VYM Options History — February 2014 In February 2014, VYM traded between $58.48 and $61.99. ATM implied volatility averaged 10.1%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 3.6% (HV 20d: 13.7%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.77.
Notable Days 2014-02-24 : Highest Volume — 60 contracts2014-02-27 : Largest IV drop — 29.2% change2014-02-26 : Highest IV Rank — 30.6%2014-02-03 : Largest Expected Move — 3.7%Monthly Statistics Metric Avg Min Max Open Close Price $60.67 $58.48 $61.99 $58.48 $61.99 Max Pain $61.00 $60.00 $62.00 $61.00 $62.00 ATM IV 10.1% 7.1% 13.1% 13.1% 7.4% Expected Move 2.9% 2.0% 3.7% 3.7% 2.1% HV 20d 13.7% 12.2% 14.9% 12.8% 12.2% HV 60d 10.9% 10.4% 11.1% 10.8% 11.1% IV Rank 16.3% 8.2% 30.6% 24.6% 13.5% IV Percentile 40.7% 2.0% 86.5% 86.5% 3.2% Term Structure 1.5% -0.6% 3.5% -0.6% 3.2% VWIV 9.8% 5.4% 21.6% 12.9% 8.7% Skew 25d 7.0% 0.5% 34.4% 5.8% 3.3% Skew 10d 10.8% 3.5% 48.5% 12.5% 6.1% Call IV 25d 8.6% 5.1% 14.6% 13.8% 8.1% Put IV 25d 15.6% 10.9% 44.6% 19.6% 11.5% Bid-Ask Spread % 28.05 16.07 40.51 16.07 29.72 Gamma HHI 0.22 0.17 0.33 0.17 0.21 Net GEX 27.9K -56.9K 110.4K -54.3K 110.4K Net DEX 84.5K -678.1K 1.1M 1.1M -678.1K Net VEX -7.4K -8.0K -6.6K -6.6K -7.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.00 5.00 2.35 0.00 Total Volume 24 0 60 57 23 Total OI 823.632 735 869 746 863
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-02-03 $58.48 $61.00 13.1% 3.7% 12.8% 24.6% 12.9% 5.8% -0.6% -54.3K 1.1M -6.6K 2.35 16.07 N/A N/A 17 40 310 436 2014-02-04 $58.79 $61.00 10.9% 3.1% 13.1% 17.3% 0.0% 28.9% -0.3% -56.9K 1.1M -6.9K 0.10 22.66 N/A N/A 30 3 322 466 2014-02-05 $58.68 $61.00 11.6% 3.3% 12.7% 19.5% 0.0% 0.5% 0.3% -53.0K 1.1M -7.1K 0.00 26.01 N/A N/A 0 21 345 466 2014-02-06 $59.28 $61.00 11.0% 3.2% 13.5% 17.5% 0.0% 34.4% 0.6% -52.8K 910.0K -7.5K 0.00 19.72 N/A N/A 15 0 345 487 2014-02-07 $59.96 $60.00 10.2% 3.3% 14.3% 15.1% 10.0% 4.0% 1.4% -31.5K 539.2K -7.9K 0.00 32.87 N/A N/A 22 0 360 487 2014-02-10 $60.08 $60.00 11.1% 3.4% 14.3% 17.9% 0.0% 4.3% -0.0% -12.4K 466.1K -8.0K 0.67 33.12 N/A N/A 15 10 380 487 2014-02-11 $60.75 $60.00 9.5% 2.2% 14.6% 12.8% 10.2% 5.0% 1.8% 18.0K 82.5K -7.8K 0.35 40.51 N/A N/A 23 8 369 486 2014-02-12 $60.73 $60.00 9.8% 3.0% 14.3% 13.9% 0.0% 2.4% 0.9% 23.5K 40.7K -8.0K 0.00 35.86 N/A N/A 0 50 387 482 2014-02-13 $61.03 $60.00 10.6% 3.0% 14.3% 16.3% 21.6% 3.9% 1.7% 49.0K -152.8K -7.6K 0.00 28.15 N/A N/A 10 0 387 437 2014-02-14 $61.45 $60.00 10.5% 3.0% 14.5% 16.2% 0.0% 4.8% 0.9% 67.1K -388.0K -7.4K 0.00 27.25 N/A N/A 0 0 388 437 2014-02-18 $61.38 $60.00 10.5% 3.0% 14.4% 16.1% 5.4% 5.2% 1.5% 73.0K -399.3K -7.1K 1.00 26.65 N/A N/A 10 10 388 437 2014-02-19 $60.97 $61.00 9.9% 2.8% 14.6% 14.2% 10.0% 2.8% 1.7% 55.1K -126.5K -7.1K 1.50 28.03 N/A N/A 4 6 380 447 2014-02-20 $61.42 $62.00 10.4% 3.0% 14.9% 15.8% 8.7% 5.5% 1.8% 55.9K -284.1K -7.1K 0.00 28.63 N/A N/A 8 0 375 451 2014-02-21 $61.32 $62.00 9.5% 2.7% 14.5% 12.8% 0.0% 3.9% 2.9% 64.1K -239.0K -7.0K 0.00 29.61 N/A N/A 0 1 383 451 2014-02-24 $61.57 $62.00 8.0% 2.3% 12.9% 8.2% 8.0% 2.2% 3.5% 29.2K -323.2K -6.9K 0.20 24.08 N/A N/A 50 10 328 407 2014-02-25 $61.50 $62.00 10.2% 2.9% 12.8% 15.0% 8.2% 6.8% 1.4% 68.1K -346.5K -7.2K 0.14 22.04 N/A N/A 29 4 378 417 2014-02-26 $61.50 $62.00 10.0% 2.9% 12.7% 30.6% 5.9% 4.9% 2.1% 85.8K -382.1K -7.6K 5.00 30.61 N/A N/A 4 20 407 421 2014-02-27 $61.80 $62.00 7.1% 2.0% 12.3% 11.4% 8.3% 4.9% 2.9% 91.1K -439.7K -7.8K 0.30 31.46 N/A N/A 10 3 411 441 2014-02-28 $61.99 $62.00 7.4% 2.1% 12.2% 13.5% 8.7% 3.3% 3.2% 110.4K -678.1K -7.6K 0.00 29.72 N/A N/A 23 0 421 442
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