VYM Options History — December 2011

In December 2011, VYM traded between $43.63 and $45.46. ATM implied volatility averaged 16.0%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 5.3% (HV 20d: 21.3%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.73.

Notable Days

  • 2011-12-05: Highest Volume — 95 contracts
  • 2011-12-15: Largest IV spike — 60.1% change
  • 2011-12-08: Highest IV Rank — 11.4%
  • 2011-12-05: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.49$43.63$45.46$44.11$45.26
Max Pain$44.52$42.00$45.00$42.00$45.00
ATM IV16.0%11.2%21.6%18.9%15.9%
Expected Move5.2%4.3%8.3%5.4%4.6%
HV 20d21.3%15.7%24.7%24.7%15.7%
HV 60d22.7%20.9%24.1%24.1%20.9%
IV Rank7.7%4.5%11.4%9.6%7.7%
IV Percentile36.8%15.5%49.2%44.0%40.9%
Term Structure1.2%-15.4%3.8%1.7%2.8%
VWIV18.1%13.6%23.7%14.6%15.2%
Skew 25d5.5%2.7%8.0%5.5%3.1%
Skew 10d8.4%-30.9%21.2%14.7%3.6%
Call IV 25d15.2%10.8%19.8%16.9%13.6%
Put IV 25d20.8%16.4%27.2%22.4%16.7%
Bid-Ask Spread %70.8928.94162.5731.93101.64
Gamma HHI0.310.200.390.310.37
Net GEX38.1K-58.9K91.7K59.3K84.6K
Net DEX-222.1K-602.7K364.6K-311.4K-522.1K
Net VEX-2.0K-2.5K-1.5K-1.8K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.0010.002.5010.00
Total Volume19.19095120
Total OI531.333375675421474

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$44.11$42.0018.9%5.4%24.7%9.6%0.0%5.5%1.7%59.3K-311.4K-1.8K0.0031.93N/AN/A012280141
2011-12-02$44.03$42.0018.2%5.2%24.1%9.1%14.6%4.1%0.0%56.6K-293.3K-1.7K2.5028.94N/AN/A2050280151
2011-12-05$44.35$45.0019.7%8.3%24.2%10.1%17.9%2.7%-15.4%74.6K-336.4K-1.9K4.00162.57N/AN/A1976300186
2011-12-06$44.51$45.0011.8%5.5%24.1%4.9%19.2%7.0%2.2%46.3K-297.4K-2.3K0.0061.98N/AN/A10305262
2011-12-07$44.61$45.0013.6%4.8%23.8%6.1%19.5%5.4%3.8%66.1K-376.3K-2.1K3.33145.72N/AN/A310306262
2011-12-08$43.92$45.0021.6%6.2%21.8%11.4%21.7%7.4%0.9%21.5K-60.7K-2.3K0.0052.88N/AN/A090309272
2011-12-09$44.55$45.0013.8%5.4%22.1%6.2%18.7%6.6%2.1%11.8K-209.7K-2.5K0.0062.88N/AN/A10309362
2011-12-12$44.07$45.0018.0%5.6%21.7%9.0%23.7%6.5%2.1%-38.2K130.6K-2.1K0.0058.96N/AN/A40310362
2011-12-13$43.94$45.0011.2%5.5%21.5%4.5%0.0%6.6%2.1%-58.9K11.7K-1.9K0.0063.77N/AN/A00313362
2011-12-14$43.63$45.0011.4%5.4%21.6%4.6%0.0%7.0%2.5%-39.6K364.6K-2.0K0.0057.67N/AN/A00313362
2011-12-15$43.96$45.0018.3%5.2%21.2%9.2%0.0%7.1%2.5%-32.7K234.6K-1.9K0.0055.14N/AN/A00313362
2011-12-16$44.05$45.0018.4%5.3%20.8%9.3%17.9%8.0%3.2%-30.5K192.7K-1.8K0.0069.32N/AN/A100313362
2011-12-19$43.64$45.0017.5%5.0%21.2%8.6%18.6%5.4%1.7%26.0K10.0K-1.5K0.4245.81N/AN/A4519242133
2011-12-20$44.77$45.0015.3%4.4%21.9%7.2%16.3%4.0%2.3%58.7K-277.2K-2.0K0.0046.20N/AN/A100287152
2011-12-21$44.73$44.0014.9%4.3%21.8%7.0%0.0%4.0%2.2%68.3K-332.5K-2.1K0.0039.60N/AN/A150293152
2011-12-22$44.94$44.0014.9%4.3%20.3%7.0%0.0%4.9%1.5%78.9K-414.1K-2.3K0.0046.46N/AN/A00308152
2011-12-23$45.41$44.0015.4%4.4%20.3%7.3%13.6%6.4%1.4%85.8K-573.7K-2.2K0.5049.66N/AN/A42308152
2011-12-27$45.45$44.0015.2%4.3%19.0%7.1%15.2%5.1%2.4%91.7K-602.7K-2.1K10.00102.07N/AN/A110312150
2011-12-28$44.95$45.0016.0%4.6%19.7%7.7%0.0%4.0%1.7%79.2K-412.7K-2.2K0.00102.66N/AN/A00313160
2011-12-29$45.46$45.0016.1%4.6%15.7%7.7%0.0%4.8%1.3%90.1K-588.7K-2.1K0.00102.89N/AN/A01313160
2011-12-30$45.26$45.0015.9%4.6%15.7%7.7%0.0%3.1%2.8%84.6K-522.1K-2.1K0.00101.64N/AN/A00313161