VYM Options History — October 2013

In October 2013, VYM traded between $56.70 and $60.71. ATM implied volatility averaged 11.7%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.3% (HV 20d: 11.4%). Max pain ranged from $58.00 to $59.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.86.

Notable Days

  • 2013-10-17: Highest Volume — 144 contracts
  • 2013-10-07: Largest IV spike — 35.8% change
  • 2013-10-08: Highest IV Rank — 34.3%
  • 2013-10-15: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.78$56.70$60.71$57.84$60.22
Max Pain$58.09$58.00$59.00$58.00$59.00
ATM IV11.7%8.5%16.2%13.3%10.0%
Expected Move3.3%2.4%4.1%3.8%2.9%
HV 20d11.4%9.6%12.8%9.8%11.2%
HV 60d9.9%8.7%10.6%9.0%10.6%
IV Rank20.4%10.7%34.3%25.4%15.2%
IV Percentile60.0%17.5%98.8%89.7%40.1%
Term Structure1.1%-3.9%2.5%-3.9%2.1%
VWIV12.2%9.0%17.9%16.1%9.0%
Skew 25d3.8%0.8%6.6%3.1%1.8%
Skew 10d9.5%2.5%20.5%5.1%2.6%
Call IV 25d9.8%6.9%13.4%11.3%8.9%
Put IV 25d13.6%10.5%17.5%14.4%10.7%
Bid-Ask Spread %41.3318.1695.7741.6860.70
Gamma HHI0.260.200.640.200.26
Net GEX62.2K-49.8K316.3K2.6K64.7K
Net DEX3.9K-621.6K871.4K450.2K-459.5K
Net VEX-5.5K-6.2K-4.8K-5.4K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.0024.001.600.44
Total Volume19.3040144013
Total OI753.043657896740734

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$57.84$58.0013.3%3.8%9.8%25.4%0.0%3.1%-3.9%2.6K450.2K-5.4K0.0041.68N/AN/A00284456
2013-10-02$57.74$58.0011.4%3.3%9.6%19.5%0.0%4.7%-0.6%16.1K423.2K-5.3K0.0064.98N/AN/A04284456
2013-10-03$57.29$58.0013.9%4.0%10.1%27.3%16.1%4.5%-0.9%-7.5K624.2K-5.4K0.0024.92N/AN/A015284460
2013-10-04$57.58$58.0011.7%3.6%10.2%20.5%0.0%5.0%1.1%3.4K512.0K-5.3K0.0035.62N/AN/A00284466
2013-10-07$57.18$58.0015.9%4.0%10.1%33.4%0.0%4.5%1.1%-13.6K643.6K-5.2K0.0027.84N/AN/A010284466
2013-10-08$56.70$58.0016.2%4.1%10.0%34.3%17.9%3.9%1.2%-40.2K841.0K-5.2K1.6035.38N/AN/A1016284470
2013-10-09$56.74$58.0015.6%3.9%9.8%32.4%12.8%4.6%1.4%-49.8K871.4K-5.3K0.0036.47N/AN/A200294486
2013-10-10$57.90$58.0013.6%3.9%12.4%26.4%12.7%6.3%-0.3%48.0K297.1K-5.4K0.0046.23N/AN/A70309486
2013-10-11$58.23$58.0012.3%3.5%12.4%22.2%0.0%6.6%0.8%84.6K125.7K-5.3K0.0030.09N/AN/A04316486
2013-10-14$58.43$58.0013.0%3.7%12.2%24.5%0.0%3.2%2.2%316.3K-75.5K-5.1K0.0076.86N/AN/A90316486
2013-10-15$58.02$58.0014.4%4.1%12.3%28.7%14.8%5.4%-0.6%65.8K190.4K-5.2K0.8224.54N/AN/A2218323486
2013-10-16$58.74$58.0012.8%3.7%12.4%23.6%12.9%0.8%0.3%158.3K-240.4K-5.0K0.0095.77N/AN/A150338492
2013-10-17$59.26$58.0010.4%3.0%12.8%16.5%0.0%4.2%1.6%95.5K-387.3K-4.8K0.0030.06N/AN/A1440333484
2013-10-18$59.51$58.009.4%2.7%12.5%13.3%0.0%4.5%1.5%104.3K-621.6K-5.7K0.5530.84N/AN/A116412484
2013-10-21$59.53$58.008.5%2.4%11.8%10.7%9.9%3.7%2.0%73.3K-233.9K-5.8K24.0031.11N/AN/A124330327
2013-10-22$59.93$58.009.3%2.7%11.8%13.2%9.4%2.9%2.3%60.9K-302.5K-6.0K0.0023.38N/AN/A150331349
2013-10-23$59.72$58.009.6%2.7%11.9%13.8%0.0%2.1%2.1%72.3K-278.6K-6.1K0.0023.59N/AN/A07346349
2013-10-24$59.83$58.009.2%2.6%11.9%12.8%0.0%4.2%2.3%71.6K-284.9K-6.2K0.6727.60N/AN/A32346351
2013-10-25$60.18$58.009.0%2.6%11.7%12.2%10.8%3.1%2.5%76.4K-412.0K-6.0K0.0029.65N/AN/A160346353
2013-10-28$60.36$58.0010.0%2.9%11.4%15.0%9.0%2.6%1.7%80.1K-509.2K-5.8K0.0850.92N/AN/A121357353
2013-10-29$60.71$58.008.8%2.5%11.4%11.4%11.0%3.5%2.5%83.0K-607.0K-5.7K0.9418.16N/AN/A1615358354
2013-10-30$60.38$59.0010.7%3.1%11.7%17.4%12.2%2.9%1.7%63.9K-477.0K-5.9K0.6084.29N/AN/A53358369
2013-10-31$60.22$59.0010.0%2.9%11.2%15.2%9.0%1.8%2.1%64.7K-459.5K-6.0K0.4460.70N/AN/A94363371