VYM Options History — September 2013 In September 2013, VYM traded between $56.49 and $59.55. ATM implied volatility averaged 11.6%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.6% (HV 20d: 10.0%). Max pain ranged from $55.00 to $58.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 3.37.
Notable Days 2013-09-17 : Highest Volume — 67 contracts2013-09-23 : Largest IV spike — 31.4% change2013-09-30 : Highest IV Rank — 28.1%2013-09-30 : Largest Expected Move — 4.1%Monthly Statistics Metric Avg Min Max Open Close Price $57.98 $56.49 $59.55 $56.49 $57.49 Max Pain $56.40 $55.00 $58.00 $58.00 $58.00 ATM IV 11.6% 8.8% 14.2% 13.8% 14.2% Expected Move 3.4% 2.5% 4.1% 4.0% 4.1% HV 20d 10.0% 9.1% 11.0% 9.1% 9.7% HV 60d 10.2% 8.9% 11.8% 11.7% 9.0% IV Rank 20.2% 11.5% 28.1% 26.9% 28.1% IV Percentile 66.0% 20.2% 94.0% 92.9% 94.0% Term Structure 1.1% -1.8% 5.2% 0.2% -1.8% VWIV 12.0% 10.0% 14.6% 13.2% 12.1% Skew 25d 4.9% 1.9% 8.6% 3.9% 5.2% Skew 10d 7.7% -0.6% 37.3% 37.3% 6.1% Call IV 25d 9.0% 7.3% 11.1% 10.1% 11.0% Put IV 25d 13.9% 10.6% 16.2% 14.0% 16.2% Bid-Ask Spread % 43.43 26.30 99.99 99.99 33.57 Gamma HHI 0.20 0.16 0.36 0.18 0.20 Net GEX 29.5K -14.8K 152.3K -1.2K 1.8K Net DEX 61.5K -878.9K 535.8K 535.8K 517.3K Net VEX -5.7K -6.2K -5.1K -5.8K -5.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.37 0.00 46.00 46.00 5.00 Total Volume 19.05 0 67 47 6 Total OI 779.65 660 906 720 734
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 2013-09-03 $56.49 $58.00 13.8% 4.0% 9.1% 26.9% 0.0% 3.9% 0.2% -1.2K 535.8K -5.8K 46.00 99.99 N/A N/A 1 46 330 390 2013-09-04 $56.90 $58.00 13.2% 3.8% 9.7% 25.0% 13.2% 8.6% 0.1% -14.8K 483.8K -6.1K 0.00 33.39 N/A N/A 9 0 331 435 2013-09-05 $56.89 $57.00 12.8% 3.7% 9.7% 23.9% 0.0% 3.2% 0.3% -7.7K 441.8K -6.1K 0.00 47.70 N/A N/A 0 0 340 435 2013-09-06 $56.90 $55.00 12.1% 3.8% 9.7% 21.7% 0.0% 4.4% 0.8% -9.2K 432.9K -5.9K 0.00 68.29 N/A N/A 20 0 340 435 2013-09-09 $57.38 $55.00 13.4% 3.7% 10.3% 25.7% 0.0% 5.2% 1.1% 15.5K 221.3K -6.0K 0.00 62.47 N/A N/A 20 0 360 435 2013-09-10 $57.85 $55.00 11.0% 3.2% 10.8% 18.2% 0.0% 5.5% 1.8% 21.3K -12.7K -5.9K 0.00 29.16 N/A N/A 7 0 368 435 2013-09-11 $58.09 $55.00 9.9% 3.2% 11.0% 15.0% 0.0% 5.7% 1.5% 33.2K -115.7K -5.9K 1.00 36.96 N/A N/A 11 11 375 435 2013-09-12 $57.89 $55.00 11.2% 3.2% 10.9% 18.8% 0.0% 5.8% 2.3% 30.9K -59.3K -6.2K 0.00 29.84 N/A N/A 10 0 386 446 2013-09-13 $58.17 $55.00 10.7% 3.1% 9.7% 17.4% 0.0% 6.1% 2.1% 40.8K -199.2K -6.1K 0.00 42.25 N/A N/A 0 0 396 446 2013-09-16 $58.60 $55.00 12.1% 3.5% 9.8% 21.7% 11.8% 6.3% 0.7% 47.0K -396.7K -5.7K 0.08 39.66 N/A N/A 24 2 396 446 2013-09-17 $58.83 $55.00 12.1% 3.5% 9.6% 21.8% 12.0% 4.5% 0.4% 64.7K -551.7K -5.8K 0.63 27.80 N/A N/A 41 26 418 448 2013-09-18 $59.55 $55.00 10.6% 3.0% 10.3% 16.9% 13.3% 3.4% 1.9% 84.4K -878.9K -5.7K 0.08 45.81 N/A N/A 24 2 432 474 2013-09-19 $59.42 $56.00 10.2% 2.9% 9.7% 15.9% 12.1% 3.5% 3.7% 88.5K -642.5K -5.3K 0.00 26.54 N/A N/A 0 3 386 456 2013-09-20 $58.95 $56.00 8.8% 2.5% 10.2% 11.5% 10.0% 1.9% 5.2% 152.3K -292.3K -5.1K 0.00 28.64 N/A N/A 25 0 345 456 2013-09-23 $58.31 $58.00 11.6% 3.3% 10.8% 19.9% 11.6% 5.7% 0.7% 2.1K 312.1K -5.2K 0.00 31.46 N/A N/A 8 0 231 429 2013-09-24 $58.13 $58.00 11.1% 3.2% 10.5% 18.5% 11.5% 4.4% 0.2% 2.2K 343.3K -5.3K 1.69 53.51 N/A N/A 13 22 236 429 2013-09-25 $57.98 $58.00 10.7% 3.1% 9.3% 17.4% 10.9% 4.7% 1.1% -38 386.9K -5.4K 0.00 43.18 N/A N/A 30 0 249 451 2013-09-26 $58.08 $58.00 11.2% 3.2% 9.3% 18.7% 11.2% 5.0% 0.0% 24.1K 291.0K -5.5K 0.00 62.14 N/A N/A 1 0 279 451 2013-09-27 $57.80 $58.00 11.8% 3.4% 9.5% 20.5% 14.6% 4.6% 0.4% 13.7K 412.0K -5.6K 2.80 26.30 N/A N/A 5 14 278 451 2013-09-30 $57.49 $58.00 14.2% 4.1% 9.7% 28.1% 12.1% 5.2% -1.8% 1.8K 517.3K -5.5K 5.00 33.57 N/A N/A 1 5 283 451
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