VYM Options History — July 2012

In July 2012, VYM traded between $47.53 and $49.33. ATM implied volatility averaged 12.7%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 1.9% (HV 20d: 14.6%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.16.

Notable Days

  • 2012-07-20: Highest Volume — 56 contracts
  • 2012-07-18: Largest IV spike — 244.3% change
  • 2012-07-18: Highest IV Rank — 47.4%
  • 2012-07-18: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.31$47.53$49.33$48.26$49.15
Max Pain$47.86$47.00$48.00$47.00$48.00
ATM IV12.7%9.2%43.5%10.8%11.8%
Expected Move3.8%2.6%12.5%3.1%3.4%
HV 20d14.6%12.3%16.6%16.6%12.4%
HV 60d13.5%13.0%14.1%14.0%13.9%
IV Rank10.0%5.7%47.4%7.7%9.0%
IV Percentile20.0%4.4%90.5%11.5%24.2%
Term Structure1.1%-20.3%4.8%3.7%1.1%
VWIV10.6%5.0%13.9%9.0%5.0%
Skew 25d3.3%-2.1%6.8%3.9%6.0%
Skew 10d3.0%-2.7%6.9%4.4%6.9%
Call IV 25d10.8%5.1%50.5%7.4%5.1%
Put IV 25d14.0%9.6%50.7%11.3%11.1%
Bid-Ask Spread %110.1498.97157.23109.44104.64
Gamma HHI0.330.270.450.340.28
Net GEX54.1K25.5K90.7K47.8K55.8K
Net DEX-383.0K-699.4K-66.6K-259.7K-661.2K
Net VEX-2.5K-3.0K-2.2K-2.5K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.070.000.67
Total Volume12.5240561110
Total OI396.333305461396379

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$48.26$47.0010.8%3.1%16.6%7.7%9.0%3.9%3.7%47.8K-259.7K-2.5K0.00109.44N/AN/A110225171
2012-07-03$48.48$47.0010.8%3.1%16.6%7.7%10.8%4.3%1.1%46.4K-358.9K-2.4K0.00106.20N/AN/A50226171
2012-07-05$48.28$47.0011.0%3.1%15.5%7.9%0.0%3.8%1.8%44.2K-278.8K-2.4K0.00107.36N/AN/A00221171
2012-07-06$47.91$48.0010.9%3.8%15.9%7.8%0.0%3.8%1.9%53.4K-167.8K-2.4K0.00100.44N/AN/A00221171
2012-07-09$47.87$48.0011.0%3.8%15.7%7.9%0.0%6.8%1.5%62.6K-132.3K-2.3K0.00103.16N/AN/A140221171
2012-07-10$47.66$48.0010.3%3.8%15.4%7.1%0.0%6.5%2.6%69.2K-127.2K-2.3K0.00115.44N/AN/A00235171
2012-07-11$47.65$48.0010.8%3.7%15.1%7.7%0.0%5.6%2.9%70.4K-105.2K-2.3K0.00104.80N/AN/A00235171
2012-07-12$47.53$48.0013.2%3.8%15.0%10.5%13.9%5.3%1.8%73.3K-66.6K-2.2K0.0099.81N/AN/A30235171
2012-07-13$48.25$48.0012.1%3.5%15.4%9.3%0.0%1.3%3.4%68.6K-315.5K-2.2K0.0099.36N/AN/A520238171
2012-07-16$48.14$48.0013.8%4.0%15.2%11.3%0.0%1.3%1.3%90.7K-447.3K-2.5K0.00103.53N/AN/A00290171
2012-07-17$48.50$48.0012.6%3.6%15.4%9.9%0.0%0.2%2.4%66.5K-595.4K-2.4K0.13109.30N/AN/A152290171
2012-07-18$48.82$48.0043.5%12.5%15.3%47.4%0.0%0.2%-20.3%34.7K-564.9K-2.5K0.00157.23N/AN/A00285171
2012-07-19$48.84$48.0011.6%3.3%15.3%8.7%0.0%2.5%2.6%25.5K-699.4K-2.3K0.00112.90N/AN/A140285171
2012-07-20$48.54$48.0010.2%2.9%13.9%7.0%0.0%1.7%3.4%59.0K-576.0K-2.3K0.00116.60N/AN/A560285171
2012-07-23$48.08$48.0010.4%3.0%14.3%7.2%9.6%4.9%2.0%39.4K-358.7K-2.5K1.07107.51N/AN/A1415203102
2012-07-24$47.65$48.009.2%2.6%12.4%5.7%0.0%3.5%4.8%34.8K-256.4K-2.9K0.00110.47N/AN/A02217117
2012-07-25$47.74$48.0011.4%3.3%12.3%8.5%11.3%2.9%2.0%35.9K-291.0K-2.8K0.00110.86N/AN/A40217119
2012-07-26$48.53$48.009.8%2.8%13.2%6.5%0.0%2.0%0.9%46.0K-450.0K-2.8K0.00117.22N/AN/A250221119
2012-07-27$49.27$48.0012.0%3.4%14.1%9.1%12.0%4.3%-0.8%50.4K-636.6K-3.0K0.33117.81N/AN/A155246119
2012-07-30$49.33$48.009.9%2.8%12.3%6.6%13.3%-2.1%3.8%60.8K-694.9K-2.9K0.0098.97N/AN/A10259119
2012-07-31$49.15$48.0011.8%3.4%12.4%9.0%5.0%6.0%1.1%55.8K-661.2K-3.0K0.67104.64N/AN/A64260119