VYM Options History — June 2013

In June 2013, VYM traded between $55.32 and $58.18. ATM implied volatility averaged 13.6%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.6% (HV 20d: 14.2%). Max pain ranged from $57.00 to $58.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 68.54.

Notable Days

  • 2013-06-21: Highest Volume — 6,011 contracts
  • 2013-06-24: Largest IV spike — 41.6% change
  • 2013-06-24: Highest IV Rank — 40.2%
  • 2013-06-24: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.95$55.32$58.18$57.45$56.37
Max Pain$57.20$57.00$58.00$58.00$57.00
ATM IV13.6%10.8%20.5%12.8%13.8%
Expected Move3.9%3.2%5.9%3.7%4.0%
HV 20d14.2%10.6%18.5%10.6%17.8%
HV 60d11.9%10.3%13.9%10.3%13.8%
IV Rank22.4%15.0%40.2%20.2%22.8%
IV Percentile87.4%58.3%99.2%84.9%92.9%
Term Structure-0.2%-5.7%2.0%-0.5%-1.7%
VWIV14.1%11.4%18.3%12.1%12.8%
Skew 25d4.7%2.4%9.4%4.2%2.4%
Skew 10d3.8%-4.2%13.5%1.3%-4.2%
Call IV 25d10.8%6.7%15.9%10.4%11.9%
Put IV 25d15.5%13.2%18.7%14.6%14.3%
Bid-Ask Spread %63.6941.18105.8346.6990.65
Gamma HHI0.750.110.980.960.16
Net GEX-4.2M-9.6M-17.5K-5.0M-21.8K
Net DEX11.8M233.9K34.0M14.6M318.1K
Net VEX-20.3K-36.2K-5.6K-36.2K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio68.540.00857.710.001.55
Total Volume320.9506,011328
Total OI5,629.959987,2247,0801,001

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$57.45$58.0012.8%3.7%10.6%20.2%0.0%4.2%-0.5%-5.0M14.6M-36.2K0.0046.69N/AN/A302646,816
2013-06-04$57.29$58.0013.1%3.7%10.7%20.8%12.1%4.4%-0.4%-4.8M14.9M-35.8K0.0041.18N/AN/A4602626,816
2013-06-05$56.57$58.0013.9%4.0%11.4%23.0%14.5%6.1%-1.6%-4.6M20.8M-35.0K0.0053.84N/AN/A0153076,816
2013-06-06$57.04$58.0012.8%3.7%11.8%20.2%13.0%9.4%2.0%-5.0M17.6M-35.5K1.0086.62N/AN/A10103076,827
2013-06-07$57.66$57.0010.8%3.2%12.3%15.0%12.1%5.2%1.8%-5.2M11.8M-31.4K0.0386.98N/AN/A5923066,834
2013-06-10$57.71$57.0011.7%3.3%12.2%17.1%11.4%5.3%1.2%-5.3M11.0M-28.1K0.0066.20N/AN/A023476,836
2013-06-11$57.21$57.0013.4%3.7%12.7%21.7%0.0%4.1%0.1%-6.0M15.2M-30.2K0.0056.24N/AN/A003476,836
2013-06-12$56.86$57.0014.5%3.9%12.2%24.6%15.9%4.9%0.3%-5.8M18.2M-29.2K0.0059.17N/AN/A0103476,836
2013-06-13$57.64$57.0011.8%3.4%13.0%17.4%0.0%5.9%1.0%-5.8M10.9M-25.3K2.0057.69N/AN/A5103476,846
2013-06-14$57.36$57.0013.3%3.8%13.0%21.3%12.0%3.8%0.7%-6.7M13.6M-25.6K0.0064.14N/AN/A023526,845
2013-06-17$57.79$57.0012.2%3.5%12.9%18.7%14.9%5.7%0.6%-7.5M6.9M-16.8K5.7548.11N/AN/A4233526,846
2013-06-18$58.18$57.0012.7%3.6%13.1%19.9%12.4%4.6%0.2%-3.9M3.5M-12.5K0.00101.92N/AN/A503536,864
2013-06-19$57.34$57.0013.0%3.7%14.1%20.6%0.0%3.4%0.4%-9.6M11.5M-17.3K0.0049.20N/AN/A0103586,864
2013-06-20$55.89$57.0014.9%4.3%16.5%25.7%16.6%5.5%-0.8%-2.4M34.0M-7.9K9.0054.14N/AN/A6543506,874
2013-06-21$56.32$57.0014.5%4.2%16.9%24.5%13.7%5.4%-0.5%-7.1M29.7M-9.8K857.7161.05N/AN/A76,0043556,869
2013-06-24$55.32$57.0020.5%5.9%17.8%40.2%18.3%2.5%-5.7%-50.3K761.4K-6.1K1.10105.83N/AN/A1011303699
2013-06-25$55.81$57.0015.1%4.3%18.1%26.2%17.8%5.2%-0.9%-47.2K652.9K-5.8K5.8257.03N/AN/A1164311710
2013-06-26$56.39$57.0015.0%4.3%18.4%25.8%0.0%3.5%0.1%-23.8K373.8K-5.8K0.0043.55N/AN/A00321677
2013-06-27$56.72$57.0013.3%3.8%18.5%21.3%0.0%3.5%0.3%-17.5K233.9K-5.7K7.0043.50N/AN/A17321677
2013-06-28$56.37$57.0013.8%4.0%17.8%22.8%12.8%2.4%-1.7%-21.8K318.1K-5.6K1.5590.65N/AN/A1117322679