VYM Options History — April 2014

In April 2014, VYM traded between $61.86 and $64.45. ATM implied volatility averaged 10.4%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.4% (HV 20d: 10.0%). 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 1.24.

Notable Days

  • 2014-04-28: Highest Volume — 87 contracts
  • 2014-04-21: Largest IV spike — 69.0% change
  • 2014-04-21: Highest IV Rank — 53.3%
  • 2014-04-21: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.28$61.86$64.45$63.34$64.45
Max Pain$61.52$60.00$62.00$60.00$62.00
ATM IV10.4%6.6%18.7%9.7%9.7%
Expected Move3.1%1.9%5.4%2.8%2.8%
HV 20d10.0%8.4%11.2%8.4%10.2%
HV 60d11.0%9.3%11.6%10.9%9.3%
IV Rank19.5%4.3%53.3%16.7%16.7%
IV Percentile39.7%0.8%99.2%29.0%27.0%
Term Structure1.2%-0.2%10.9%1.6%1.4%
VWIV11.1%4.9%15.2%9.4%9.6%
Skew 25d3.4%-1.8%6.3%1.9%0.6%
Skew 10d1.4%-25.3%26.7%12.5%-2.6%
Call IV 25d8.5%5.6%13.7%6.9%10.1%
Put IV 25d12.0%7.4%14.3%8.9%10.7%
Bid-Ask Spread %104.3293.83121.30105.37115.67
Gamma HHI0.220.190.350.200.24
Net GEX90.0K39.3K185.2K87.3K121.3K
Net DEX-808.6K-1.1M-414.4K-1.1M-1.1M
Net VEX-6.6K-7.7K-6.1K-6.3K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.0010.501.000.00
Total Volume20087403
Total OI783.952594892892797

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$63.34$60.009.7%2.8%8.4%16.7%0.0%1.9%1.6%87.3K-1.1M-6.3K1.00105.37N/AN/A2020382510
2014-04-02$63.58$60.006.6%1.9%8.4%4.3%9.4%1.5%3.9%90.6K-1.0M-6.2K0.10110.16N/AN/A101353459
2014-04-03$63.59$60.008.0%2.3%8.4%9.8%0.0%-1.3%1.8%82.5K-1.0M-6.4K2.00109.59N/AN/A12363460
2014-04-04$63.07$60.008.8%3.2%9.0%13.2%0.0%3.8%0.2%79.8K-905.9K-6.6K0.4096.84N/AN/A104364460
2014-04-07$62.58$60.008.6%3.4%9.4%12.1%13.2%2.6%0.1%95.0K-734.7K-6.7K2.4094.16N/AN/A512372464
2014-04-08$62.82$62.008.2%3.3%9.3%10.4%0.0%5.0%0.1%104.5K-743.7K-6.6K1.0093.83N/AN/A66377468
2014-04-09$63.27$62.009.1%3.2%9.6%14.2%0.0%6.0%0.2%81.6K-995.3K-6.5K0.0096.44N/AN/A00383473
2014-04-10$62.26$62.0012.3%3.5%10.9%27.1%12.2%2.2%-0.0%109.3K-563.1K-6.8K0.1895.04N/AN/A224383473
2014-04-11$61.86$62.0012.0%3.5%11.2%26.2%12.8%3.5%0.3%106.2K-414.4K-6.9K0.0095.44N/AN/A012383477
2014-04-14$62.22$62.0012.6%3.6%10.9%28.6%0.0%4.6%-0.2%185.2K-494.8K-6.6K0.0097.31N/AN/A012383488
2014-04-15$62.60$62.0010.6%3.0%10.9%20.2%0.0%6.1%1.2%100.8K-552.0K-6.7K0.0096.97N/AN/A00368490
2014-04-16$63.18$62.0011.3%3.2%11.0%23.1%0.0%3.4%0.5%86.0K-826.5K-6.3K0.1498.47N/AN/A71368479
2014-04-17$63.35$62.0011.1%3.2%10.7%22.3%12.9%4.0%0.5%77.3K-957.0K-6.2K0.00101.37N/AN/A570369480
2014-04-21$63.52$62.0018.7%5.4%10.8%53.3%15.2%5.8%10.9%39.3K-638.6K-6.1K1.00121.30N/AN/A1010304290
2014-04-22$63.67$62.009.9%2.8%10.4%17.5%4.9%5.2%0.8%56.3K-668.3K-6.3K10.50108.90N/AN/A221314299
2014-04-23$63.53$62.009.2%2.6%10.2%14.7%9.3%4.5%0.8%51.3K-617.4K-6.5K0.00116.25N/AN/A50316320
2014-04-24$63.80$62.009.8%2.8%10.1%17.3%0.0%6.3%0.8%62.1K-689.6K-6.4K0.00108.49N/AN/A110321320
2014-04-25$63.65$62.0010.5%3.0%10.2%20.1%0.0%5.9%0.0%59.5K-681.8K-6.5K0.06104.28N/AN/A533332320
2014-04-28$64.20$62.0010.4%3.0%10.4%19.5%9.6%1.8%1.1%105.1K-1.1M-6.7K1.02109.45N/AN/A4344385322
2014-04-29$64.33$62.0011.2%3.2%10.2%22.6%0.0%-1.8%0.1%109.5K-1.1M-7.7K0.00115.32N/AN/A30428366
2014-04-30$64.45$62.009.7%2.8%10.2%16.7%0.0%0.6%1.4%121.3K-1.1M-7.6K0.00115.67N/AN/A03431366