VYM Options History — October 2012

In October 2012, VYM traded between $49.69 and $51.32. ATM implied volatility averaged 11.1%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.1% (HV 20d: 9.0%). Max pain ranged from $49.00 to $52.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 31.77.

Notable Days

  • 2012-10-15: Highest Volume — 550 contracts
  • 2012-10-31: Largest IV spike — 16.0% change
  • 2012-10-31: Highest IV Rank — 9.4%
  • 2012-10-31: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.54$49.69$51.32$50.54$49.90
Max Pain$51.33$49.00$52.00$49.00$52.00
ATM IV11.1%8.8%14.1%8.8%14.1%
Expected Move3.2%2.5%4.0%2.5%4.0%
HV 20d9.0%7.1%10.6%9.6%10.4%
HV 60d9.5%8.7%9.9%9.9%8.7%
IV Rank5.5%2.9%9.4%5.6%9.4%
IV Percentile34.0%6.3%69.8%6.3%69.8%
Term Structure0.9%-1.3%1.7%1.7%-1.3%
VWIV12.0%9.4%14.1%10.4%14.1%
Skew 25d4.0%2.5%6.1%3.2%2.9%
Skew 10d6.1%2.3%9.6%6.6%2.3%
Call IV 25d9.2%6.8%11.8%9.5%10.1%
Put IV 25d13.2%11.4%15.7%12.7%13.0%
Bid-Ask Spread %40.8823.31101.05101.0573.16
Gamma HHI0.680.460.920.500.85
Net GEX-1.3M-2.1M-694.8K-1.7M-1.4M
Net DEX3.7M1.3M6.2M4.0M5.4M
Net VEX-14.3K-18.8K-11.1K-18.3K-14.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio31.770.00274.000.800.72
Total Volume54.7620550115
Total OI4,002.9052,3604,9984,3602,759

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$50.54$49.008.8%2.5%9.6%5.6%0.0%3.2%1.7%-1.7M4.0M-18.3K0.00101.05N/AN/A012434,117
2012-10-02$50.60$49.0010.0%2.9%9.6%3.9%0.0%3.6%0.6%-1.6M4.1M-18.8K0.0026.93N/AN/A002434,117
2012-10-03$50.73$49.009.3%2.7%9.6%2.9%0.0%3.7%1.6%-1.5M3.6M-17.6K0.8023.31N/AN/A15122434,117
2012-10-04$51.12$49.0010.5%3.0%7.7%4.5%10.4%4.6%0.8%-1.3M2.1M-13.5K7.5031.58N/AN/A2152584,129
2012-10-05$51.26$50.009.4%3.1%7.8%3.0%9.4%3.8%1.4%-694.8K1.3M-11.1K0.0053.20N/AN/A0502604,144
2012-10-08$51.18$52.0010.0%3.2%7.7%3.8%0.0%4.2%0.7%-1.1M1.8M-12.0K0.0041.32N/AN/A0152604,194
2012-10-09$50.75$52.0010.6%3.4%8.3%4.7%0.0%2.9%0.2%-1.4M3.2M-15.1K0.0034.32N/AN/A052604,209
2012-10-10$50.32$52.0011.4%3.5%8.9%5.8%11.6%2.5%0.9%-1.8M4.2M-16.1K1.0041.30N/AN/A222604,214
2012-10-11$50.35$52.0012.0%3.4%7.1%6.5%0.0%4.8%1.1%-1.7M3.8M-15.0K0.0046.12N/AN/A002604,216
2012-10-12$50.18$52.0011.3%3.2%7.1%5.5%10.4%3.3%1.5%-2.1M4.3M-14.8K0.0044.07N/AN/A012604,216
2012-10-15$50.59$52.0010.2%2.9%7.8%4.0%12.5%5.1%1.3%-1.2M2.7M-11.9K274.0038.58N/AN/A25482604,217
2012-10-16$50.97$52.0010.7%3.1%8.2%4.7%0.0%3.9%0.9%-1.1M2.5M-13.0K0.0034.18N/AN/A002624,715
2012-10-17$51.29$52.0011.2%3.2%8.5%5.5%0.0%4.0%1.3%-957.6K1.9M-12.1K0.0031.17N/AN/A2102624,715
2012-10-18$51.32$52.0010.9%3.1%8.4%5.1%0.0%3.6%1.5%-978.0K1.7M-11.5K0.0034.29N/AN/A002834,715
2012-10-19$50.54$52.0010.6%3.0%10.1%4.6%0.0%6.1%1.3%-1.2M3.5M-13.9K0.0031.37N/AN/A802834,715
2012-10-22$50.44$52.0012.3%3.5%9.8%6.9%0.0%5.5%0.7%-1.2M4.3M-13.1K0.1032.03N/AN/A1011372,223
2012-10-23$49.78$52.0013.0%3.7%10.6%7.9%13.8%3.9%0.7%-1.2M5.9M-13.0K1.8334.85N/AN/A24441472,224
2012-10-24$49.69$52.0012.3%3.5%10.6%6.9%14.0%5.9%0.6%-1.3M6.2M-12.8K0.7242.30N/AN/A2071501562,248
2012-10-25$49.89$52.0012.5%3.6%10.5%7.3%0.0%4.0%-0.0%-1.4M5.6M-16.2K0.0032.38N/AN/A003632,398
2012-10-26$49.85$52.0012.1%3.5%10.5%6.7%0.0%2.8%1.0%-1.3M5.5M-16.0K0.0030.87N/AN/A003632,396
2012-10-31$49.90$52.0014.1%4.0%10.4%9.4%14.1%2.9%-1.3%-1.4M5.4M-14.6K0.0073.16N/AN/A0153632,396