VYM Options History — December 2012

In December 2012, VYM traded between $48.63 and $50.72. ATM implied volatility averaged 12.2%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 2.6% (HV 20d: 9.7%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.50.

Notable Days

  • 2012-12-11: Highest Volume — 101 contracts
  • 2012-12-24: Largest IV spike — 17.3% change
  • 2012-12-28: Highest IV Rank — 18.1%
  • 2012-12-28: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.80$48.63$50.72$49.47$49.38
Max Pain$49.10$48.00$50.00$48.00$50.00
ATM IV12.2%10.1%15.1%13.6%13.0%
Expected Move3.4%2.7%4.3%3.9%3.7%
HV 20d9.7%7.6%13.4%13.4%10.4%
HV 60d10.8%10.5%11.5%11.4%11.5%
IV Rank11.6%6.6%18.1%14.8%13.3%
IV Percentile54.3%21.0%87.3%72.6%69.4%
Term Structure0.7%-1.9%1.9%-1.9%0.2%
VWIV13.0%11.1%16.5%13.3%12.9%
Skew 25d3.9%1.1%5.4%3.6%1.1%
Skew 10d5.3%2.2%9.6%2.5%2.6%
Call IV 25d10.1%8.5%13.5%10.8%10.3%
Put IV 25d14.0%11.5%17.8%14.4%11.5%
Bid-Ask Spread %48.2132.5777.0548.7077.05
Gamma HHI0.470.270.760.480.49
Net GEX-643.4K-1.9M493.9K-1.9M85.5K
Net DEX589.5K-1.6M4.1M4.0M-388.4K
Net VEX-10.3K-21.5K-5.1K-21.5K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.007.100.007.10
Total Volume15.50101081
Total OI5,181.456446,7546,647690

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$49.47$48.0013.6%3.9%13.4%14.8%0.0%3.6%-1.9%-1.9M4.0M-21.5K0.0048.70N/AN/A005076,140
2012-12-04$49.42$48.0013.1%3.8%13.4%13.5%13.3%4.2%-0.3%-1.9M4.1M-21.3K0.0047.27N/AN/A205076,140
2012-12-05$49.66$48.0012.3%3.5%13.2%11.8%0.0%3.5%-0.5%-1.6M2.2M-16.9K0.0045.57N/AN/A005096,140
2012-12-06$49.73$48.0012.0%3.4%10.8%11.0%0.0%5.0%0.5%-1.5M2.4M-17.1K0.0037.97N/AN/A005096,140
2012-12-07$49.99$49.0011.4%2.7%10.1%9.7%0.0%3.7%1.6%-1.3M1.5M-14.7K0.0057.78N/AN/A005096,140
2012-12-10$50.04$49.0011.8%3.3%10.1%10.6%0.0%3.5%1.0%-1.1M980.0K-12.5K0.0041.88N/AN/A005096,140
2012-12-11$50.27$49.0012.6%3.3%10.1%12.4%0.0%3.8%1.3%-795.5K296.4K-10.4K0.1149.22N/AN/A91105096,140
2012-12-12$50.31$49.0012.5%3.3%10.0%12.1%13.2%3.4%1.5%-651.4K-89.5K-10.3K0.0051.24N/AN/A205986,145
2012-12-13$50.05$49.0011.4%3.3%8.6%9.7%12.0%3.4%1.6%-912.8K470.3K-10.9K0.0047.65N/AN/A805966,145
2012-12-14$49.94$49.0011.5%3.3%8.5%9.8%0.0%3.4%1.5%-995.3K564.4K-10.6K0.0049.83N/AN/A006046,145
2012-12-17$50.34$49.0011.4%3.3%8.7%9.7%0.0%4.3%1.5%-418.7K-577.8K-7.6K0.0045.65N/AN/A006046,145
2012-12-18$50.72$49.0010.1%2.9%7.6%6.6%0.0%4.4%1.8%-776.7K336.4K-9.5K0.0053.45N/AN/A1006046,145
2012-12-19$50.32$49.0010.5%3.0%8.4%7.7%0.0%2.0%1.9%493.9K-1.6M-5.2K0.0051.20N/AN/A026096,145
2012-12-20$50.07$49.0011.9%3.4%8.7%10.9%12.0%3.9%1.0%49.5K-763.2K-5.6K4.0045.84N/AN/A10404516,147
2012-12-21$49.67$50.0011.0%3.2%8.2%8.8%11.1%5.3%1.4%14.2K-431.3K-5.5K0.2553.63N/AN/A414516,187
2012-12-24$49.48$50.0012.9%3.7%8.3%13.2%0.0%5.0%0.2%87.2K-465.0K-5.4K2.0042.80N/AN/A1020455189
2012-12-26$49.28$50.0013.3%3.8%8.3%13.9%13.1%4.9%0.1%83.5K-406.9K-5.3K0.0049.75N/AN/A04465209
2012-12-27$49.22$50.0013.4%3.8%7.7%14.1%0.0%5.4%0.2%82.7K-369.1K-5.3K0.0035.19N/AN/A05465213
2012-12-28$48.63$50.0015.1%4.3%8.7%18.1%16.5%4.3%-1.1%63.5K-159.2K-5.1K0.0032.57N/AN/A010465218
2012-12-31$49.38$50.0013.0%3.7%10.4%13.3%12.9%1.1%0.2%85.5K-388.4K-5.1K7.1077.05N/AN/A1071465225