VYM Options History — April 2012

In April 2012, VYM traded between $46.78 and $48.75. ATM implied volatility averaged 12.4%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.7% (HV 20d: 10.7%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.07.

Notable Days

2012-04-10: Highest Volume — 31 contracts
2012-04-10: Largest IV spike — 44.7% change
2012-04-16: Highest IV Rank — 13.8%
2012-04-16: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.87	$46.78	$48.75	$48.75	$48.46
Max Pain	$48.40	$46.00	$49.00	$46.00	$49.00
ATM IV	12.4%	9.1%	15.9%	9.2%	13.2%
Expected Move	3.6%	2.6%	4.6%	2.6%	3.8%
HV 20d	10.7%	7.9%	12.7%	9.0%	12.6%
HV 60d	8.9%	7.4%	9.8%	7.4%	9.7%
IV Rank	9.7%	5.6%	13.8%	5.8%	10.6%
IV Percentile	30.5%	6.0%	54.8%	7.1%	35.7%
Term Structure	1.2%	-1.9%	3.8%	1.7%	0.1%
VWIV	8.9%	8.9%	8.9%	8.9%	8.9%
Skew 25d	4.0%	0.2%	8.9%	0.9%	1.9%
Skew 10d	4.8%	1.6%	16.9%	3.4%	3.0%
Call IV 25d	9.4%	7.1%	11.8%	8.5%	9.8%
Put IV 25d	13.4%	9.2%	19.0%	9.4%	11.8%
Bid-Ask Spread %	108.40	97.43	113.20	112.08	108.31
Gamma HHI	0.47	0.24	0.73	0.32	0.24
Net GEX	46.8K	15.6K	81.7K	40.8K	21.8K
Net DEX	-326.8K	-548.8K	-97.4K	-509.6K	-119.1K
Net VEX	-1.1K	-1.2K	-824	-824	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.55	0.00	0.55
Total Volume	5	0	31	10	0
Total OI	197.9	108	252	207	125

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
2012-04-02	$48.75	$46.00	9.2%	2.6%	9.0%	5.8%	0.0%	0.9%	1.7%	40.8K	-509.6K	-824	0.00	112.08	N/A	N/A	10	0	154	53
2012-04-03	$48.49	$46.00	9.1%	2.6%	7.9%	5.6%	0.0%	2.4%	3.8%	35.0K	-406.0K	-1.2K	0.00	112.13	N/A	N/A	2	0	164	53
2012-04-04	$48.15	$46.00	11.9%	3.4%	8.3%	9.0%	0.0%	0.5%	1.5%	51.5K	-433.8K	-1.0K	0.00	110.11	N/A	N/A	0	0	162	53
2012-04-05	$48.03	$46.00	10.9%	3.1%	8.2%	7.8%	0.0%	0.2%	1.5%	54.3K	-423.7K	-992	0.00	108.67	N/A	N/A	0	0	162	53
2012-04-09	$47.53	$49.00	10.1%	3.6%	9.0%	6.9%	0.0%	5.3%	1.0%	42.6K	-302.4K	-1.0K	0.00	103.66	N/A	N/A	10	0	162	53
2012-04-10	$46.78	$49.00	14.6%	4.4%	10.4%	12.3%	0.0%	4.3%	-1.9%	63.2K	-214.4K	-993	0.00	112.22	N/A	N/A	31	0	172	53
2012-04-11	$47.10	$49.00	13.5%	4.4%	9.2%	11.0%	0.0%	5.9%	1.0%	73.8K	-326.0K	-1.2K	0.00	100.91	N/A	N/A	1	0	191	53
2012-04-12	$47.57	$49.00	12.8%	3.7%	10.0%	10.2%	0.0%	5.1%	1.1%	66.3K	-415.1K	-1.2K	0.00	100.20	N/A	N/A	0	0	192	53
2012-04-13	$47.14	$49.00	14.3%	4.1%	10.2%	11.9%	0.0%	5.8%	1.8%	81.7K	-350.8K	-1.2K	0.00	107.56	N/A	N/A	0	0	192	53
2012-04-16	$47.37	$49.00	15.9%	4.6%	10.5%	13.8%	0.0%	7.2%	0.9%	73.4K	-388.1K	-1.1K	0.00	106.82	N/A	N/A	0	0	192	53
2012-04-17	$47.98	$49.00	13.6%	3.9%	11.6%	11.0%	0.0%	3.8%	0.8%	59.4K	-519.6K	-1.0K	0.00	112.63	N/A	N/A	0	0	192	53
2012-04-18	$47.79	$49.00	14.9%	4.3%	11.6%	12.7%	0.0%	4.0%	0.2%	65.4K	-491.6K	-1.0K	0.00	110.82	N/A	N/A	4	0	192	53
2012-04-19	$47.60	$49.00	14.1%	4.0%	11.7%	11.6%	0.0%	8.9%	0.9%	72.6K	-450.3K	-1.0K	0.00	113.20	N/A	N/A	0	5	194	53
2012-04-20	$47.94	$49.00	13.0%	3.7%	11.9%	10.3%	0.0%	6.5%	2.0%	41.6K	-548.8K	-1.0K	0.00	111.44	N/A	N/A	0	0	194	58
2012-04-23	$47.54	$49.00	13.1%	3.7%	12.2%	10.4%	0.0%	5.1%	0.8%	15.6K	-97.4K	-958	0.00	97.43	N/A	N/A	4	0	85	23
2012-04-24	$47.81	$49.00	13.4%	3.8%	12.2%	10.8%	0.0%	4.5%	0.8%	16.6K	-118.3K	-1.0K	0.00	105.22	N/A	N/A	0	0	89	23
2012-04-25	$48.20	$49.00	12.6%	3.6%	12.6%	9.8%	0.0%	3.3%	0.3%	18.5K	-140.9K	-1.0K	0.00	112.77	N/A	N/A	0	2	89	23
2012-04-26	$48.53	$49.00	9.4%	2.7%	12.7%	6.0%	8.9%	1.8%	2.4%	19.6K	-152.7K	-1.1K	0.55	111.41	N/A	N/A	20	11	89	25
2012-04-27	$48.55	$49.00	9.2%	2.6%	12.7%	5.8%	0.0%	2.4%	2.7%	23.1K	-127.0K	-1.1K	0.00	110.43	N/A	N/A	0	0	89	36
2012-04-30	$48.46	$49.00	13.2%	3.8%	12.6%	10.6%	0.0%	1.9%	0.1%	21.8K	-119.1K	-1.1K	0.00	108.31	N/A	N/A	0	0	89	36