%	-12.1%	9.0%	1.7%	0.7%
VWIV	13.3%	11.1%	14.9%	14.9%	11.1%
Skew 25d	6.3%	1.5%	29.2%	2.7%	3.6%
Skew 10d	6.5%	2.1%	34.8%	3.8%	2.7%
Call IV 25d	11.6%	8.8%	22.4%	11.8%	8.9%
Put IV 25d	17.9%	10.8%	49.7%	14.4%	12.6%
Bid-Ask Spread %	97.77	59.99	162.19	105.16	106.82
Gamma HHI	0.48	0.37	0.70	0.41	0.43
Net GEX	102.6K	40.0K	191.5K	98.2K	41.4K
Net DEX	-659.8K	-1.1M	-279.9K	-683.9K	-279.9K
Net VEX	-1.5K	-1.9K	-1.3K	-1.9K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	4.00	0.00	0.33
Total Volume	6.65	0	77	7	4
Total OI	382.8	186	542	474	186

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
2012-01-03	$45.68	$45.00	15.5%	4.4%	15.9%	7.3%	14.9%	2.7%	1.7%	98.2K	-683.9K	-1.9K	0.00	105.16	N/A	N/A	7	0	313	161
2012-01-04	$45.68	$45.00	13.7%	3.9%	15.8%	6.1%	0.0%	2.0%	2.1%	116.3K	-703.9K	-1.8K	0.00	107.63	N/A	N/A	0	0	316	161
2012-01-05	$45.68	$45.00	12.9%	3.7%	15.8%	5.7%	12.7%	1.7%	4.2%	139.5K	-764.8K	-1.7K	0.00	121.23	N/A	N/A	11	0	316	161
2012-01-06	$45.58	$42.00	31.3%	6.2%	15.8%	17.9%	0.0%	29.2%	9.0%	101.6K	-669.1K	-1.7K	0.00	162.19	N/A	N/A	1	0	305	161
2012-01-09	$45.63	$42.00	13.4%	4.2%	14.6%	5.9%	0.0%	5.2%	0.8%	106.2K	-670.1K	-1.6K	0.00	130.94	N/A	N/A	0	0	304	161
2012-01-10	$45.93	$42.00	41.0%	9.7%	13.9%	24.4%	0.0%	27.3%	-12.1%	51.7K	-742.8K	-1.7K	0.00	137.27	N/A	N/A	0	0	304	161
2012-01-11	$45.90	$42.00	11.8%	4.3%	13.2%	4.9%	0.0%	5.2%	3.2%	159.3K	-813.7K	-1.3K	0.00	60.33	N/A	N/A	0	0	304	161
2012-01-12	$45.98	$42.00	15.0%	4.3%	13.1%	7.0%	0.0%	6.0%	2.9%	159.6K	-867.3K	-1.3K	0.00	62.02	N/A	N/A	77	0	304	161
2012-01-13	$45.88	$42.00	15.2%	4.3%	12.7%	7.1%	0.0%	4.7%	2.4%	191.5K	-936.8K	-1.9K	0.00	61.12	N/A	N/A	22	0	381	161
2012-01-17	$45.93	$42.00	15.1%	4.3%	12.6%	7.1%	0.0%	5.2%	1.6%	189.6K	-941.1K	-1.7K	4.00	73.47	N/A	N/A	1	4	363	161
2012-01-18	$46.24	$42.00	14.5%	4.2%	12.7%	6.7%	14.6%	6.1%	2.4%	171.0K	-1.1M	-1.6K	0.00	76.35	N/A	N/A	1	0	362	165
2012-01-19	$46.37	$42.00	13.7%	3.9%	11.9%	6.1%	0.0%	5.0%	2.9%	157.6K	-1.0M	-1.5K	0.00	62.55	N/A	N/A	0	0	336	165
2012-01-20	$46.59	$42.00	11.9%	3.4%	8.5%	4.9%	0.0%	4.8%	1.1%	123.0K	-1.1M	-1.4K	0.00	59.99	N/A	N/A	3	0	336	165
2012-01-23	$46.51	$42.00	12.5%	3.6%	8.5%	5.4%	0.0%	3.7%	-0.1%	40.5K	-331.9K	-1.4K	0.00	101.67	N/A	N/A	0	0	158	30
2012-01-24	$46.38	$42.00	13.1%	3.8%	8.6%	5.8%	11.1%	3.7%	1.5%	40.0K	-318.9K	-1.4K	0.00	104.26	N/A	N/A	1	0	158	30
2012-01-25	$46.66	$42.00	10.6%	3.0%	8.1%	4.1%	0.0%	2.4%	2.7%	40.1K	-347.7K	-1.4K	0.00	105.37	N/A	N/A	0	1	157	30
2012-01-26	$46.54	$42.00	11.7%	3.4%	8.3%	4.9%	0.0%	1.5%	1.3%	40.9K	-332.5K	-1.4K	0.00	104.61	N/A	N/A	0	0	157	29
2012-01-27	$46.32	$42.00	13.2%	3.8%	7.3%	5.8%	0.0%	3.2%	1.0%	42.1K	-304.4K	-1.4K	0.00	105.25	N/A	N/A	0	0	157	29
2012-01-30	$46.15	$42.00	13.6%	3.9%	6.5%	6.1%	0.0%	2.1%	0.6%	42.4K	-285.0K	-1.3K	0.00	107.25	N/A	N/A	0	0	157	29
2012-01-31	$46.06	$42.00	13.7%	3.9%	6.3%	6.2%	0.0%	3.6%	0.7%	41.4K	-279.9K	-1.3K	0.33	106.82	N/A	N/A	3	1	157	29