VYM Options History — May 2014

In May 2014, VYM traded between $63.79 and $65.47. ATM implied volatility averaged 8.6%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 0.8% (HV 20d: 7.8%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.56.

Notable Days

  • 2014-05-29: Highest Volume — 96 contracts
  • 2014-05-14: Largest IV spike — 46.9% change
  • 2014-05-14: Highest IV Rank — 18.4%
  • 2014-05-07: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.47$63.79$65.47$64.35$65.47
Max Pain$63.81$62.00$64.00$62.00$64.00
ATM IV8.6%6.8%11.0%8.0%7.0%
Expected Move2.6%1.9%3.0%2.3%2.0%
HV 20d7.8%6.6%10.2%10.1%7.1%
HV 60d8.9%8.5%9.3%9.3%8.5%
IV Rank9.9%0.6%18.4%9.7%1.6%
IV Percentile15.4%0.8%53.6%5.6%1.2%
Term Structure0.9%-0.2%3.1%3.1%2.8%
VWIV9.0%7.2%12.5%9.3%8.0%
Skew 25d0.9%-7.3%3.7%0.9%-3.3%
Skew 10d-1.3%-21.1%5.1%-21.1%-5.0%
Call IV 25d10.0%7.0%17.3%8.6%12.0%
Put IV 25d10.8%8.6%12.4%9.6%8.6%
Bid-Ask Spread %99.0281.69118.63118.63105.27
Gamma HHI0.280.230.370.230.37
Net GEX156.9K117.7K221.4K124.2K216.4K
Net DEX-1.2M-2.0M-822.8K-1.1M-2.0M
Net VEX-7.0K-7.7K-6.2K-7.6K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.0010.0010.000.02
Total Volume2009620
Total OI839.714788926800926

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$64.35$62.008.0%2.3%10.1%9.7%0.0%0.9%3.1%124.2K-1.1M-7.6K0.00118.63N/AN/A02431369
2014-05-02$64.22$62.009.0%2.6%10.2%13.8%0.0%3.4%1.6%119.3K-1.1M-7.6K10.00116.89N/AN/A110431371
2014-05-05$64.25$64.008.1%2.9%9.7%10.2%9.3%2.9%0.6%135.9K-1.0M-7.5K0.8387.17N/AN/A65432381
2014-05-06$63.79$64.008.6%3.0%9.6%12.4%0.0%3.7%0.2%117.7K-874.9K-7.7K0.0881.69N/AN/A121438386
2014-05-07$64.28$64.009.9%3.0%9.8%17.7%12.5%3.7%-0.2%134.5K-1.0M-7.4K2.6990.69N/AN/A1335445387
2014-05-08$64.19$64.0010.1%3.0%9.6%18.2%9.5%2.2%0.8%139.7K-1.1M-7.4K0.1788.61N/AN/A122456382
2014-05-09$64.21$64.007.7%2.9%7.3%8.5%0.0%2.5%0.5%165.6K-1.1M-7.4K0.0088.41N/AN/A00468382
2014-05-12$64.57$64.007.7%2.5%6.8%8.8%8.6%1.8%0.7%169.6K-1.4M-7.0K0.0094.61N/AN/A01468382
2014-05-13$64.68$64.007.5%2.6%6.6%3.6%8.9%1.8%0.7%166.0K-1.4M-7.0K0.1898.32N/AN/A6011468383
2014-05-14$64.50$64.0011.0%2.9%6.6%18.4%0.0%0.8%0.6%158.7K-1.3M-7.2K0.0098.54N/AN/A07468392
2014-05-15$63.97$64.0010.1%2.9%6.8%14.8%8.8%2.6%0.8%170.9K-994.9K-7.1K1.5093.97N/AN/A46468374
2014-05-16$64.20$64.009.4%2.7%6.9%11.8%0.0%3.4%0.7%183.9K-1.0M-6.9K0.9096.11N/AN/A109470380
2014-05-19$64.30$64.009.3%2.7%6.8%11.1%9.2%1.8%0.6%134.0K-938.7K-6.8K0.71100.31N/AN/A75433355
2014-05-20$63.93$64.009.9%2.8%7.2%13.8%10.7%3.4%0.0%119.8K-822.8K-7.0K0.0094.96N/AN/A010440360
2014-05-21$64.42$64.009.1%2.6%7.6%10.6%7.5%2.0%0.9%140.1K-1.1M-6.9K2.0097.70N/AN/A1020440365
2014-05-22$64.53$64.007.2%2.1%7.5%2.4%7.2%0.9%1.6%149.0K-1.2M-6.8K0.00101.72N/AN/A100450384
2014-05-23$64.70$64.006.8%1.9%7.4%0.6%0.0%-7.3%2.4%172.0K-1.3M-6.9K0.00101.39N/AN/A012460384
2014-05-27$64.98$64.008.3%2.4%7.0%6.9%8.2%-2.8%0.4%189.5K-1.5M-6.3K2.29108.31N/AN/A716460396
2014-05-28$65.00$64.008.6%2.5%6.9%8.4%0.0%-2.6%0.2%167.5K-1.5M-6.7K0.43107.66N/AN/A146466410
2014-05-29$65.32$64.007.9%2.3%7.1%5.3%8.0%-3.8%0.6%221.4K-1.8M-6.2K0.02108.47N/AN/A942480413
2014-05-30$65.47$64.007.0%2.0%7.1%1.6%0.0%-3.3%2.8%216.4K-2.0M-6.6K0.00105.27N/AN/A00513413