VYM Options History — April 2013

In April 2013, VYM traded between $54.55 and $56.46. ATM implied volatility averaged 9.5%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 0.4% (HV 20d: 9.9%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 4.95.

Notable Days

  • 2013-04-15: Highest Volume — 60 contracts
  • 2013-04-15: Largest IV spike — 37.6% change
  • 2013-04-18: Highest IV Rank — 17.3%
  • 2013-04-18: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.38$54.55$56.46$54.77$56.46
Max Pain$54.68$54.00$55.00$55.00$55.00
ATM IV9.5%7.5%11.7%9.0%10.0%
Expected Move2.8%2.4%3.4%2.6%2.9%
HV 20d9.9%6.1%12.7%6.2%12.7%
HV 60d9.1%7.8%10.1%7.8%9.9%
IV Rank11.6%6.3%17.3%10.2%12.8%
IV Percentile31.6%6.3%64.3%21.0%39.7%
Term Structure0.8%-0.0%1.7%1.3%-0.0%
VWIV10.6%8.2%13.4%8.9%11.9%
Skew 25d3.8%0.9%5.8%2.5%5.8%
Skew 10d1.1%-7.1%8.3%2.6%-6.5%
Call IV 25d7.6%5.3%10.7%7.5%5.3%
Put IV 25d11.3%9.8%14.7%10.0%11.1%
Bid-Ask Spread %42.2828.7890.5128.7836.90
Gamma HHI0.200.150.270.160.24
Net GEX-44.1K-110.4K19.8K-85.8K19.8K
Net DEX-90.0K-540.3K276.6K203.9K-540.3K
Net VEX-3.9K-4.7K-3.1K-3.8K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.950.0059.000.030.00
Total Volume14.864060314
Total OI673.955620751620660

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$54.77$55.009.0%2.6%6.2%10.2%0.0%2.5%1.3%-85.8K203.9K-3.8K0.0328.78N/AN/A30181539
2013-04-02$54.98$55.008.8%2.5%6.1%9.8%0.0%3.0%0.1%-62.8K17.6K-3.7K0.0031.16N/AN/A03111539
2013-04-03$54.55$55.009.2%2.6%6.3%10.7%0.0%0.9%0.0%-91.9K205.1K-4.3K0.0039.04N/AN/A30111542
2013-04-04$54.86$55.009.6%2.8%6.6%11.8%0.0%2.8%0.2%-81.4K157.4K-4.2K4.1037.34N/AN/A1041109542
2013-04-05$54.65$54.008.8%2.8%6.8%9.8%0.0%5.2%1.1%-85.7K168.1K-4.3K0.0041.66N/AN/A00119543
2013-04-08$54.94$54.008.8%2.8%7.0%9.9%0.0%5.7%1.4%-70.8K66.7K-4.0K4.0047.17N/AN/A520119543
2013-04-09$55.15$54.009.0%2.8%7.0%10.3%8.9%3.7%1.4%-63.9K-16.3K-3.9K0.0046.66N/AN/A050124558
2013-04-10$55.78$54.007.5%2.5%8.0%6.3%0.0%4.3%1.0%-36.3K-171.4K-3.4K0.0050.43N/AN/A10124558
2013-04-11$55.94$54.008.6%2.5%8.0%9.3%0.0%5.1%1.7%-15.6K-221.5K-3.2K0.0042.47N/AN/A00123558
2013-04-12$55.87$54.008.5%2.4%7.9%9.0%9.9%4.2%1.6%-16.7K-203.3K-3.1K0.0044.19N/AN/A10123558
2013-04-15$54.71$54.0011.7%3.4%11.0%17.3%12.4%3.1%0.7%-107.6K119.2K-4.1K59.0034.05N/AN/A159124558
2013-04-16$55.35$55.0010.5%3.0%11.6%14.3%12.0%4.2%0.8%-74.5K27.4K-4.1K0.0041.53N/AN/A06123616
2013-04-17$54.76$55.0011.1%3.2%12.3%15.6%0.0%3.4%1.1%-110.4K238.7K-4.7K0.0039.05N/AN/A100123618
2013-04-18$54.62$55.0011.7%3.4%12.1%17.3%13.4%4.1%0.5%-100.4K276.6K-4.7K0.0042.88N/AN/A02133618
2013-04-19$55.18$55.0010.4%3.0%12.4%13.9%10.5%4.0%0.6%-47.3K24.1K-4.2K0.1144.23N/AN/A455133618
2013-04-22$55.45$55.0010.2%2.9%12.5%13.5%10.2%3.3%0.9%-3.9K-202.7K-4.0K0.0039.00N/AN/A50167464
2013-04-23$55.95$55.009.4%2.7%12.7%11.3%0.0%3.4%0.3%11.7K-362.6K-3.6K0.0090.51N/AN/A110172464
2013-04-24$55.88$55.008.3%2.4%12.6%8.4%8.2%3.1%1.5%18.6K-400.1K-3.7K2.0042.76N/AN/A12183464
2013-04-25$56.06$55.009.3%2.7%12.6%10.9%10.2%3.7%0.5%15.7K-436.1K-3.6K0.0036.59N/AN/A07184466
2013-04-26$56.07$55.009.3%2.7%12.6%11.0%9.3%4.0%0.6%8.1K-415.7K-3.7K0.0044.04N/AN/A10184473
2013-04-29$56.40$55.009.8%2.8%12.7%12.4%9.9%3.3%0.8%10.9K-513.7K-3.3K0.0029.80N/AN/A30185473
2013-04-30$56.46$55.0010.0%2.9%12.7%12.8%11.9%5.8%-0.0%19.8K-540.3K-3.2K0.0036.90N/AN/A04187473