VYM Options History — May 2013

In May 2013, VYM traded between $55.89 and $58.42. ATM implied volatility averaged 9.6%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 0.7% (HV 20d: 10.3%). Max pain ranged from $54.00 to $58.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 9.65.

Notable Days

  • 2013-05-20: Highest Volume — 6,151 contracts
  • 2013-05-15: Largest IV spike — 70.2% change
  • 2013-05-15: Highest IV Rank — 21.6%
  • 2013-05-24: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.42$55.89$58.42$55.89$56.87
Max Pain$56.05$54.00$58.00$55.00$58.00
ATM IV9.6%5.6%13.4%10.0%12.2%
Expected Move2.8%2.2%3.6%2.9%3.5%
HV 20d10.3%8.1%13.0%12.9%10.3%
HV 60d9.9%9.4%10.3%9.9%10.1%
IV Rank11.9%1.4%21.6%12.9%18.6%
IV Percentile39.1%1.2%85.3%41.3%79.0%
Term Structure0.6%-2.1%2.2%-0.1%0.4%
VWIV11.0%9.7%12.6%10.1%10.3%
Skew 25d3.0%-5.9%5.3%3.5%1.3%
Skew 10d1.1%-16.5%8.3%-3.0%0.4%
Call IV 25d8.2%5.7%15.0%7.2%10.3%
Put IV 25d11.3%9.1%14.1%10.7%11.6%
Bid-Ask Spread %58.4927.5990.0927.5948.86
Gamma HHI0.410.120.960.240.96
Net GEX-1.2M-4.8M31.6K12.0K-4.8M
Net DEX3.1M-865.8K17.4M-401.8K17.4M
Net VEX-13.2K-41.1K-2.5K-3.6K-39.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.650.0098.210.331.00
Total Volume302.09106,151410
Total OI2,541.7736607,0726607,072

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$55.89$55.0010.0%2.9%12.9%12.9%10.1%3.5%-0.1%12.0K-401.8K-3.6K0.3327.59N/AN/A31187473
2013-05-02$56.26$55.009.9%2.8%12.9%12.6%0.0%4.7%0.4%16.2K-492.5K-3.4K0.0037.98N/AN/A10190474
2013-05-03$56.67$55.007.8%2.2%13.0%7.2%0.0%-5.9%1.4%9.9K-645.7K-2.9K0.0032.65N/AN/A80191474
2013-05-06$56.59$54.006.5%2.6%12.9%3.6%0.0%4.8%-0.0%13.3K-634.0K-2.9K0.0081.38N/AN/A20194474
2013-05-07$56.95$54.007.3%2.5%13.0%5.8%0.0%5.1%0.2%681-719.7K-2.6K0.0079.99N/AN/A05196474
2013-05-08$57.07$54.008.1%2.5%12.5%8.0%0.0%2.2%1.3%2.9K-736.9K-2.5K0.0076.79N/AN/A30194474
2013-05-09$56.82$54.008.5%2.6%12.7%9.0%0.0%1.9%0.6%4.7K-697.1K-2.6K0.0062.71N/AN/A70194474
2013-05-10$56.96$54.005.6%2.6%12.6%1.4%11.0%2.5%1.2%-2.0K-700.8K-2.6K3.7144.93N/AN/A1452193474
2013-05-13$56.98$56.009.1%2.7%9.6%10.5%0.0%2.8%1.0%-24.8K-658.7K-3.0K0.0041.72N/AN/A00202526
2013-05-14$57.60$56.007.8%2.6%9.5%7.3%0.0%4.1%2.2%-15.5K-757.7K-2.6K1.8275.04N/AN/A1120202526
2013-05-15$58.02$56.0013.4%2.6%8.4%21.6%10.5%3.9%1.2%-10.5K-782.7K-2.6K1.2549.70N/AN/A1620212544
2013-05-16$57.85$57.008.9%2.6%8.5%10.0%0.0%3.4%1.4%-14.7K-770.5K-2.7K0.0549.69N/AN/A201222564
2013-05-17$58.38$57.009.6%2.7%8.4%11.8%9.7%4.3%0.8%-3.5K-865.8K-2.8K0.0976.68N/AN/A111235565
2013-05-20$58.32$57.0010.2%2.9%8.4%13.4%12.6%5.3%-0.0%8.8K-565.6K-2.7K98.2156.85N/AN/A626,089184490
2013-05-21$58.42$57.009.7%2.8%8.1%12.0%11.5%4.7%1.4%31.6K-213.4K-3.5K5.5664.39N/AN/A950246579
2013-05-22$58.07$57.0010.5%3.0%8.5%14.1%11.5%2.2%0.7%-1.4M3.5M-16.1K65.5063.01N/AN/A21312512,744
2013-05-23$57.92$57.0010.4%3.0%8.6%14.0%12.0%3.8%0.8%-4.0M11.4M-41.1K3.5763.21N/AN/A7252516,760
2013-05-24$57.91$57.0012.6%3.6%8.6%19.7%0.0%5.3%-2.1%-3.4M11.8M-41.1K10.0090.09N/AN/A1102546,785
2013-05-28$58.16$57.0011.1%3.2%8.6%15.6%11.1%2.8%0.2%-3.7M9.5M-34.9K0.1358.74N/AN/A3042556,795
2013-05-29$57.63$58.0011.3%3.2%9.4%16.3%0.0%3.1%-0.1%-4.2M12.8M-38.9K1.7147.38N/AN/A7122556,799
2013-05-30$57.80$58.0011.1%3.2%8.4%15.8%0.0%1.5%0.3%-4.1M11.1M-36.6K0.0057.46N/AN/A102606,811
2013-05-31$56.87$58.0012.2%3.5%10.3%18.6%10.3%1.3%0.4%-4.8M17.4M-39.6K1.0048.86N/AN/A552616,811