VYM Options History — June 2012

In June 2012, VYM traded between $45.25 and $48.12. ATM implied volatility averaged 14.0%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.7% (HV 20d: 14.7%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2012-06-13: Highest Volume — 45 contracts
  • 2012-06-06: Largest IV drop — 29.4% change
  • 2012-06-01: Highest IV Rank — 17.4%
  • 2012-06-01: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.88$45.25$48.12$45.30$48.12
Max Pain$47.00$47.00$47.00$47.00$47.00
ATM IV14.0%10.7%18.8%18.8%12.2%
Expected Move4.3%3.5%5.4%5.4%3.5%
HV 20d14.7%10.9%17.8%11.3%16.7%
HV 60d12.2%10.9%14.0%11.0%14.0%
IV Rank11.6%7.5%17.4%17.4%9.3%
IV Percentile37.6%11.5%63.1%63.1%23.8%
Term Structure1.3%-1.0%4.3%0.4%1.1%
VWIV13.3%7.2%16.3%13.9%15.5%
Skew 25d5.1%1.6%8.6%4.6%1.9%
Skew 10d5.1%1.1%15.7%6.1%3.4%
Call IV 25d11.3%8.0%15.9%14.2%8.3%
Put IV 25d16.4%10.2%21.9%18.7%10.2%
Bid-Ask Spread %101.8293.05108.36104.70107.04
Gamma HHI0.330.240.470.450.32
Net GEX12.7K-15.7K46.7K-6.0K46.7K
Net DEX54.9K-205.8K261.1K221.2K-205.8K
Net VEX-1.9K-2.6K-1.3K-1.3K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.009.000.005.00
Total Volume11.85704500
Total OI289.476220396220396

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$45.30$47.0018.8%5.4%11.3%17.4%0.0%4.6%0.4%-6.0K221.2K-1.3K0.00104.70N/AN/A00120100
2012-06-04$45.25$47.0018.0%5.4%10.9%16.5%0.0%6.0%-0.0%-6.9K235.9K-1.3K0.0093.05N/AN/A010120100
2012-06-05$45.39$47.0016.5%5.1%11.1%14.6%13.9%5.4%0.8%-10.5K261.1K-1.4K0.0094.05N/AN/A10120110
2012-06-06$46.34$47.0011.7%4.7%13.8%8.7%0.0%6.9%0.8%-13.0K157.9K-1.6K0.00101.75N/AN/A00121110
2012-06-07$46.49$47.0010.7%4.6%13.7%7.5%14.1%7.9%1.6%-15.7K134.2K-1.6K0.20100.53N/AN/A51121110
2012-06-08$46.83$47.0011.7%4.0%13.9%8.7%14.0%8.6%3.1%-7.3K94.7K-1.7K0.00104.13N/AN/A20126111
2012-06-11$46.41$47.0014.5%5.0%14.2%12.2%0.0%8.4%1.1%-15.0K134.6K-1.6K0.00100.39N/AN/A10126111
2012-06-12$46.88$47.0012.7%4.4%14.4%10.0%11.5%7.2%0.6%-10.2K86.5K-1.6K0.0098.76N/AN/A10125111
2012-06-13$46.73$47.0015.1%4.6%14.3%12.9%16.3%7.3%1.1%-14.2K96.0K-1.6K0.32101.28N/AN/A3411126111
2012-06-14$47.29$47.0016.3%4.7%14.9%14.3%16.2%8.0%0.4%6.9K-25.7K-1.9K4.0098.96N/AN/A312153122
2012-06-15$47.68$47.0013.1%3.8%14.6%10.5%12.4%4.8%4.3%16.7K-72.1K-2.0K0.94100.79N/AN/A1615156133
2012-06-18$47.70$47.0012.7%3.6%14.4%10.0%12.5%5.7%1.2%24.8K-88.2K-2.1K0.0098.39N/AN/A90163120
2012-06-19$48.07$47.0013.1%3.8%14.3%10.5%0.0%1.8%2.0%31.9K-158.2K-2.2K0.35104.03N/AN/A269170120
2012-06-20$48.01$47.0012.9%3.7%14.4%10.3%12.8%4.8%1.4%37.2K-158.0K-2.4K0.00104.82N/AN/A150196129
2012-06-21$47.15$47.0014.1%4.0%16.0%11.7%13.0%2.9%3.5%32.6K-25.9K-2.3K9.00108.12N/AN/A19203129
2012-06-22$47.46$47.0012.7%3.6%16.0%10.0%7.2%2.2%2.1%46.2K-34.5K-2.2K0.00102.07N/AN/A022202138
2012-06-25$46.48$47.0015.7%4.5%17.8%13.7%0.0%5.2%0.2%24.0K202.4K-2.1K0.00102.14N/AN/A09198152
2012-06-26$46.69$47.0013.5%3.9%17.6%10.9%0.0%3.0%1.5%26.9K171.6K-2.2K0.00101.94N/AN/A120198161
2012-06-27$47.08$47.0013.7%3.9%17.2%11.2%0.0%1.6%0.6%35.8K60.9K-2.4K0.36102.89N/AN/A145210161
2012-06-28$47.14$47.0015.1%4.3%17.2%12.9%15.5%3.7%-1.0%35.7K64.2K-2.5K5.00108.36N/AN/A15224166
2012-06-29$48.12$47.0012.2%3.5%16.7%9.3%0.0%1.9%1.1%46.7K-205.8K-2.6K0.00107.04N/AN/A00225171