VYM Options History — March 2013

In March 2013, VYM traded between $53.43 and $54.81. ATM implied volatility averaged 8.3%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 0.8% (HV 20d: 9.1%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 7.31.

Notable Days

2013-03-21: Highest Volume — 63 contracts
2013-03-05: Largest IV spike — 53.9% change
2013-03-01: Highest IV Rank — 14.4%
2013-03-01: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.37	$53.43	$54.81	$53.43	$54.81
Max Pain	$52.60	$50.00	$55.00	$53.00	$55.00
ATM IV	8.3%	5.3%	10.7%	10.7%	8.7%
Expected Move	2.6%	1.8%	3.1%	3.1%	2.5%
HV 20d	9.1%	6.2%	10.6%	10.6%	6.2%
HV 60d	10.1%	9.0%	10.3%	10.3%	9.0%
IV Rank	8.4%	0.7%	14.4%	14.4%	9.6%
IV Percentile	15.6%	0.8%	42.5%	42.5%	17.9%
Term Structure	1.6%	-0.1%	5.0%	-0.1%	0.9%
VWIV	9.8%	7.6%	11.6%	11.6%	8.5%
Skew 25d	4.5%	-0.8%	7.1%	3.6%	2.5%
Skew 10d	4.3%	1.1%	12.2%	2.5%	3.2%
Call IV 25d	6.3%	4.6%	8.5%	6.1%	6.9%
Put IV 25d	10.8%	7.2%	12.7%	9.8%	9.4%
Bid-Ask Spread %	49.64	33.74	105.39	82.73	45.48
Gamma HHI	0.20	0.15	0.26	0.23	0.16
Net GEX	-18.2K	-97.6K	89.0K	89.0K	-93.5K
Net DEX	-909.3K	-2.2M	323.7K	-1.8M	227.1K
Net VEX	-5.5K	-8.0K	-3.7K	-8.0K	-4.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.31	0.00	50.00	8.33	0.00
Total Volume	13.4	0	63	2	6
Total OI	814.1	571	1,088	1,030	617

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
2013-03-01	$53.43	$53.00	10.7%	3.1%	10.6%	14.4%	0.0%	3.6%	-0.1%	89.0K	-1.8M	-8.0K	0.00	82.73	N/A	N/A	0	2	616	414
2013-03-04	$53.66	$50.00	5.3%	2.5%	10.3%	0.7%	11.6%	5.3%	2.1%	79.5K	-1.9M	-7.8K	8.33	64.60	N/A	N/A	6	50	616	416
2013-03-05	$54.10	$50.00	8.2%	2.7%	9.8%	8.1%	0.0%	6.4%	1.4%	49.4K	-2.2M	-7.3K	0.00	45.37	N/A	N/A	3	0	622	466
2013-03-06	$54.14	$52.00	8.2%	2.7%	9.6%	8.0%	10.0%	6.3%	1.2%	10.0K	-1.0M	-6.7K	0.00	49.60	N/A	N/A	0	10	399	466
2013-03-07	$54.20	$52.00	7.6%	2.6%	9.6%	6.6%	0.0%	6.2%	1.8%	-1.4K	-1.1M	-6.5K	0.00	55.00	N/A	N/A	0	1	399	476
2013-03-08	$54.35	$52.00	6.3%	2.7%	9.6%	3.1%	10.5%	6.3%	1.0%	-7.9K	-1.1M	-6.2K	0.00	50.33	N/A	N/A	0	1	389	477
2013-03-11	$54.49	$52.00	7.4%	2.6%	9.6%	6.0%	0.0%	7.1%	1.2%	-11.3K	-1.1M	-6.1K	0.00	46.56	N/A	N/A	1	0	389	478
2013-03-12	$54.46	$52.00	8.4%	2.7%	9.6%	8.6%	11.2%	4.9%	1.2%	6.0K	-1.2M	-5.5K	0.00	33.74	N/A	N/A	0	16	390	478
2013-03-13	$54.53	$52.00	8.1%	2.0%	9.6%	7.8%	0.0%	6.1%	5.0%	-13.9K	-1.2M	-5.1K	0.00	49.37	N/A	N/A	0	0	390	488
2013-03-14	$54.81	$52.00	7.9%	2.3%	9.7%	7.2%	7.6%	4.6%	2.5%	-6.3K	-1.3M	-5.0K	50.00	42.04	N/A	N/A	1	50	390	488
2013-03-15	$54.62	$52.00	6.3%	1.8%	9.8%	3.1%	0.0%	5.2%	5.0%	-14.3K	-1.3M	-4.9K	0.00	37.13	N/A	N/A	0	0	391	488
2013-03-18	$54.33	$52.00	9.6%	2.7%	10.1%	11.6%	9.9%	4.6%	0.4%	-11.8K	-1.1M	-5.9K	6.00	44.36	N/A	N/A	1	6	380	436
2013-03-19	$54.39	$52.00	10.0%	2.9%	9.8%	12.6%	0.0%	2.4%	0.7%	-12.6K	-1.0M	-6.0K	0.00	105.39	N/A	N/A	4	0	381	442
2013-03-20	$54.74	$52.00	8.2%	2.3%	9.5%	8.0%	9.3%	4.4%	2.2%	-1.0K	-1.3M	-4.7K	0.00	41.94	N/A	N/A	0	1	385	442
2013-03-21	$54.41	$52.00	9.2%	2.6%	9.6%	10.6%	0.0%	4.7%	1.1%	-42.7K	-954.9K	-4.9K	4.73	46.33	N/A	N/A	11	52	335	443
2013-03-22	$54.39	$55.00	10.0%	2.9%	9.3%	12.7%	0.0%	3.1%	0.7%	-95.8K	323.7K	-4.1K	0.00	35.58	N/A	N/A	0	0	76	495
2013-03-25	$54.26	$55.00	10.0%	2.9%	7.1%	12.8%	10.0%	-0.8%	0.7%	-97.6K	322.7K	-4.0K	4.00	40.80	N/A	N/A	1	4	76	495
2013-03-26	$54.65	$55.00	8.2%	2.4%	7.2%	8.2%	8.5%	3.9%	0.3%	-93.9K	237.1K	-3.7K	0.00	41.55	N/A	N/A	1	0	77	499
2013-03-27	$54.64	$55.00	7.8%	2.2%	6.2%	7.2%	0.0%	3.6%	1.9%	-93.5K	232.7K	-3.7K	0.00	34.94	N/A	N/A	0	40	78	499
2013-03-28	$54.81	$55.00	8.7%	2.5%	6.2%	9.6%	0.0%	2.5%	0.9%	-93.5K	227.1K	-4.0K	0.00	45.48	N/A	N/A	6	0	78	539