VYM Options History — September 2014

In September 2014, VYM traded between $66.20 and $68.09. ATM implied volatility averaged 10.4%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.8% (HV 20d: 6.6%). Max pain ranged from $64.00 to $65.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2014-09-19: Highest Volume — 164 contracts
  • 2014-09-09: Largest IV spike — 44.6% change
  • 2014-09-30: Highest IV Rank — 32.3%
  • 2014-09-30: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.25$66.20$68.09$67.49$66.41
Max Pain$64.52$64.00$65.00$65.00$64.00
ATM IV10.4%6.8%14.3%8.9%14.3%
Expected Move3.4%3.1%3.7%3.4%3.7%
HV 20d6.6%5.0%9.6%7.0%9.5%
HV 60d8.1%7.7%9.0%7.9%8.9%
IV Rank16.0%0.5%32.3%9.6%32.3%
IV Percentile55.5%0.8%96.4%29.4%96.4%
Term Structure1.6%-2.4%5.5%3.0%-1.7%
VWIV12.7%9.9%15.6%15.4%14.7%
Skew 25d4.5%2.2%6.4%2.5%3.0%
Skew 10d6.4%2.4%9.7%2.5%3.9%
Call IV 25d7.9%6.3%11.5%6.6%11.5%
Put IV 25d12.4%9.1%14.5%9.1%14.5%
Bid-Ask Spread %64.3259.3968.7765.0060.37
Gamma HHI0.230.150.450.220.19
Net GEX90.5K-59.4K251.5K138.4K-35.8K
Net DEX-936.5K-1.7M-169.8K-1.1M-290.2K
Net VEX-8.5K-9.3K-7.8K-8.7K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.009.500.002.77
Total Volume32.0950164470
Total OI904.952792970881954

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$67.49$65.008.9%3.4%7.0%9.6%15.4%2.5%3.0%138.4K-1.1M-8.7K0.0065.00N/AN/A04443438
2014-09-03$67.43$65.008.8%3.4%5.7%9.2%0.0%2.7%3.4%123.9K-1.2M-8.6K0.0065.43N/AN/A05443442
2014-09-04$67.34$65.008.2%3.4%5.8%6.7%11.2%2.2%3.3%141.7K-1.1M-8.6K0.0063.92N/AN/A120443437
2014-09-05$67.69$65.006.8%3.2%5.5%0.5%12.9%4.8%4.5%144.8K-1.3M-8.6K0.0065.89N/AN/A02455437
2014-09-08$67.44$65.007.0%3.4%5.0%1.7%13.8%5.4%1.6%145.7K-1.2M-8.4K0.0065.63N/AN/A015455439
2014-09-09$67.08$65.0010.2%3.3%5.6%15.0%0.0%5.1%-0.5%125.1K-1.0M-8.6K3.6066.42N/AN/A518455450
2014-09-10$67.34$65.009.9%3.3%5.6%14.0%10.1%6.0%-1.8%132.6K-1.1M-8.6K0.0066.45N/AN/A160455468
2014-09-11$67.50$65.0010.6%3.3%5.3%16.7%0.0%6.4%2.2%128.4K-1.2M-8.5K0.0067.70N/AN/A00471468
2014-09-12$67.12$65.0012.2%3.4%5.8%23.4%0.0%4.1%-1.3%129.3K-1.0M-8.7K0.0063.02N/AN/A00471468
2014-09-15$67.21$65.0011.8%3.4%5.7%21.9%11.2%5.7%1.0%148.6K-1.1M-8.4K0.1763.51N/AN/A295471468
2014-09-16$67.62$65.009.8%3.1%5.6%13.3%12.1%5.1%5.5%149.1K-1.3M-8.0K0.0065.12N/AN/A290469472
2014-09-17$67.71$64.009.7%3.1%5.4%13.1%10.9%5.6%5.4%203.9K-1.5M-8.3K0.5068.77N/AN/A21498472
2014-09-18$68.01$64.0010.6%3.1%5.5%16.8%0.0%4.1%4.6%206.6K-1.6M-8.5K0.2367.26N/AN/A133500465
2014-09-19$68.09$64.008.4%3.2%5.5%7.5%9.9%6.4%5.4%251.5K-1.7M-8.0K3.2165.21N/AN/A39125494464
2014-09-22$67.24$64.0010.8%3.4%7.1%17.5%14.0%5.3%1.3%-43.6K-450.3K-7.8K3.7563.37N/AN/A2075293499
2014-09-23$66.85$64.0012.6%3.5%7.2%25.1%0.0%4.1%-1.8%-50.7K-335.5K-8.0K0.1663.46N/AN/A447303497
2014-09-24$67.21$64.0010.2%3.4%7.5%15.1%13.5%6.1%3.3%-9.3K-451.0K-8.1K0.0062.78N/AN/A230347504
2014-09-25$66.20$64.0013.2%3.6%9.2%27.8%15.6%2.6%-1.7%-59.4K-169.8K-8.7K9.5061.09N/AN/A219370504
2014-09-26$66.67$64.0010.9%3.3%9.6%18.2%0.0%4.3%1.5%-36.2K-326.5K-8.7K0.0061.03N/AN/A420372519
2014-09-29$66.52$64.0013.8%3.5%9.5%30.2%12.3%2.9%-2.4%-34.1K-316.9K-8.9K2.7759.39N/AN/A1336412519
2014-09-30$66.41$64.0014.3%3.7%9.5%32.3%14.7%3.0%-1.7%-35.8K-290.2K-9.3K0.0060.37N/AN/A070423531