VYM Options History — January 2013

In January 2013, VYM traded between $50.30 and $52.53. ATM implied volatility averaged 8.2%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded below realized volatility by 4.1% (HV 20d: 12.3%). Max pain ranged from $49.00 to $51.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2013-01-17: Highest Volume — 154 contracts
2013-01-30: Largest IV spike — 68.4% change
2013-01-03: Highest IV Rank — 10.1%
2013-01-03: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.29	$50.30	$52.53	$50.56	$52.17
Max Pain	$50.43	$49.00	$51.00	$50.00	$51.00
ATM IV	8.2%	5.3%	11.1%	6.6%	9.3%
Expected Move	2.5%	1.5%	3.2%	1.9%	2.7%
HV 20d	12.3%	6.2%	13.5%	13.3%	6.2%
HV 60d	12.0%	11.4%	12.5%	12.5%	11.4%
IV Rank	4.6%	0.0%	10.1%	0.0%	8.8%
IV Percentile	9.5%	0.0%	36.5%	0.0%	19.8%
Term Structure	1.9%	-0.1%	4.1%	2.7%	0.1%
VWIV	9.3%	8.1%	12.3%	8.3%	8.3%
Skew 25d	3.3%	-1.4%	5.4%	2.7%	4.5%
Skew 10d	3.1%	-0.6%	6.2%	2.5%	4.4%
Call IV 25d	7.0%	5.7%	11.7%	6.8%	6.7%
Put IV 25d	10.3%	8.2%	11.5%	9.6%	11.2%
Bid-Ask Spread %	63.71	35.92	103.53	35.92	47.20
Gamma HHI	0.38	0.32	0.43	0.43	0.33
Net GEX	167.0K	105.0K	225.7K	117.2K	159.7K
Net DEX	-1.5M	-2.0M	-954.1K	-1.0M	-1.9M
Net VEX	-6.8K	-7.7K	-5.4K	-5.4K	-7.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.00	5.00	1.00	0.28
Total Volume	21.286	0	154	20	23
Total OI	859.524	767	1,060	767	835

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
2013-01-02	$50.56	$50.00	6.6%	1.9%	13.3%	0.0%	8.3%	2.7%	2.7%	117.2K	-1.0M	-5.4K	1.00	35.92	N/A	N/A	10	10	475	292
2013-01-03	$50.47	$50.00	11.1%	3.2%	13.3%	10.1%	12.3%	-1.4%	1.4%	105.0K	-954.1K	-5.6K	0.00	42.32	N/A	N/A	1	0	485	287
2013-01-04	$50.66	$49.00	8.2%	2.8%	13.2%	3.6%	9.7%	4.7%	1.3%	126.9K	-1.1M	-5.5K	0.00	79.41	N/A	N/A	102	0	486	287
2013-01-07	$50.49	$49.00	7.4%	3.0%	13.3%	1.7%	0.0%	3.2%	2.3%	158.9K	-1.2M	-6.7K	0.00	68.96	N/A	N/A	0	25	588	287
2013-01-08	$50.30	$49.00	9.4%	2.8%	13.3%	6.4%	11.6%	3.3%	2.0%	142.5K	-986.8K	-6.8K	0.00	72.19	N/A	N/A	0	1	588	312
2013-01-09	$50.49	$49.00	7.3%	2.9%	13.4%	1.6%	8.1%	3.4%	2.0%	157.0K	-1.1M	-6.8K	5.00	72.16	N/A	N/A	1	5	588	313
2013-01-10	$50.85	$49.00	8.7%	2.5%	13.5%	4.7%	8.9%	4.0%	2.4%	170.8K	-1.3M	-6.6K	1.00	70.78	N/A	N/A	3	3	588	308
2013-01-11	$50.87	$51.00	8.8%	2.5%	13.5%	4.9%	8.5%	4.3%	2.7%	183.0K	-1.4M	-6.6K	0.00	63.39	N/A	N/A	2	0	591	311
2013-01-14	$50.96	$51.00	8.8%	2.5%	13.3%	5.0%	8.2%	4.6%	3.1%	196.5K	-1.5M	-6.3K	0.00	68.15	N/A	N/A	8	0	592	311
2013-01-15	$51.03	$51.00	9.1%	2.6%	13.3%	5.7%	0.0%	5.4%	4.1%	186.2K	-1.5M	-6.4K	0.00	103.53	N/A	N/A	30	0	596	311
2013-01-16	$50.91	$51.00	8.4%	2.4%	13.1%	4.1%	0.0%	3.3%	2.7%	216.9K	-1.5M	-6.7K	0.00	72.51	N/A	N/A	0	0	626	311
2013-01-17	$51.35	$51.00	10.4%	3.0%	13.2%	8.7%	10.5%	2.4%	1.0%	186.1K	-1.7M	-6.6K	0.83	74.90	N/A	N/A	84	70	626	311
2013-01-18	$51.52	$51.00	5.7%	1.6%	12.8%	0.0%	0.0%	1.9%	2.7%	225.7K	-2.0M	-7.7K	0.00	65.88	N/A	N/A	0	0	704	356
2013-01-22	$51.72	$51.00	6.5%	1.9%	12.6%	1.9%	0.0%	2.6%	2.8%	188.1K	-1.6M	-7.4K	0.00	56.30	N/A	N/A	4	0	601	168
2013-01-23	$51.71	$51.00	6.3%	1.8%	12.1%	1.2%	0.0%	2.8%	2.1%	207.0K	-1.6M	-7.3K	0.00	48.01	N/A	N/A	0	31	605	168
2013-01-24	$51.89	$51.00	8.3%	2.4%	11.9%	5.9%	8.3%	3.0%	0.8%	154.7K	-1.6M	-7.5K	0.28	43.13	N/A	N/A	25	7	605	198
2013-01-25	$52.18	$51.00	8.7%	2.5%	11.7%	6.7%	0.0%	4.5%	-0.1%	163.1K	-1.8M	-7.6K	0.00	98.15	N/A	N/A	0	0	630	205
2013-01-28	$52.14	$51.00	9.4%	2.7%	11.7%	8.2%	0.0%	5.0%	0.1%	162.0K	-1.8M	-7.4K	0.00	59.48	N/A	N/A	0	0	630	205
2013-01-29	$52.53	$51.00	5.3%	1.5%	10.4%	0.0%	8.3%	3.7%	2.5%	148.2K	-2.0M	-7.0K	0.00	53.13	N/A	N/A	0	2	630	205
2013-01-30	$52.33	$51.00	9.0%	2.6%	9.8%	8.0%	0.0%	1.9%	0.6%	150.5K	-1.9M	-7.0K	0.00	42.47	N/A	N/A	0	0	630	205
2013-01-31	$52.17	$51.00	9.3%	2.7%	6.2%	8.8%	0.0%	4.5%	0.1%	159.7K	-1.9M	-7.2K	0.00	47.20	N/A	N/A	0	23	630	205