VYM Options History — July 2014

In July 2014, VYM traded between $65.21 and $67.15. ATM implied volatility averaged 8.9%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 2.2% (HV 20d: 6.7%). Max pain ranged from $64.00 to $66.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 3.13.

Notable Days

  • 2014-07-31: Highest Volume — 76 contracts
  • 2014-07-31: Largest IV spike — 64.9% change
  • 2014-07-07: Highest IV Rank — 33.3%
  • 2014-07-31: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.73$65.21$67.15$66.63$65.21
Max Pain$65.73$64.00$66.00$64.00$66.00
ATM IV8.9%7.4%14.5%8.7%13.4%
Expected Move2.4%2.1%3.8%2.5%3.8%
HV 20d6.7%5.9%9.9%6.5%9.9%
HV 60d6.8%6.1%7.8%7.7%7.8%
IV Rank9.7%3.4%33.3%8.9%28.5%
IV Percentile24.3%3.2%97.2%16.3%93.3%
Term Structure1.5%-3.7%3.6%-3.7%-0.9%
VWIV8.9%6.1%11.9%11.8%11.5%
Skew 25d3.9%-1.6%6.2%-1.6%6.2%
Skew 10d19.2%1.9%38.3%1.9%7.3%
Call IV 25d6.2%4.4%8.9%8.9%8.5%
Put IV 25d10.1%7.3%14.7%7.3%14.7%
Bid-Ask Spread %103.4492.08113.72111.6196.35
Gamma HHI0.250.170.310.250.17
Net GEX36.0K-36.3K66.1K5.6K-36.3K
Net DEX-526.7K-952.5K327.2K-622.3K327.2K
Net VEX-5.6K-6.9K-4.7K-4.7K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.130.0035.003.330.13
Total Volume25.7731761376
Total OI687.364481841706620

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$66.63$64.008.7%2.5%6.5%8.9%11.8%-1.6%-3.7%5.6K-622.3K-4.7K3.33111.61N/AN/A310204502
2014-07-02$66.61$64.008.3%2.4%6.5%6.9%0.0%-1.2%-1.7%8.1K-622.7K-4.7K0.30108.61N/AN/A237207498
2014-07-03$66.91$64.009.0%2.6%6.3%10.2%0.0%0.4%-2.9%27.8K-689.4K-4.9K0.00111.39N/AN/A04225505
2014-07-07$66.85$66.0014.5%2.2%6.3%33.3%11.1%5.0%3.1%28.4K-683.8K-4.8K0.60113.72N/AN/A2012225509
2014-07-08$66.55$66.0010.1%2.2%6.5%14.7%7.9%5.4%3.4%32.0K-685.4K-5.2K0.40105.32N/AN/A52245514
2014-07-09$66.73$66.0010.3%2.2%6.5%15.5%0.0%4.7%3.6%37.6K-724.5K-5.1K0.00108.91N/AN/A70246516
2014-07-10$66.57$66.007.8%2.2%6.4%4.8%0.0%4.5%3.3%38.7K-699.9K-5.2K0.00108.84N/AN/A01253516
2014-07-11$66.58$66.007.8%2.2%5.9%4.9%0.0%4.4%3.5%40.7K-697.8K-5.2K0.00108.61N/AN/A500253515
2014-07-14$66.84$66.007.7%2.2%5.9%4.5%7.6%4.9%3.6%46.8K-806.6K-4.9K0.91111.57N/AN/A1110253515
2014-07-15$66.74$66.007.8%2.2%5.9%5.1%7.9%4.1%3.6%52.8K-803.9K-5.0K0.67106.82N/AN/A3020260517
2014-07-16$67.15$66.007.4%2.1%6.2%3.4%6.1%3.3%3.6%65.5K-952.5K-5.2K0.46107.13N/AN/A136286537
2014-07-17$66.43$66.0011.2%3.2%7.0%19.4%10.8%6.2%0.5%58.5K-703.2K-5.6K3.60106.38N/AN/A518283539
2014-07-18$66.97$66.008.3%2.4%7.6%7.1%0.0%5.0%3.1%51.9K-848.6K-5.5K0.00104.51N/AN/A90288553
2014-07-21$66.81$66.007.8%2.2%7.5%4.8%6.3%4.3%1.3%47.1K-363.8K-5.4K3.1393.62N/AN/A825221260
2014-07-22$67.02$66.007.4%2.1%7.0%3.5%7.5%4.7%1.6%56.2K-436.6K-5.4K0.8098.75N/AN/A4032224267
2014-07-23$67.14$66.008.1%2.3%6.6%6.4%6.2%5.1%1.2%66.1K-474.1K-5.6K35.0098.43N/AN/A270239283
2014-07-24$67.15$66.007.9%2.3%6.6%5.5%0.0%2.7%1.5%40.7K-332.5K-6.3K0.0094.82N/AN/A011239353
2014-07-25$66.93$66.007.7%2.2%6.7%4.6%0.0%4.3%1.6%35.2K-256.1K-6.6K0.0097.05N/AN/A020239360
2014-07-28$67.01$66.008.6%2.5%6.7%8.3%0.0%4.3%0.6%36.5K-226.4K-6.7K0.0092.74N/AN/A010239378
2014-07-29$66.76$66.008.2%2.4%6.9%6.7%0.0%5.0%1.3%33.4K-223.9K-6.6K0.0098.42N/AN/A02239378
2014-07-30$66.54$66.008.1%2.3%6.8%6.2%11.9%3.6%1.1%18.3K-61.6K-6.8K0.6792.08N/AN/A32239380
2014-07-31$65.21$66.0013.4%3.8%9.9%28.5%11.5%6.2%-0.9%-36.3K327.2K-6.9K0.1396.35N/AN/A679240380