VYM Options History — August 2014

In August 2014, VYM traded between $64.59 and $67.66. ATM implied volatility averaged 9.3%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.8% (HV 20d: 10.2%). Max pain ranged from $65.00 to $67.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2014-08-21: Highest Volume — 77 contracts
  • 2014-08-12: Largest IV drop — 15.2% change
  • 2014-08-01: Highest IV Rank — 26.1%
  • 2014-08-01: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.23$64.59$67.66$65.09$67.66
Max Pain$65.11$65.00$67.00$65.00$65.00
ATM IV9.3%7.1%12.8%12.8%7.1%
Expected Move3.2%2.6%3.7%3.7%3.2%
HV 20d10.2%6.9%11.1%9.6%6.9%
HV 60d8.0%7.6%8.2%7.6%7.9%
IV Rank11.4%1.9%26.1%26.1%1.9%
IV Percentile35.0%2.0%88.1%88.1%2.0%
Term Structure1.7%-1.7%4.8%-0.7%-1.7%
VWIV11.9%9.5%16.0%12.7%16.0%
Skew 25d5.6%2.0%14.8%4.0%7.8%
Skew 10d16.1%1.9%38.9%7.6%38.9%
Call IV 25d7.9%5.4%10.7%10.7%6.9%
Put IV 25d13.5%9.0%23.1%14.7%14.7%
Bid-Ask Spread %83.4263.05102.1695.6567.62
Gamma HHI0.180.150.240.170.24
Net GEX20.1K-55.6K135.8K-25.0K135.8K
Net DEX-307.3K-1.2M574.2K370.7K-1.2M
Net VEX-7.9K-9.1K-7.1K-7.3K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.008.001.250.71
Total Volume23.2861776312
Total OI772.19675889675889

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$65.09$65.0012.8%3.7%9.6%26.1%12.7%4.0%-0.7%-25.0K370.7K-7.3K1.2595.65N/AN/A2835286389
2014-08-04$65.37$65.0011.1%3.4%9.8%18.8%11.3%6.7%0.3%-20.5K216.5K-7.7K0.0099.76N/AN/A50314409
2014-08-05$64.73$65.0010.9%3.4%10.3%18.0%9.5%5.6%-0.1%-38.7K530.8K-7.6K0.5598.72N/AN/A116316409
2014-08-06$64.85$65.0010.6%3.4%10.2%16.9%10.4%5.7%-0.2%-42.5K496.8K-7.7K0.3395.58N/AN/A93322415
2014-08-07$64.59$65.0011.2%3.5%10.3%19.3%10.8%5.5%-0.1%-43.7K574.2K-7.7K1.5094.63N/AN/A23326418
2014-08-08$65.26$65.0010.4%3.4%11.1%15.8%0.0%4.5%0.5%-37.2K336.8K-7.7K0.0098.06N/AN/A10328418
2014-08-11$65.46$65.0011.3%3.3%11.0%19.7%0.0%5.7%0.2%-15.6K121.2K-7.5K0.2097.58N/AN/A51329418
2014-08-12$65.43$65.009.6%3.3%11.0%12.5%0.0%5.7%0.4%-55.6K233.0K-7.4K0.1198.86N/AN/A475326418
2014-08-13$65.85$65.009.9%2.8%11.1%14.0%10.9%14.8%1.9%-7.2K-90.8K-7.9K0.0098.20N/AN/A03366423
2014-08-14$66.10$65.009.3%2.7%10.5%11.2%0.0%10.5%1.9%-312-233.5K-7.6K0.06102.16N/AN/A171361421
2014-08-15$66.09$65.009.1%2.6%10.1%10.5%0.0%11.7%1.8%-31.9K-218.2K-7.7K8.0099.88N/AN/A324376420
2014-08-18$66.57$0.008.3%3.2%10.4%7.0%0.0%4.1%2.8%9.6K-344.0K-7.6K0.2765.78N/AN/A226305399
2014-08-19$66.89$0.007.6%3.1%10.5%4.3%0.0%4.7%3.3%33.8K-569.7K-7.2K0.0068.41N/AN/A110317399
2014-08-20$67.02$0.008.4%3.3%10.5%7.6%11.6%3.8%2.8%33.3K-597.9K-7.1K0.2063.05N/AN/A153317399
2014-08-21$67.23$67.008.2%3.3%10.6%6.7%13.1%2.6%3.0%40.2K-741.9K-7.3K0.1267.18N/AN/A698330402
2014-08-22$67.06$65.008.3%3.2%10.5%6.9%10.7%3.3%3.4%61.2K-909.9K-8.6K0.1468.40N/AN/A213399410
2014-08-25$67.37$65.008.0%3.3%10.7%5.7%13.5%3.4%3.4%87.1K-1.1M-8.3K7.0067.33N/AN/A749410411
2014-08-26$67.34$65.008.4%3.3%10.6%7.6%0.0%2.9%4.8%77.2K-1.0M-9.1K0.0068.75N/AN/A430417437
2014-08-27$67.46$65.008.3%3.3%10.5%6.9%0.0%2.6%3.3%127.1K-1.2M-8.9K2.0068.01N/AN/A12446437
2014-08-28$67.44$65.007.2%3.4%7.0%2.3%16.0%2.0%4.8%135.3K-1.1M-9.0K3.0068.23N/AN/A26446438
2014-08-29$67.66$65.007.1%3.2%6.9%1.9%0.0%7.8%-1.7%135.8K-1.2M-8.7K0.7167.62N/AN/A75446443