VYM Options History — September 2012

In September 2012, VYM traded between $49.44 and $51.18. ATM implied volatility averaged 10.2%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.5% (HV 20d: 8.8%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 25.36.

Notable Days

2012-09-27: Highest Volume — 1,007 contracts
2012-09-14: Largest IV spike — 26.3% change
2012-09-14: Highest IV Rank — 9.8%
2012-09-12: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.54	$49.44	$51.18	$49.47	$50.40
Max Pain	$48.89	$47.00	$49.00	$49.00	$49.00
ATM IV	10.2%	8.7%	11.9%	11.3%	10.4%
Expected Move	3.0%	2.5%	3.5%	3.2%	3.0%
HV 20d	8.8%	5.3%	9.9%	5.3%	9.7%
HV 60d	11.3%	10.0%	12.3%	12.1%	10.0%
IV Rank	7.5%	5.6%	9.8%	8.7%	7.8%
IV Percentile	19.5%	5.6%	38.1%	26.6%	22.6%
Term Structure	1.8%	-0.0%	4.0%	1.1%	1.8%
VWIV	11.7%	6.9%	15.5%	10.9%	6.9%
Skew 25d	4.4%	2.0%	7.6%	3.0%	5.3%
Skew 10d	4.1%	1.6%	7.6%	2.4%	5.1%
Call IV 25d	7.6%	6.0%	9.4%	8.0%	7.1%
Put IV 25d	12.0%	9.8%	14.8%	11.0%	12.5%
Bid-Ask Spread %	99.77	87.28	113.72	113.72	104.30
Gamma HHI	0.85	0.52	0.93	0.87	0.52
Net GEX	-959.7K	-1.9M	-729.2K	-799.4K	-1.9M
Net DEX	2.2M	-91.5K	4.5M	3.5M	4.5M
Net VEX	-13.0K	-20.2K	-4.5K	-15.3K	-20.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	25.36	0.00	142.86	0.00	0.00
Total Volume	140.316	0	1,007	0	1
Total OI	2,829.421	2,241	4,359	2,241	4,359

Daily Data (19 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
2012-09-04	$49.47	$49.00	11.3%	3.2%	5.3%	8.7%	0.0%	3.0%	1.1%	-799.4K	3.5M	-15.3K	0.00	113.72	N/A	N/A	0	0	251	1,990
2012-09-05	$49.44	$49.00	11.7%	3.3%	5.3%	9.2%	10.9%	2.9%	-0.0%	-869.8K	3.6M	-15.2K	0.00	107.57	N/A	N/A	20	0	251	1,990
2012-09-06	$50.33	$47.00	10.2%	2.9%	8.3%	7.2%	0.0%	2.4%	1.1%	-729.2K	2.1M	-13.8K	55.00	111.56	N/A	N/A	10	550	262	1,990
2012-09-07	$50.36	$49.00	9.0%	3.1%	8.3%	5.8%	14.5%	5.8%	2.1%	-969.2K	3.1M	-17.1K	55.50	95.74	N/A	N/A	2	111	257	2,539
2012-09-10	$50.19	$49.00	11.2%	3.5%	8.3%	8.5%	15.5%	7.6%	0.6%	-964.3K	3.3M	-17.0K	13.00	90.34	N/A	N/A	3	39	259	2,539
2012-09-11	$50.29	$49.00	11.7%	3.3%	8.3%	9.5%	0.0%	5.2%	1.1%	-954.3K	3.1M	-16.2K	0.00	97.04	N/A	N/A	0	0	258	2,539
2012-09-12	$50.34	$49.00	11.2%	3.5%	8.3%	8.8%	0.0%	5.5%	0.0%	-931.5K	3.2M	-16.1K	0.00	93.38	N/A	N/A	0	0	258	2,539
2012-09-13	$51.08	$49.00	9.4%	2.7%	9.7%	6.5%	14.1%	5.2%	3.8%	-814.1K	1.8M	-13.3K	20.10	90.91	N/A	N/A	10	201	256	2,539
2012-09-14	$51.07	$49.00	11.9%	3.4%	9.6%	9.8%	12.0%	5.7%	0.4%	-806.5K	1.6M	-12.2K	0.00	92.51	N/A	N/A	21	0	237	2,539
2012-09-17	$50.92	$49.00	10.6%	3.1%	9.7%	8.1%	0.0%	6.7%	2.5%	-794.0K	1.9M	-12.8K	0.00	87.28	N/A	N/A	0	3	258	2,539
2012-09-18	$50.97	$49.00	9.5%	2.7%	9.7%	6.6%	0.0%	6.1%	3.8%	-839.3K	1.8M	-12.6K	0.35	94.51	N/A	N/A	31	11	258	2,540
2012-09-19	$50.99	$49.00	8.7%	2.5%	9.5%	5.6%	7.7%	2.0%	4.0%	-901.8K	822.5K	-10.1K	3.80	101.44	N/A	N/A	10	38	287	2,551
2012-09-20	$51.18	$49.00	9.0%	2.6%	9.5%	6.0%	0.0%	2.7%	2.8%	-890.1K	767.4K	-9.4K	0.00	106.72	N/A	N/A	14	0	275	2,589
2012-09-21	$51.15	$49.00	9.0%	2.6%	8.9%	6.0%	0.0%	2.6%	1.9%	-1.2M	-91.5K	-4.5K	0.00	101.45	N/A	N/A	0	0	275	2,589
2012-09-24	$50.81	$49.00	9.7%	2.8%	9.2%	6.8%	0.0%	4.0%	1.2%	-811.9K	749.4K	-8.8K	0.00	104.09	N/A	N/A	0	5	239	2,542
2012-09-25	$50.48	$49.00	10.1%	2.9%	9.6%	7.4%	0.0%	2.8%	2.3%	-892.6K	1.2M	-9.7K	13.75	98.49	N/A	N/A	4	55	239	2,542
2012-09-26	$50.30	$49.00	10.7%	3.1%	9.7%	8.2%	0.0%	4.3%	2.1%	-1.0M	1.6M	-10.6K	0.00	103.70	N/A	N/A	0	520	235	2,597
2012-09-27	$50.56	$49.00	9.3%	2.7%	9.9%	6.3%	0.0%	4.2%	1.2%	-1.2M	2.3M	-12.7K	142.86	100.93	N/A	N/A	7	1,000	235	3,117
2012-09-28	$50.40	$49.00	10.4%	3.0%	9.7%	7.8%	6.9%	5.3%	1.8%	-1.9M	4.5M	-20.2K	0.00	104.30	N/A	N/A	1	0	242	4,117