VYM Options History — July 2013

In July 2013, VYM traded between $56.58 and $59.21. ATM implied volatility averaged 10.8%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 2.1% (HV 20d: 13.0%). Max pain ranged from $56.00 to $58.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.50.

Notable Days

  • 2013-07-17: Highest Volume — 200 contracts
  • 2013-07-08: Largest IV drop — 23.8% change
  • 2013-07-01: Highest IV Rank — 20.2%
  • 2013-07-01: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.37$56.58$59.21$56.65$58.89
Max Pain$56.77$56.00$58.00$57.00$56.00
ATM IV10.8%9.2%12.8%12.8%10.7%
Expected Move3.2%2.8%3.7%3.7%3.1%
HV 20d13.0%6.6%17.5%17.5%6.6%
HV 60d13.0%12.3%13.8%13.8%12.3%
IV Rank15.8%10.9%20.2%20.2%17.2%
IV Percentile58.4%31.7%84.5%84.5%58.3%
Term Structure1.3%0.5%2.6%0.8%0.7%
VWIV11.0%9.2%13.6%13.6%10.4%
Skew 25d3.2%0.8%7.2%2.1%3.0%
Skew 10d0.1%-12.3%25.2%-0.1%-10.9%
Call IV 25d9.6%6.5%12.4%12.4%8.2%
Put IV 25d12.8%10.1%16.7%14.5%11.2%
Bid-Ask Spread %52.4139.3585.9642.9459.50
Gamma HHI0.350.160.550.160.44
Net GEX104.9K-33.8K215.6K-25.8K207.9K
Net DEX-663.4K-1.6M324.4K312.6K-1.1M
Net VEX-5.8K-6.9K-5.1K-5.9K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.0010.632.000.71
Total Volume23.1820200312
Total OI991.9557341,3091,025843

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$56.65$57.0012.8%3.7%17.5%20.2%0.0%2.1%0.8%-25.8K312.6K-5.9K2.0042.94N/AN/A12331694
2013-07-02$56.58$57.0012.5%3.6%17.4%19.5%13.6%7.2%0.8%-27.7K324.4K-5.7K0.0080.00N/AN/A011332696
2013-07-03$56.63$57.0012.4%3.6%16.9%19.1%10.5%5.9%0.8%-33.8K323.0K-5.9K0.0039.35N/AN/A20332707
2013-07-05$57.11$58.0012.1%3.6%16.9%18.4%0.0%4.5%0.5%-22.6K153.7K-5.7K0.0049.35N/AN/A00334707
2013-07-08$57.52$58.009.2%3.4%16.6%10.9%9.9%3.4%1.5%-11.0K-36.6K-5.4K0.5353.53N/AN/A179334707
2013-07-09$57.93$58.0011.2%3.4%16.8%15.9%0.0%2.8%1.1%14.1K-178.9K-5.5K0.0042.44N/AN/A210346716
2013-07-10$57.95$58.0011.4%3.4%16.5%16.4%11.8%3.9%1.2%37.5K-274.7K-5.4K0.1648.81N/AN/A315367716
2013-07-11$58.66$58.0010.7%3.1%16.7%14.8%0.0%3.6%2.6%78.4K-617.6K-5.2K0.0085.96N/AN/A240384715
2013-07-12$58.65$58.0010.8%3.1%16.1%14.9%0.0%2.9%1.7%73.1K-565.1K-5.2K7.0039.64N/AN/A214374715
2013-07-15$58.88$58.0010.3%3.0%16.0%13.8%9.2%2.8%2.6%82.9K-619.0K-5.1K0.0046.39N/AN/A240376729
2013-07-16$58.67$56.0011.0%3.2%15.9%15.5%11.7%2.5%2.0%84.3K-642.7K-5.2K0.0046.09N/AN/A02388729
2013-07-17$58.75$56.0011.4%3.3%15.8%16.4%12.0%2.0%1.7%83.3K-679.3K-5.1K0.0048.43N/AN/A2000388730
2013-07-18$59.02$56.0010.9%3.1%14.8%15.2%10.9%2.5%0.8%200.5K-1.5M-6.1K0.0046.58N/AN/A110579719
2013-07-19$59.09$56.0010.1%2.9%10.8%13.1%9.5%3.8%1.2%211.9K-1.6M-6.1K0.0050.67N/AN/A40590719
2013-07-22$59.18$56.009.8%2.8%10.7%12.5%0.0%2.1%1.5%177.6K-1.2M-5.8K0.0050.16N/AN/A02493241
2013-07-23$59.21$56.0010.2%2.9%7.5%15.9%0.0%1.4%1.5%177.4K-1.3M-5.8K0.0055.70N/AN/A01493242
2013-07-24$58.90$56.0010.2%2.9%7.9%15.8%12.7%0.8%1.2%209.2K-1.1M-5.7K10.6355.55N/AN/A885493243
2013-07-25$58.99$56.0010.3%3.0%7.3%16.1%0.0%3.5%0.8%184.4K-1.0M-6.9K0.0045.47N/AN/A00493328
2013-07-26$59.03$56.009.9%2.8%7.2%14.8%9.9%4.9%1.3%193.0K-1.0M-6.7K0.0052.20N/AN/A150493328
2013-07-29$58.92$56.0010.1%2.9%6.7%15.4%10.4%2.4%2.1%215.6K-1.1M-6.7K0.0059.06N/AN/A07508328
2013-07-30$58.93$56.0010.5%3.0%6.7%16.6%0.0%2.5%0.9%197.0K-1.1M-6.6K0.0055.16N/AN/A00508335
2013-07-31$58.89$56.0010.7%3.1%6.6%17.2%0.0%3.0%0.7%207.9K-1.1M-6.5K0.7159.50N/AN/A75508335