VYM Options History — August 2012

In August 2012, VYM traded between $48.69 and $49.99. ATM implied volatility averaged 9.1%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 1.7% (HV 20d: 10.8%). Max pain ranged from $48.00 to $49.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.21.

Notable Days

  • 2012-08-24: Highest Volume — 1,250 contracts
  • 2012-08-15: Largest IV spike — 30.9% change
  • 2012-08-15: Highest IV Rank — 8.9%
  • 2012-08-30: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.60$48.69$49.99$49.09$49.53
Max Pain$48.87$48.00$49.00$48.00$49.00
ATM IV9.1%7.2%11.5%11.2%9.1%
Expected Move2.8%2.3%3.3%3.2%2.6%
HV 20d10.8%5.3%13.4%12.4%5.3%
HV 60d13.5%12.2%14.2%13.9%12.2%
IV Rank5.9%3.3%8.9%8.2%5.9%
IV Percentile8.4%0.4%26.2%17.5%9.1%
Term Structure0.7%-1.1%3.1%0.6%3.1%
VWIV10.4%8.1%13.3%8.2%10.9%
Skew 25d1.9%-1.1%3.9%1.7%3.2%
Skew 10d2.6%1.6%4.4%3.4%3.1%
Call IV 25d7.9%6.5%9.9%9.0%7.4%
Put IV 25d9.8%8.4%11.9%10.6%10.7%
Bid-Ask Spread %110.72105.04121.85116.85107.20
Gamma HHI0.400.260.870.270.87
Net GEX-109.9K-778.6K66.1K60.8K-778.6K
Net DEX87.6K-922.9K3.7M-651.2K3.3M
Net VEX-5.4K-16.2K-2.1K-3.1K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.670.000.00
Total Volume84.04301,25005
Total OI767.8263402,2403892,240

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$49.09$48.0011.2%3.2%12.4%8.2%0.0%1.7%0.6%60.8K-651.2K-3.1K0.00116.85N/AN/A00266123
2012-08-02$48.69$48.009.8%2.8%12.7%6.5%8.2%-1.1%1.1%63.1K-548.1K-3.1K0.00118.57N/AN/A015266123
2012-08-03$49.46$48.0010.1%2.9%13.4%6.9%13.3%1.7%-1.1%55.7K-717.4K-3.0K0.00119.64N/AN/A20266138
2012-08-06$49.51$49.007.5%3.0%13.3%3.7%0.0%3.9%-0.3%61.5K-763.9K-2.8K0.00106.16N/AN/A05264138
2012-08-07$49.57$49.007.2%2.9%13.1%3.3%11.2%0.8%0.3%63.3K-780.2K-2.8K0.00106.44N/AN/A02264139
2012-08-08$49.70$49.008.5%2.9%13.1%4.9%0.0%1.1%0.7%62.7K-797.8K-2.6K0.00110.31N/AN/A00264140
2012-08-09$49.69$49.007.3%2.7%13.0%3.6%0.0%1.8%0.6%63.6K-812.5K-2.6K0.00105.32N/AN/A00264140
2012-08-10$49.84$49.007.5%3.0%12.1%3.9%0.0%1.5%0.7%62.5K-832.1K-2.5K0.00116.26N/AN/A00264140
2012-08-13$49.73$49.009.4%2.7%12.1%6.2%0.0%1.9%0.6%65.9K-833.8K-2.5K0.00106.24N/AN/A00264140
2012-08-14$49.80$49.008.8%2.8%11.9%5.5%0.0%1.9%0.8%63.4K-840.4K-2.5K0.00110.25N/AN/A20264140
2012-08-15$49.78$49.0011.5%2.4%11.8%8.9%0.0%2.3%0.7%66.1K-833.2K-2.5K0.00121.45N/AN/A00265140
2012-08-16$49.99$49.008.6%2.5%11.8%5.3%0.0%2.4%2.2%59.5K-903.6K-2.3K0.00109.91N/AN/A00265140
2012-08-17$49.98$49.008.3%2.4%11.5%4.9%8.1%2.3%1.7%57.0K-922.9K-2.3K0.00107.59N/AN/A10265140
2012-08-20$49.94$49.008.6%2.5%10.8%5.3%0.0%3.0%-0.7%46.1K-724.1K-2.1K0.00105.04N/AN/A140221119
2012-08-21$49.76$49.009.0%2.6%10.3%5.7%10.1%2.1%0.4%50.2K-698.5K-2.4K1.67106.45N/AN/A1220235119
2012-08-22$49.64$49.008.2%2.3%10.4%4.7%0.0%2.0%1.2%45.7K-658.0K-2.7K0.00107.70N/AN/A00247139
2012-08-23$49.27$49.009.6%2.7%9.4%6.5%0.0%2.5%1.3%44.3K-574.7K-2.8K0.00112.66N/AN/A00247139
2012-08-24$49.60$49.0010.4%3.0%8.1%7.6%0.0%0.0%-0.6%44.3K-604.7K-2.7K0.00121.85N/AN/A01,250247139
2012-08-27$49.60$49.009.3%2.7%8.1%6.1%0.0%2.2%0.6%-502.8K2.0M-11.9K0.00106.03N/AN/A06002471,389
2012-08-28$49.61$49.009.1%2.6%7.9%5.9%0.0%2.0%0.1%-771.3K3.3M-16.2K0.00106.89N/AN/A102461,989
2012-08-29$49.63$49.009.5%2.7%7.9%6.5%0.0%1.7%1.3%-738.9K3.2M-16.0K0.00110.80N/AN/A302471,989
2012-08-30$49.34$49.0011.3%3.3%7.6%8.8%11.4%2.9%0.9%-772.4K3.7M-16.2K0.00107.05N/AN/A012501,989
2012-08-31$49.53$49.009.1%2.6%5.3%5.9%10.9%3.2%3.1%-778.6K3.3M-15.9K0.00107.20N/AN/A502501,990