VYM Options History — December 2013

In December 2013, VYM traded between $60.59 and $62.32. ATM implied volatility averaged 11.4%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.4% (HV 20d: 8.9%). Max pain ranged from $59.00 to $85.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 5.80.

Notable Days

  • 2013-12-19: Highest Volume — 327 contracts
  • 2013-12-26: Largest IV drop — 25.5% change
  • 2013-12-11: Highest IV Rank — 27.7%
  • 2013-12-04: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.44$60.59$62.32$61.37$62.32
Max Pain$63.76$59.00$85.00$60.00$70.00
ATM IV11.4%7.5%14.1%12.1%8.5%
Expected Move3.2%2.2%3.8%3.5%2.4%
HV 20d8.9%7.1%10.2%8.4%10.1%
HV 60d10.0%9.7%10.3%9.9%9.9%
IV Rank19.3%7.5%27.7%21.7%10.5%
IV Percentile62.4%7.1%94.4%76.2%17.9%
Term Structure0.6%-2.2%5.4%-0.2%2.3%
VWIV13.5%11.3%20.3%12.2%11.3%
Skew 25d3.6%0.6%7.8%2.4%1.0%
Skew 10d4.6%0.6%9.4%1.2%1.1%
Call IV 25d9.0%6.5%11.9%10.7%7.7%
Put IV 25d12.6%7.6%15.3%13.1%8.7%
Bid-Ask Spread %46.7927.3673.4835.5767.06
Gamma HHI0.400.170.610.390.31
Net GEX75.6K-9.6K125.7K80.3K31.0K
Net DEX-441.0K-942.8K162.2K-602.6K-133.3K
Net VEX-5.0K-5.8K-4.0K-5.5K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.800.0054.000.360.05
Total Volume34.28603271942
Total OI763605905763642

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$61.37$60.0012.1%3.5%8.4%21.7%12.2%2.4%-0.2%80.3K-602.6K-5.5K0.3635.57N/AN/A145364399
2013-12-03$61.23$61.0011.1%3.2%8.4%18.7%0.0%2.3%-0.2%76.8K-523.0K-5.5K0.2073.48N/AN/A102368404
2013-12-04$61.20$61.0013.1%3.8%8.3%24.7%13.3%3.1%-0.8%75.2K-571.1K-5.7K0.6327.86N/AN/A3019378406
2013-12-05$60.82$61.0012.4%3.6%7.9%22.7%0.0%3.4%-0.1%96.7K-477.1K-5.8K0.0055.24N/AN/A00408416
2013-12-06$61.60$59.0010.5%3.5%8.0%16.8%0.0%5.0%0.3%124.1K-882.6K-5.3K0.0045.16N/AN/A10408416
2013-12-09$61.77$59.0012.9%3.7%7.1%24.1%20.3%5.3%-0.3%113.5K-909.4K-5.1K0.0051.12N/AN/A50403416
2013-12-10$61.48$59.0013.8%3.6%7.3%26.8%0.0%4.7%-0.1%112.5K-823.5K-5.2K0.5749.27N/AN/A74406416
2013-12-11$60.82$59.0014.1%3.6%8.3%27.7%12.2%4.4%-0.1%96.7K-481.6K-5.5K0.5039.88N/AN/A105403420
2013-12-12$60.61$59.0012.1%3.5%8.1%21.5%0.0%4.4%0.4%88.1K-354.7K-5.7K0.0033.81N/AN/A05409425
2013-12-13$60.59$59.0012.1%3.5%8.0%21.5%0.0%4.2%-0.2%89.5K-388.1K-5.5K0.0050.76N/AN/A020409430
2013-12-16$60.96$59.0012.7%3.6%8.1%23.3%13.0%4.8%-0.0%106.3K-522.0K-5.4K0.0035.67N/AN/A06409440
2013-12-17$60.76$59.0012.0%3.4%8.2%21.3%0.0%4.4%0.5%96.6K-390.1K-5.5K1.5031.82N/AN/A23409446
2013-12-18$61.79$59.0012.7%3.6%10.2%23.4%14.5%4.5%-0.2%125.7K-902.2K-4.9K14.7536.38N/AN/A459407448
2013-12-19$61.64$60.0010.1%2.9%10.2%15.4%11.3%7.8%5.4%105.0K-942.8K-4.6K0.0048.91N/AN/A3270400505
2013-12-20$61.40$85.0011.2%3.2%10.0%19.0%11.3%2.6%1.0%-9.6K162.2K-4.0K0.1767.14N/AN/A407183505
2013-12-23$61.49$70.0011.1%3.2%9.9%18.6%0.0%2.3%-0.4%41.5K-65.2K-4.2K0.0050.72N/AN/A011221384
2013-12-24$61.77$70.0011.7%3.4%10.1%20.5%0.0%2.9%-2.2%39.1K-75.4K-4.1K0.0031.72N/AN/A40221395
2013-12-26$62.12$70.008.7%2.5%10.2%11.3%0.0%5.2%3.9%35.3K-129.7K-4.1K20.0056.55N/AN/A120225395
2013-12-27$62.21$70.007.5%2.2%10.2%7.5%0.0%0.6%2.4%31.3K-123.9K-4.3K0.0027.36N/AN/A20226415
2013-12-30$62.21$70.008.1%2.3%10.2%9.3%0.0%0.8%1.9%30.9K-124.8K-4.3K54.0067.01N/AN/A154228415
2013-12-31$62.32$70.008.5%2.4%10.1%10.5%0.0%1.0%2.3%31.0K-133.3K-4.3K0.0567.06N/AN/A402229413