VYM Options History — August 2013

In August 2013, VYM traded between $56.54 and $59.47. ATM implied volatility averaged 11.1%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.9% (HV 20d: 7.3%). Max pain ranged from $56.00 to $59.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.97.

Notable Days

  • 2013-08-22: Highest Volume — 70 contracts
  • 2013-08-14: Largest IV spike — 28.6% change
  • 2013-08-27: Highest IV Rank — 28.5%
  • 2013-08-27: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.97$56.54$59.47$59.43$56.59
Max Pain$58.27$56.00$59.00$56.00$58.00
ATM IV11.1%8.0%14.3%10.7%13.2%
Expected Move3.4%2.6%4.1%3.1%3.8%
HV 20d7.3%5.0%10.0%7.1%9.1%
HV 60d12.3%11.9%12.5%12.4%11.9%
IV Rank18.7%9.0%28.5%17.2%24.9%
IV Percentile61.1%9.9%94.4%57.5%89.3%
Term Structure0.8%-0.6%2.4%1.2%0.7%
VWIV11.6%9.1%15.0%10.2%13.3%
Skew 25d3.8%-3.4%6.4%-3.4%3.4%
Skew 10d8.8%-18.9%38.1%-18.9%27.3%
Call IV 25d9.4%6.1%12.5%12.3%12.4%
Put IV 25d13.2%8.3%17.3%9.0%15.9%
Bid-Ask Spread %60.3937.43102.2257.8537.43
Gamma HHI0.330.160.730.410.18
Net GEX155.9K-442461.3K205.9K-442
Net DEX-435.3K-1.6M518.8K-1.4M518.8K
Net VEX-5.9K-6.3K-5.5K-6.3K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.0019.000.000.71
Total Volume12.909070112
Total OI796.409650911855712

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$59.43$56.0010.7%3.1%7.1%17.2%10.2%-3.4%1.2%205.9K-1.4M-6.3K0.0057.85N/AN/A10515340
2013-08-02$59.47$56.009.0%2.6%6.7%12.0%0.0%2.1%2.4%255.1K-1.6M-5.5K0.0057.19N/AN/A40516340
2013-08-05$59.29$59.008.9%3.2%6.7%11.8%9.9%5.1%-0.3%203.9K-1.5M-5.8K0.4053.43N/AN/A104518340
2013-08-06$59.06$59.009.8%3.2%6.6%14.4%10.2%4.5%-0.3%224.7K-1.3M-6.1K0.0052.70N/AN/A20523344
2013-08-07$58.95$59.009.2%3.2%6.7%12.8%13.1%4.6%1.8%251.1K-1.3M-6.2K2.3354.66N/AN/A614525344
2013-08-08$59.08$59.009.7%3.2%5.2%14.4%0.0%4.4%-0.6%227.5K-1.4M-5.8K0.0088.99N/AN/A80529358
2013-08-09$58.90$59.008.9%3.3%5.3%11.8%12.1%3.8%1.2%270.5K-1.3M-6.2K0.0048.35N/AN/A05537358
2013-08-12$58.81$59.009.4%3.2%5.2%13.3%0.0%2.9%1.6%306.8K-1.3M-5.8K0.0054.83N/AN/A00537363
2013-08-13$58.83$59.008.0%3.2%5.0%9.0%11.0%3.6%1.9%298.0K-1.3M-5.9K0.0052.17N/AN/A50537363
2013-08-14$58.55$59.0010.3%3.0%5.3%16.1%10.6%6.0%1.6%369.4K-1.1M-5.8K0.0048.53N/AN/A50542363
2013-08-15$57.70$59.0011.8%3.4%7.1%20.6%11.0%3.9%0.7%461.3K-152.9K-5.9K0.0352.26N/AN/A662546356
2013-08-16$57.44$59.0012.3%3.5%7.1%22.2%12.6%4.2%0.2%291.7K100.4K-5.8K0.3344.36N/AN/A124553358
2013-08-19$57.12$58.0013.1%3.8%7.2%24.7%12.0%5.9%0.6%13.0K324.7K-5.6K19.0042.25N/AN/A119297353
2013-08-20$57.26$58.0012.0%3.4%7.3%21.3%11.6%6.1%0.9%12.2K311.6K-5.6K8.0099.69N/AN/A18297361
2013-08-21$56.81$58.0013.1%3.8%7.5%24.7%0.0%3.8%0.2%2.2K458.4K-5.6K0.0051.77N/AN/A00297369
2013-08-22$57.22$58.0013.3%3.8%8.1%25.3%15.0%4.7%0.2%4.7K363.7K-5.6K0.09102.22N/AN/A646297369
2013-08-23$57.68$58.0010.7%3.1%8.8%17.2%0.0%6.4%0.8%16.1K141.5K-6.2K2.5038.12N/AN/A410331375
2013-08-26$57.29$58.0012.3%3.5%9.0%22.3%0.0%1.8%0.2%10.8K251.7K-6.2K0.0047.61N/AN/A40330385
2013-08-27$56.54$58.0014.3%4.1%9.9%28.5%9.1%4.8%1.5%3.7K492.7K-6.1K0.00100.96N/AN/A70334385
2013-08-28$56.69$58.0012.7%3.6%10.0%23.5%0.0%3.5%1.0%1.3K455.0K-6.1K0.0046.96N/AN/A00327385
2013-08-29$56.73$58.0012.6%3.6%9.2%23.2%0.0%1.4%0.5%-259443.8K-6.0K0.0096.31N/AN/A00327385
2013-08-30$56.59$58.0013.2%3.8%9.1%24.9%13.3%3.4%0.7%-442518.8K-5.9K0.7137.43N/AN/A75327385