VYM Options History — February 2012

In February 2012, VYM traded between $46.43 and $47.66. ATM implied volatility averaged 15.0%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 7.8% (HV 20d: 7.2%). Max pain ranged from $42.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.48.

Notable Days

2012-02-08: Highest Volume — 20 contracts
2012-02-21: Largest IV spike — 355.0% change
2012-02-21: Highest IV Rank — 30.9%
2012-02-21: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.11	$46.43	$47.66	$46.43	$47.51
Max Pain	$45.75	$42.00	$47.00	$42.00	$47.00
ATM IV	15.0%	8.7%	50.8%	10.2%	8.7%
Expected Move	4.4%	2.5%	14.6%	2.9%	2.5%
HV 20d	7.2%	6.1%	8.1%	6.1%	7.4%
HV 60d	14.4%	10.5%	16.8%	16.8%	10.5%
IV Rank	7.2%	3.8%	30.9%	3.8%	5.2%
IV Percentile	26.0%	5.6%	90.5%	9.9%	5.6%
Term Structure	-0.0%	-35.1%	5.3%	5.3%	3.0%
VWIV	12.0%	12.0%	12.0%	12.0%	12.0%
Skew 25d	8.7%	0.5%	61.4%	2.7%	2.7%
Skew 10d	8.5%	0.8%	62.7%	3.1%	1.8%
Call IV 25d	9.1%	6.5%	11.6%	8.8%	8.4%
Put IV 25d	17.8%	11.1%	67.9%	11.5%	11.1%
Bid-Ask Spread %	117.34	49.23	194.29	107.21	120.73
Gamma HHI	0.41	0.29	0.46	0.44	0.41
Net GEX	46.7K	26.0K	51.6K	42.1K	51.6K
Net DEX	-425.8K	-505.1K	-329.3K	-331.3K	-489.2K
Net VEX	-1.5K	-1.8K	-1.3K	-1.3K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.48	0.00	15.00	0.00	2.33
Total Volume	3.55	0	20	1	4
Total OI	216.3	190	237	190	223

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
2012-02-01	$46.43	$42.00	10.2%	2.9%	6.1%	3.8%	0.0%	2.7%	5.3%	42.1K	-331.3K	-1.3K	0.00	107.21	N/A	N/A	0	1	160	30
2012-02-02	$46.45	$42.00	13.1%	3.7%	6.1%	5.7%	0.0%	0.5%	1.5%	43.2K	-329.3K	-1.3K	0.00	49.23	N/A	N/A	0	0	160	31
2012-02-03	$46.93	$46.00	12.0%	3.7%	6.9%	5.0%	0.0%	3.6%	1.3%	43.2K	-381.2K	-1.4K	0.00	75.61	N/A	N/A	11	0	160	31
2012-02-06	$46.90	$46.00	11.5%	3.6%	6.8%	4.7%	0.0%	3.4%	0.8%	46.8K	-385.5K	-1.4K	0.00	86.22	N/A	N/A	3	0	170	31
2012-02-07	$47.02	$46.00	11.4%	3.6%	6.8%	4.6%	0.0%	3.9%	1.2%	47.2K	-410.5K	-1.5K	0.00	86.09	N/A	N/A	0	0	173	31
2012-02-08	$47.08	$46.00	11.1%	3.6%	6.6%	4.4%	0.0%	6.9%	1.6%	47.8K	-414.2K	-1.4K	0.00	103.10	N/A	N/A	20	0	173	31
2012-02-09	$47.06	$46.00	12.8%	3.7%	6.6%	5.6%	0.0%	7.0%	1.3%	49.8K	-452.4K	-1.7K	0.00	104.22	N/A	N/A	0	0	193	31
2012-02-10	$46.74	$46.00	13.2%	3.8%	7.2%	5.8%	0.0%	7.0%	1.4%	50.7K	-401.8K	-1.6K	15.00	97.61	N/A	N/A	1	15	193	31
2012-02-13	$47.02	$46.00	44.3%	12.7%	7.3%	26.5%	0.0%	46.8%	-12.4%	26.0K	-391.0K	-1.8K	0.00	193.35	N/A	N/A	0	0	194	42
2012-02-14	$46.97	$46.00	12.1%	3.5%	7.3%	5.1%	0.0%	3.8%	2.4%	46.5K	-412.8K	-1.7K	0.00	121.53	N/A	N/A	0	0	192	42
2012-02-15	$46.75	$46.00	11.8%	3.4%	7.3%	4.9%	0.0%	2.3%	2.3%	48.5K	-387.0K	-1.6K	0.00	126.81	N/A	N/A	2	0	192	42
2012-02-16	$47.25	$46.00	11.6%	3.3%	8.1%	4.7%	0.0%	3.5%	3.5%	49.5K	-455.6K	-1.7K	0.00	131.98	N/A	N/A	0	1	194	42
2012-02-17	$47.43	$46.00	11.2%	3.2%	8.1%	4.5%	0.0%	4.2%	5.3%	47.8K	-483.7K	-1.6K	0.00	124.67	N/A	N/A	0	0	194	43
2012-02-21	$47.42	$46.00	50.8%	14.6%	8.0%	30.9%	0.0%	61.4%	-35.1%	50.1K	-492.5K	-1.6K	0.00	194.29	N/A	N/A	2	0	188	26
2012-02-22	$47.25	$46.00	12.0%	3.4%	8.1%	5.0%	0.0%	3.7%	3.2%	48.9K	-436.0K	-1.6K	0.00	126.33	N/A	N/A	0	0	186	26
2012-02-23	$47.40	$46.00	11.4%	3.3%	7.9%	4.6%	0.0%	3.6%	4.3%	48.4K	-442.6K	-1.5K	0.00	130.05	N/A	N/A	0	1	186	26
2012-02-24	$47.48	$46.00	11.3%	3.2%	7.8%	4.5%	12.0%	3.5%	3.9%	51.1K	-456.7K	-1.5K	2.33	126.26	N/A	N/A	3	7	186	27
2012-02-27	$47.54	$47.00	10.3%	3.0%	7.5%	3.9%	0.0%	1.6%	2.8%	45.7K	-457.4K	-1.5K	0.00	124.25	N/A	N/A	0	0	189	34
2012-02-28	$47.66	$47.00	9.4%	2.7%	7.3%	4.9%	0.0%	2.7%	2.1%	48.6K	-505.1K	-1.5K	0.00	117.33	N/A	N/A	0	0	189	34
2012-02-29	$47.51	$47.00	8.7%	2.5%	7.4%	5.2%	0.0%	2.7%	3.0%	51.6K	-489.2K	-1.5K	0.00	120.73	N/A	N/A	0	4	189	34