VYM Options History — February 2013

In February 2013, VYM traded between $52.13 and $53.37. ATM implied volatility averaged 10.1%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.1% (HV 20d: 8.1%). Max pain ranged from $51.00 to $53.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.71.

Notable Days

2013-02-21: Highest Volume — 175 contracts
2013-02-25: Largest IV spike — 297.3% change
2013-02-25: Highest IV Rank — 83.9%
2013-02-25: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.82	$52.13	$53.37	$52.62	$53.25
Max Pain	$52.58	$51.00	$53.00	$53.00	$53.00
ATM IV	10.1%	5.1%	37.6%	5.1%	10.5%
Expected Move	3.0%	2.3%	10.8%	2.4%	3.0%
HV 20d	8.1%	6.6%	10.8%	6.6%	10.7%
HV 60d	10.2%	9.5%	11.6%	11.5%	10.3%
IV Rank	12.1%	0.0%	83.9%	0.0%	13.9%
IV Percentile	22.0%	0.0%	99.2%	0.0%	40.5%
Term Structure	1.5%	-0.7%	19.1%	0.6%	1.1%
VWIV	9.9%	8.1%	11.7%	9.6%	10.1%
Skew 25d	4.0%	-0.9%	6.7%	3.9%	-0.9%
Skew 10d	5.0%	-1.1%	11.4%	4.4%	-1.1%
Call IV 25d	6.9%	4.8%	9.7%	6.7%	9.7%
Put IV 25d	10.9%	8.8%	13.6%	10.6%	8.8%
Bid-Ask Spread %	77.98	50.72	109.53	81.64	64.67
Gamma HHI	0.30	0.28	0.33	0.32	0.32
Net GEX	107.7K	41.4K	155.4K	120.0K	73.2K
Net DEX	-1.9M	-2.3M	-1.0M	-2.1M	-1.8M
Net VEX	-6.9K	-9.3K	-5.6K	-6.8K	-7.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.71	0.00	5.05	3.00	5.05
Total Volume	22.895	0	175	0	121
Total OI	878.842	772	959	858	959

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
2013-02-01	$52.62	$53.00	5.1%	2.4%	6.6%	0.0%	0.0%	3.9%	0.6%	120.0K	-2.1M	-6.8K	0.00	81.64	N/A	N/A	0	0	630	228
2013-02-04	$52.13	$53.00	9.5%	2.8%	7.7%	9.8%	9.6%	2.9%	1.2%	155.4K	-1.8M	-7.3K	3.00	78.11	N/A	N/A	1	3	630	228
2013-02-05	$52.54	$53.00	6.0%	2.4%	7.8%	2.0%	0.0%	3.5%	1.0%	135.9K	-2.0M	-6.8K	0.00	84.17	N/A	N/A	17	0	631	230
2013-02-06	$52.63	$53.00	5.7%	2.4%	7.5%	1.4%	0.0%	3.9%	0.8%	143.1K	-2.1M	-7.0K	0.00	84.18	N/A	N/A	0	1	648	230
2013-02-07	$52.58	$53.00	8.2%	2.4%	7.5%	6.9%	0.0%	3.9%	0.4%	140.0K	-2.0M	-7.0K	0.00	86.25	N/A	N/A	0	0	648	231
2013-02-08	$52.73	$53.00	8.5%	2.4%	7.3%	7.5%	0.0%	3.5%	0.5%	139.0K	-2.1M	-6.9K	0.00	86.80	N/A	N/A	0	0	648	231
2013-02-11	$52.75	$53.00	8.3%	2.4%	7.3%	7.0%	0.0%	3.8%	0.7%	141.0K	-2.2M	-6.4K	0.00	83.46	N/A	N/A	0	0	648	231
2013-02-12	$52.87	$53.00	8.2%	2.4%	7.3%	6.9%	8.1%	3.6%	0.9%	114.8K	-2.3M	-6.1K	0.05	77.79	N/A	N/A	65	3	648	231
2013-02-13	$52.93	$51.00	8.4%	2.4%	7.3%	7.2%	0.0%	3.7%	1.1%	108.9K	-2.3M	-6.1K	0.00	81.48	N/A	N/A	0	0	643	228
2013-02-14	$52.92	$51.00	8.1%	2.3%	7.2%	6.6%	11.7%	4.2%	1.3%	107.8K	-2.3M	-6.1K	0.00	77.83	N/A	N/A	0	30	643	228
2013-02-15	$52.95	$51.00	8.8%	2.5%	6.8%	8.3%	10.1%	3.4%	-0.7%	106.7K	-2.3M	-6.2K	0.00	88.43	N/A	N/A	0	6	643	228
2013-02-19	$53.37	$52.00	8.2%	2.3%	7.1%	6.8%	0.0%	5.2%	1.0%	107.0K	-2.0M	-5.6K	0.00	70.77	N/A	N/A	0	1	566	223
2013-02-20	$52.98	$52.00	9.9%	2.8%	7.7%	10.5%	9.6%	4.7%	-0.4%	99.4K	-1.9M	-5.7K	0.00	67.09	N/A	N/A	0	5	550	222
2013-02-21	$52.76	$53.00	10.4%	3.0%	8.0%	11.6%	0.0%	4.9%	-0.2%	100.2K	-1.7M	-6.1K	3.38	52.36	N/A	N/A	40	135	550	227
2013-02-22	$53.21	$53.00	9.5%	2.7%	8.4%	9.6%	0.0%	6.2%	0.4%	69.0K	-1.7M	-7.8K	0.50	81.69	N/A	N/A	2	1	590	362
2013-02-25	$52.39	$53.00	37.6%	10.8%	10.1%	83.9%	0.0%	3.9%	19.1%	41.4K	-1.0M	-9.3K	0.00	109.53	N/A	N/A	0	0	592	363
2013-02-26	$52.71	$53.00	10.7%	3.1%	10.3%	14.5%	0.0%	5.2%	-0.7%	74.4K	-1.5M	-8.2K	0.00	50.72	N/A	N/A	0	0	592	363
2013-02-27	$53.33	$53.00	10.8%	3.1%	10.8%	14.8%	0.0%	6.7%	-0.2%	69.7K	-1.7M	-7.7K	0.00	74.63	N/A	N/A	4	0	592	363
2013-02-28	$53.25	$53.00	10.5%	3.0%	10.7%	13.9%	10.1%	-0.9%	1.1%	73.2K	-1.8M	-7.7K	5.05	64.67	N/A	N/A	20	101	596	363