VYM Options History — March 2014

In March 2014, VYM traded between $61.58 and $63.12. ATM implied volatility averaged 10.7%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.5% (HV 20d: 9.2%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2014-03-10: Highest Volume — 57 contracts
  • 2014-03-06: Largest IV spike — 204.5% change
  • 2014-03-06: Highest IV Rank — 100.0%
  • 2014-03-06: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.30$61.58$63.12$61.58$63.12
Max Pain$60.33$60.00$62.00$62.00$60.00
ATM IV10.7%6.7%30.2%8.3%9.7%
Expected Move3.2%2.3%8.7%2.4%2.8%
HV 20d9.2%7.9%12.3%12.3%9.6%
HV 60d11.0%10.6%11.5%11.1%10.8%
IV Rank22.2%4.3%100.0%19.3%16.8%
IV Percentile36.9%1.2%100.0%11.1%29.4%
Term Structure-0.5%-42.1%2.5%0.8%1.5%
VWIV11.6%8.8%15.2%9.8%10.1%
Skew 25d4.0%1.4%6.4%6.4%3.1%
Skew 10d6.0%0.7%13.2%8.2%1.6%
Call IV 25d8.7%7.0%10.4%7.0%7.8%
Put IV 25d12.7%9.8%14.8%13.4%10.9%
Bid-Ask Spread %78.5028.22136.0928.22107.46
Gamma HHI0.240.150.370.200.19
Net GEX152.8K32.2K363.0K95.4K88.2K
Net DEX-914.7K-1.7M-455.1K-455.1K-1.0M
Net VEX-7.2K-8.5K-6.0K-7.8K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.005.001.830.00
Total Volume15.5711571714
Total OI918.6677831,021885879

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$61.58$62.008.3%2.4%12.3%19.3%0.0%6.4%0.8%95.4K-455.1K-7.8K1.8328.22N/AN/A611443442
2014-03-04$62.44$62.0010.3%3.0%9.2%33.0%9.8%3.7%1.1%118.4K-956.0K-7.6K0.0030.82N/AN/A130446453
2014-03-05$62.28$62.009.9%2.8%9.4%29.2%8.8%1.6%-0.1%137.1K-910.5K-7.6K2.0033.47N/AN/A816458453
2014-03-06$62.39$61.0030.2%8.7%9.2%100.0%0.0%4.1%-42.1%37.6K-674.6K-8.5K0.00136.09N/AN/A04461439
2014-03-07$62.49$60.0010.4%3.1%8.9%19.7%12.4%5.5%2.1%151.4K-1.0M-7.6K0.0045.71N/AN/A012461439
2014-03-10$62.44$60.0010.4%3.2%8.3%19.7%10.7%5.9%1.5%166.4K-1.0M-7.4K0.1243.16N/AN/A516461451
2014-03-11$62.12$60.006.7%3.1%8.7%4.3%12.0%3.8%1.8%254.6K-1.1M-7.9K0.0039.94N/AN/A06512457
2014-03-12$62.19$60.007.8%3.0%7.9%9.0%12.7%5.1%2.0%226.4K-1.1M-7.9K0.0046.02N/AN/A01512463
2014-03-13$61.70$60.0011.2%3.2%8.6%22.9%11.9%5.2%1.6%168.9K-666.0K-7.9K1.0040.42N/AN/A11512464
2014-03-14$61.60$60.0010.5%3.0%8.5%20.0%12.4%5.5%1.8%168.4K-583.4K-7.8K0.0071.55N/AN/A02513465
2014-03-17$62.15$60.0010.9%3.1%8.7%21.6%0.0%5.3%1.3%272.2K-1.0M-7.4K1.43101.75N/AN/A1420513467
2014-03-18$62.56$60.009.7%2.8%8.9%16.7%15.2%4.7%1.9%168.6K-1.2M-7.5K0.3398.28N/AN/A31527487
2014-03-19$62.11$60.0010.5%3.0%9.0%20.1%12.8%2.8%1.8%207.5K-844.5K-7.4K0.75100.56N/AN/A43524487
2014-03-20$62.57$60.007.9%2.3%9.0%9.2%10.6%4.6%2.5%258.6K-1.4M-6.9K1.25102.05N/AN/A45528486
2014-03-21$62.54$60.009.0%2.6%8.9%14.0%0.0%1.9%2.0%363.0K-1.7M-6.0K0.00105.48N/AN/A120530491
2014-03-24$62.12$60.0010.9%3.1%9.3%21.7%11.1%4.8%0.9%32.2K-465.5K-6.6K0.1198.86N/AN/A283334449
2014-03-25$62.56$60.009.0%2.6%9.5%13.8%0.0%3.6%1.9%83.2K-830.1K-6.2K0.40104.80N/AN/A52362450
2014-03-26$62.29$60.0010.3%2.9%9.7%19.0%0.0%2.6%1.5%53.4K-682.1K-6.7K0.00104.80N/AN/A04367451
2014-03-27$62.34$60.0010.6%3.0%9.6%20.4%0.0%2.6%1.6%79.4K-753.6K-6.2K0.00104.99N/AN/A019367451
2014-03-28$62.66$60.009.7%2.8%9.7%16.5%0.0%1.4%1.8%77.4K-889.0K-6.2K5.00103.98N/AN/A840367470
2014-03-31$63.12$60.009.7%2.8%9.6%16.8%10.1%3.1%1.5%88.2K-1.0M-6.4K0.00107.46N/AN/A140369510