VYM Options History — June 2014

In June 2014, VYM traded between $65.45 and $67.06. ATM implied volatility averaged 9.4%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 3.3% (HV 20d: 6.1%). 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 17 of 21 days. Put/call ratio averaged 4.15.

Notable Days

  • 2014-06-20: Highest Volume — 219 contracts
  • 2014-06-20: Largest IV spike — 50.8% change
  • 2014-06-20: Highest IV Rank — 46.7%
  • 2014-06-20: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.19$65.45$67.06$65.45$66.32
Max Pain$62.95$62.00$64.00$64.00$64.00
ATM IV9.4%7.7%17.7%9.2%9.2%
Expected Move2.8%2.2%5.1%2.6%2.6%
HV 20d6.1%4.9%7.0%7.0%6.4%
HV 60d8.1%7.7%8.5%8.5%7.9%
IV Rank11.8%4.6%46.7%10.9%10.9%
IV Percentile26.0%4.4%98.8%21.0%26.2%
Term Structure0.6%-15.6%4.5%-0.2%0.0%
VWIV11.9%5.0%26.6%5.0%6.3%
Skew 25d-0.3%-5.8%3.7%-4.0%1.9%
Skew 10d2.8%-9.3%33.6%-5.7%0.4%
Call IV 25d10.6%7.1%15.4%13.8%8.6%
Put IV 25d10.3%8.0%11.3%9.8%10.6%
Bid-Ask Spread %112.67104.70127.69105.62111.03
Gamma HHI0.460.290.690.400.32
Net GEX129.3K15.9K223.7K192.2K24.1K
Net DEX-1.9M-3.0M-559.6K-2.0M-650.5K
Net VEX-5.5K-6.7K-4.0K-6.6K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.150.0022.000.250.00
Total Volume24.2860219109
Total OI897.2386541,042926697

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$65.45$64.009.2%2.6%7.0%10.9%0.0%-4.0%-0.2%192.2K-2.0M-6.6K0.25105.62N/AN/A82513413
2014-06-03$65.46$64.007.8%2.2%7.0%4.9%0.0%-4.1%1.6%220.2K-2.0M-6.7K0.00107.04N/AN/A020521415
2014-06-04$65.52$64.007.8%2.2%6.3%5.0%0.0%-5.8%2.3%223.7K-2.0M-6.7K0.00113.59N/AN/A06521435
2014-06-05$65.95$64.007.7%2.2%6.2%4.6%5.0%-2.6%4.5%184.1K-2.2M-6.1K0.77107.29N/AN/A1310521435
2014-06-06$66.19$62.009.5%2.8%6.1%12.2%0.0%0.6%1.8%159.2K-2.4M-5.8K0.00115.58N/AN/A00526429
2014-06-09$66.31$62.008.5%2.9%6.1%8.0%11.8%0.1%1.8%167.3K-2.5M-5.4K0.50116.39N/AN/A84526429
2014-06-10$66.40$62.008.9%2.9%5.9%9.8%14.3%0.2%1.3%160.7K-2.5M-5.5K0.00117.92N/AN/A50530429
2014-06-11$66.11$62.008.9%2.9%6.3%9.8%0.0%2.5%1.8%170.3K-2.4M-5.8K0.00112.31N/AN/A02530429
2014-06-12$65.71$62.0010.3%2.9%6.7%15.5%11.8%0.1%1.2%196.6K-2.2M-6.1K20.00107.79N/AN/A240530431
2014-06-13$65.98$62.009.8%2.8%5.8%13.5%0.0%-0.1%1.6%181.6K-2.3M-5.9K6.67114.50N/AN/A960532452
2014-06-16$66.17$62.009.7%2.8%5.8%13.1%0.0%-0.3%1.6%166.4K-2.4M-6.3K0.00112.86N/AN/A01541500
2014-06-17$66.28$62.0010.0%2.9%5.8%14.3%10.4%-0.3%1.7%155.4K-2.4M-6.1K0.00116.73N/AN/A01541500
2014-06-18$66.73$62.008.5%2.4%5.4%7.8%0.0%-1.8%2.5%170.8K-2.8M-5.1K2.00116.46N/AN/A12541501
2014-06-19$66.86$62.0011.7%3.4%4.9%21.5%0.0%-1.7%-2.7%113.3K-2.8M-5.4K0.00126.48N/AN/A120541491
2014-06-20$67.06$62.0017.7%5.1%5.0%46.7%26.6%-5.6%-15.6%115.4K-3.0M-4.3K0.02127.69N/AN/A2154546491
2014-06-23$66.52$64.008.8%2.5%6.1%9.0%9.1%2.6%-0.4%21.8K-655.7K-4.0K0.80111.01N/AN/A2016186468
2014-06-24$66.13$64.009.2%2.7%6.5%11.1%0.0%2.3%1.1%20.0K-611.3K-4.4K22.00107.07N/AN/A122200470
2014-06-25$66.31$64.008.4%2.4%6.5%7.5%0.0%2.2%1.0%37.2K-624.0K-4.6K0.00104.70N/AN/A00201492
2014-06-26$66.26$64.008.0%2.3%6.4%5.8%0.0%3.7%3.3%15.9K-559.6K-4.8K1.00106.81N/AN/A11201492
2014-06-27$66.34$64.008.2%2.4%6.4%6.8%6.3%3.2%2.1%18.5K-587.4K-4.7K0.00107.23N/AN/A150202493
2014-06-30$66.32$64.009.2%2.6%6.4%10.9%0.0%1.9%0.0%24.1K-650.5K-4.5K0.00111.03N/AN/A09204493