VYM Options History — May 2012

In May 2012, VYM traded between $45.92 and $48.68. ATM implied volatility averaged 14.2%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.9% (HV 20d: 10.2%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2012-05-01: Highest Volume — 30 contracts
  • 2012-05-09: Largest IV spike — 30.4% change
  • 2012-05-18: Highest IV Rank — 15.1%
  • 2012-05-18: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.01$45.92$48.68$48.68$46.20
Max Pain$47.82$47.00$49.00$49.00$47.00
ATM IV14.2%9.8%16.9%9.8%15.4%
Expected Move4.1%2.8%4.8%2.8%4.4%
HV 20d10.2%8.3%13.0%12.5%9.6%
HV 60d9.9%9.5%10.6%9.5%10.3%
IV Rank11.8%6.5%15.1%6.5%13.3%
IV Percentile40.8%8.7%58.7%8.7%51.2%
Term Structure0.8%-0.4%1.9%1.6%1.0%
VWIV13.7%10.5%16.3%10.5%16.3%
Skew 25d4.7%1.6%8.3%2.9%2.4%
Skew 10d5.4%1.3%9.6%2.4%1.3%
Call IV 25d10.7%7.4%14.0%9.7%10.2%
Put IV 25d15.4%11.9%19.2%12.6%12.6%
Bid-Ask Spread %102.2687.70124.45122.43111.15
Gamma HHI0.330.210.470.250.47
Net GEX5.4K-8.8K24.6K23.8K-8.8K
Net DEX66.5K-141.3K186.2K-141.3K186.2K
Net VEX-1.3K-1.4K-1.1K-1.1K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.002.002.000.00
Total Volume5.6820303020
Total OI175.273125200125200

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$48.68$49.009.8%2.8%12.5%6.5%10.5%2.9%1.6%23.8K-141.3K-1.1K2.00122.43N/AN/A10208936
2012-05-02$48.55$49.0010.5%3.0%12.4%7.3%0.0%1.8%0.7%24.6K-101.9K-1.4K0.00113.35N/AN/A009956
2012-05-03$48.31$49.0012.9%3.7%12.3%10.2%0.0%3.5%0.1%21.9K-89.7K-1.4K0.00124.45N/AN/A009956
2012-05-04$47.75$49.0012.5%3.8%13.0%9.7%0.0%4.0%0.6%16.7K-30.4K-1.4K0.0087.70N/AN/A099956
2012-05-07$47.71$49.0012.9%3.8%12.4%10.3%0.0%7.1%0.6%15.4K-17.5K-1.4K0.0094.63N/AN/A009961
2012-05-08$47.58$49.0011.8%3.9%10.9%8.9%0.0%8.3%0.3%13.7K491-1.3K0.0096.36N/AN/A019961
2012-05-09$47.24$49.0015.4%4.3%11.0%13.3%0.0%5.7%0.7%10.7K22.8K-1.3K0.0093.88N/AN/A009962
2012-05-10$47.48$49.0014.8%4.3%10.6%12.6%11.0%5.8%0.2%11.1K8.7K-1.3K0.0092.43N/AN/A109962
2012-05-11$47.35$48.0014.6%4.2%10.1%12.3%13.9%6.3%0.8%11.0K15.8K-1.3K0.0095.89N/AN/A7010062
2012-05-14$46.94$48.0014.8%4.2%10.4%12.6%15.0%4.8%0.9%10.2K34.0K-1.3K0.0090.76N/AN/A01110762
2012-05-15$46.73$47.0015.6%4.5%9.2%13.5%15.2%3.1%-0.4%4.3K83.7K-1.3K2.0096.18N/AN/A1210773
2012-05-16$46.64$47.0015.4%4.4%9.2%13.3%0.0%4.0%0.6%3.9K81.8K-1.3K0.0095.91N/AN/A0010875
2012-05-17$46.20$47.0016.8%4.8%9.6%15.0%0.0%5.0%0.8%2.9K116.3K-1.2K0.00102.41N/AN/A0210875
2012-05-18$45.92$47.0016.9%4.8%9.2%15.1%16.3%6.3%-0.3%2.2K134.0K-1.1K0.00102.96N/AN/A02610875
2012-05-21$46.31$47.0014.1%4.0%9.6%11.7%0.0%7.0%1.8%-7.3K179.7K-1.3K1.3389.52N/AN/A3490100
2012-05-22$46.39$47.0016.2%4.6%9.3%14.2%0.0%7.0%0.6%-5.0K170.1K-1.3K0.0098.46N/AN/A2093100
2012-05-23$46.29$47.0014.3%4.1%8.6%11.9%0.0%4.3%1.6%-6.9K178.9K-1.3K0.00100.53N/AN/A0095100
2012-05-24$46.54$47.0013.4%3.9%8.4%10.9%0.0%1.9%1.9%-5.6K153.4K-1.3K0.00107.37N/AN/A0095100
2012-05-25$46.43$47.0014.2%4.1%8.3%11.8%0.0%1.6%1.5%-7.1K162.4K-1.3K0.00111.99N/AN/A3095100
2012-05-29$46.81$47.0012.9%3.7%9.1%10.2%0.0%2.9%1.5%-5.1K134.9K-1.3K0.00115.01N/AN/A1098100
2012-05-30$46.23$47.0016.2%4.6%9.6%14.2%0.0%7.0%0.8%-8.0K180.8K-1.3K0.00106.30N/AN/A2098100
2012-05-31$46.20$47.0015.4%4.4%9.6%13.3%0.0%2.4%1.0%-8.8K186.2K-1.2K0.00111.15N/AN/A200100100