VYM Options History — January 2014

In January 2014, VYM traded between $59.79 and $62.02. ATM implied volatility averaged 10.5%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.0% (HV 20d: 9.5%). Max pain ranged from $61.00 to $70.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 4.26.

Notable Days

  • 2014-01-27: Highest Volume — 92 contracts
  • 2014-01-16: Largest IV drop — 40.3% change
  • 2014-01-15: Highest IV Rank — 31.6%
  • 2014-01-31: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.23$59.79$62.02$61.72$59.83
Max Pain$62.76$61.00$70.00$70.00$61.00
ATM IV10.5%7.3%15.3%12.1%13.1%
Expected Move2.9%2.3%3.8%3.5%3.8%
HV 20d9.5%7.5%10.7%10.7%10.3%
HV 60d9.2%8.8%10.0%10.0%9.8%
IV Rank16.7%7.0%31.6%21.7%24.7%
IV Percentile48.6%5.6%98.0%76.6%87.3%
Term Structure1.4%-1.3%3.4%-1.3%-0.5%
VWIV10.6%7.5%12.9%8.6%12.9%
Skew 25d4.3%0.1%21.5%3.3%1.9%
Skew 10d11.2%-0.0%38.0%2.7%6.4%
Call IV 25d8.6%6.0%11.5%9.0%11.5%
Put IV 25d12.9%8.2%31.4%12.3%13.4%
Bid-Ask Spread %32.1317.1580.1980.1925.91
Gamma HHI0.230.180.290.230.18
Net GEX35.6K-10.0K62.6K45.2K-6.1K
Net DEX22.4K-410.2K502.8K-54.2K502.8K
Net VEX-5.4K-7.1K-4.6K-4.8K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.260.0030.000.6730.00
Total Volume22.524092562
Total OI653.571435739679687

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$61.72$70.0012.1%3.5%10.7%21.7%0.0%3.3%-1.3%45.2K-54.2K-4.8K0.6780.19N/AN/A32264415
2014-01-03$61.73$70.008.0%2.3%10.7%9.2%0.0%0.1%1.8%45.9K-87.2K-4.7K0.0017.15N/AN/A00264417
2014-01-06$61.56$63.007.3%2.8%10.5%7.0%0.0%2.4%2.3%48.6K-63.6K-4.6K0.0032.84N/AN/A037264417
2014-01-07$61.91$63.008.7%2.8%9.6%11.3%8.6%3.6%2.4%38.6K-87.5K-4.9K0.0026.47N/AN/A130264448
2014-01-08$61.73$63.008.9%2.7%9.7%11.8%0.0%2.9%2.9%49.4K-59.9K-4.9K0.8034.77N/AN/A54277448
2014-01-09$61.70$63.009.6%2.6%9.5%13.9%0.0%3.8%2.9%52.3K-68.1K-4.9K0.0036.96N/AN/A00282450
2014-01-10$61.88$63.008.5%2.6%8.6%10.6%0.0%2.8%3.0%52.3K-94.5K-4.9K0.0035.18N/AN/A07282450
2014-01-13$61.24$63.009.4%2.9%9.4%13.5%0.0%8.1%2.2%53.7K42.8K-4.9K0.0027.09N/AN/A00282457
2014-01-14$61.71$63.0011.8%2.5%9.7%20.6%0.0%2.8%3.4%48.9K-54.5K-4.9K0.0027.32N/AN/A03282457
2014-01-15$62.00$63.0015.3%2.6%9.6%31.6%9.2%3.8%3.0%51.0K-169.9K-4.7K0.0026.93N/AN/A20282439
2014-01-16$62.02$62.009.2%2.6%9.5%12.6%0.0%3.7%3.1%52.3K-157.8K-4.7K0.0034.75N/AN/A40284439
2014-01-17$61.71$62.008.8%2.5%7.7%11.5%0.0%3.5%3.2%47.9K-86.9K-4.6K0.8826.51N/AN/A1614281439
2014-01-21$61.77$62.009.0%2.6%7.6%12.3%10.5%5.8%0.7%48.3K-314.6K-4.9K0.1530.97N/AN/A203254181
2014-01-22$61.77$61.008.9%2.5%7.5%11.7%0.0%4.6%0.9%62.6K-410.2K-5.0K0.0031.38N/AN/A50274184
2014-01-23$61.23$61.0010.3%2.9%8.1%16.0%12.0%5.0%0.8%57.2K-260.3K-5.0K0.0026.90N/AN/A089279184
2014-01-24$60.13$61.0012.5%3.6%10.1%22.8%12.1%2.0%0.2%15.5K249.0K-6.2K19.0035.61N/AN/A119279273
2014-01-27$59.92$61.0012.7%3.6%9.8%23.4%10.9%4.3%-1.0%3.2K366.0K-6.2K2.0735.35N/AN/A3062280290
2014-01-28$60.27$61.0011.6%3.3%10.1%20.0%11.5%3.4%-0.4%-9.0K395.4K-6.8K0.4523.43N/AN/A209285350
2014-01-29$59.79$61.0012.4%3.5%10.3%22.4%7.5%1.6%-0.7%-10.0K494.5K-6.7K1.3934.62N/AN/A1825300354
2014-01-30$60.16$61.0012.0%3.4%10.7%21.3%0.0%21.5%-0.0%-970389.2K-7.1K0.0024.32N/AN/A00310377
2014-01-31$59.83$61.0013.1%3.8%10.3%24.7%12.9%1.9%-0.5%-6.1K502.8K-7.0K30.0025.91N/AN/A260310377