VYM Options History — March 2012

In March 2012, VYM traded between $46.98 and $48.67. ATM implied volatility averaged 11.8%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.6% (HV 20d: 8.2%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2012-03-16: Highest Volume — 17 contracts
  • 2012-03-22: Largest IV spike — 251.7% change
  • 2012-03-22: Highest IV Rank — 47.8%
  • 2012-03-22: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.12$46.98$48.67$47.67$48.47
Max Pain$44.36$44.00$47.00$47.00$46.00
ATM IV11.8%8.1%43.9%8.6%9.0%
Expected Move3.5%2.3%12.6%2.5%2.6%
HV 20d8.2%6.2%9.1%7.0%8.9%
HV 60d9.0%7.3%10.8%10.5%7.3%
IV Rank8.9%4.4%47.8%5.0%5.5%
IV Percentile17.5%3.2%90.5%4.4%6.7%
Term Structure2.4%-8.9%5.9%3.7%3.9%
VWIV9.3%7.6%10.4%10.3%10.4%
Skew 25d3.0%0.3%7.3%0.6%2.0%
Skew 10d5.0%-1.2%16.9%2.1%16.9%
Call IV 25d8.9%7.0%11.7%8.2%8.4%
Put IV 25d11.9%8.4%17.9%8.8%10.3%
Bid-Ask Spread %108.7798.72150.69126.96110.68
Gamma HHI0.460.370.600.400.37
Net GEX47.1K29.1K60.2K52.0K29.1K
Net DEX-458.1K-637.0K-367.2K-499.0K-367.2K
Net VEX-1.1K-1.5K-863-1.5K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.004.000.000.00
Total Volume2.77301717
Total OI205.227180227227200

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$47.67$47.008.6%2.5%7.0%5.0%0.0%0.6%3.7%52.0K-499.0K-1.5K0.00126.96N/AN/A0118938
2012-03-02$47.59$47.008.1%2.3%7.1%4.4%0.0%0.9%3.8%52.0K-501.5K-1.5K0.00128.04N/AN/A0018937
2012-03-05$47.56$44.0011.7%3.9%6.2%8.7%0.0%3.8%2.9%50.0K-460.1K-1.5K0.00106.66N/AN/A3018937
2012-03-06$46.98$44.0013.0%4.1%7.7%10.4%0.0%6.2%1.7%47.7K-389.7K-1.5K0.0098.72N/AN/A0018937
2012-03-07$47.25$44.0012.3%4.0%7.9%9.5%0.0%7.3%1.6%50.3K-428.8K-1.4K0.00107.35N/AN/A0018937
2012-03-08$47.53$44.009.5%3.3%8.2%6.1%0.0%2.2%3.2%49.3K-481.5K-1.4K0.0099.93N/AN/A0018937
2012-03-09$47.68$44.009.4%2.9%8.2%6.0%0.0%3.4%5.4%50.6K-490.4K-1.4K0.0099.82N/AN/A0018937
2012-03-12$47.86$44.0010.0%3.2%7.8%6.7%0.0%5.5%3.6%57.3K-557.0K-1.3K0.00101.37N/AN/A0018937
2012-03-13$48.56$44.0012.8%2.7%9.0%10.1%0.0%3.9%5.4%51.8K-637.0K-1.1K0.00103.66N/AN/A0018637
2012-03-14$48.42$44.0011.9%3.5%9.1%9.1%0.0%3.9%3.1%42.2K-467.8K-9530.00103.74N/AN/A0014737
2012-03-15$48.63$44.0010.4%3.0%8.8%7.2%10.3%3.6%4.0%42.0K-484.8K-9150.00102.03N/AN/A4014737
2012-03-16$48.59$44.008.9%2.5%8.3%5.3%0.0%4.9%5.9%45.4K-497.8K-9290.00103.36N/AN/A01715137
2012-03-19$48.67$44.008.6%2.5%8.2%5.0%9.0%1.1%1.9%35.7K-422.7K-9330.00103.10N/AN/A16013446
2012-03-20$48.54$44.008.3%2.4%8.3%4.7%0.0%3.7%2.7%44.9K-408.2K-1.1K0.00101.91N/AN/A0014846
2012-03-21$48.46$44.0012.5%3.6%8.2%9.7%7.6%0.3%0.3%44.1K-391.7K-1.1K4.00109.37N/AN/A1414846
2012-03-22$48.21$44.0043.9%12.6%8.5%47.8%0.0%1.3%-8.9%45.3K-404.2K-1.0K0.00150.69N/AN/A0014846
2012-03-23$48.34$44.009.0%2.6%8.5%5.5%0.0%4.9%3.9%60.2K-427.9K-8890.00103.35N/AN/A0014846
2012-03-26$48.60$44.008.8%2.5%8.6%5.2%0.0%1.6%1.5%44.9K-465.8K-8630.00102.98N/AN/A1014646
2012-03-27$48.49$44.0011.1%3.2%8.7%8.0%0.0%0.3%1.7%45.3K-451.4K-8970.00108.23N/AN/A0014746
2012-03-28$48.27$44.0010.9%3.1%8.8%7.8%0.0%2.8%1.0%48.3K-426.4K-9230.00108.61N/AN/A0014746
2012-03-29$48.22$44.0010.9%3.1%8.8%7.8%10.4%2.0%0.6%48.5K-417.5K-9140.00112.46N/AN/A0714746
2012-03-30$48.47$46.009.0%2.6%8.9%5.5%0.0%2.0%3.9%29.1K-367.2K-1.1K0.00110.68N/AN/A7014753