VYM Options History — October 2014

In October 2014, VYM traded between $63.09 and $68.11. ATM implied volatility averaged 13.1%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 2.1% (HV 20d: 15.2%). Max pain ranged from $64.00 to $64.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.94.

Notable Days

  • 2014-10-21: Highest Volume — 459 contracts
  • 2014-10-15: Largest IV spike — 50.4% change
  • 2014-10-15: Highest IV Rank — 63.2%
  • 2014-10-13: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.48$63.09$68.11$65.61$68.11
Max Pain$64.00$64.00$64.00$64.00$64.00
ATM IV13.1%9.1%21.6%13.4%9.1%
Expected Move4.0%3.5%4.6%3.8%3.5%
HV 20d15.2%10.3%17.9%10.3%17.3%
HV 60d11.3%9.2%12.6%9.2%12.2%
IV Rank27.5%10.3%63.2%28.6%10.3%
IV Percentile82.4%34.1%99.6%94.0%34.1%
Term Structure1.1%-3.7%4.7%-1.1%1.1%
VWIV14.6%11.7%18.9%11.7%13.4%
Skew 25d5.1%-14.5%11.5%-14.5%2.8%
Skew 10d13.3%-20.3%37.6%-20.3%5.4%
Call IV 25d11.5%7.7%29.3%29.3%8.4%
Put IV 25d16.6%11.2%21.9%14.8%11.2%
Bid-Ask Spread %63.9460.4269.4462.0360.42
Gamma HHI0.210.160.270.210.23
Net GEX7.3K-187.5K370.4K-90.8K370.4K
Net DEX-105.1K-2.5M1.6M79.4K-2.5M
Net VEX-10.1K-12.4K-7.9K-9.3K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.0027.000.500.36
Total Volume212.47834595376
Total OI1,091.6529411,2719411,271

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$65.61$64.0013.4%3.8%10.3%28.6%0.0%-14.5%-1.1%-90.8K79.4K-9.3K0.0062.03N/AN/A05423518
2014-10-02$65.58$64.0012.7%3.7%10.3%25.8%0.0%1.6%-0.9%-99.6K120.2K-9.1K0.5061.67N/AN/A105423522
2014-10-03$66.16$64.0011.1%3.6%10.7%19.1%11.7%4.2%2.1%-49.9K-196.9K-8.9K0.1165.00N/AN/A354433523
2014-10-06$66.12$64.0011.0%3.6%10.7%18.4%16.7%4.9%0.9%-59.4K-262.7K-9.0K2.0061.78N/AN/A12457523
2014-10-07$65.23$64.0013.5%4.0%11.5%29.0%0.0%6.4%0.5%-114.1K149.0K-8.9K0.0062.55N/AN/A012458525
2014-10-08$66.37$64.0010.8%3.7%13.2%17.8%13.2%5.3%0.8%-21.1K-468.4K-9.1K0.4163.60N/AN/A249102486537
2014-10-09$65.15$64.0014.9%3.9%14.5%35.1%14.4%6.0%-0.6%-136.7K281.7K-9.2K0.1063.97N/AN/A202475542
2014-10-10$64.59$64.0013.9%4.1%14.7%30.9%14.2%10.0%-0.7%-162.1K496.1K-9.1K0.7164.63N/AN/A2115494544
2014-10-13$63.73$64.0018.1%4.6%15.2%48.4%18.9%7.9%-1.2%-145.7K1.0M-8.5K0.1665.34N/AN/A6210507556
2014-10-14$64.34$64.0014.3%4.3%15.5%32.6%14.2%7.0%0.9%-187.5K828.6K-8.9K0.4161.65N/AN/A242100548566
2014-10-15$63.29$64.0021.6%4.4%16.2%63.2%14.6%7.4%1.5%-126.1K1.4M-7.9K0.4161.44N/AN/A271112549578
2014-10-16$63.09$64.0014.6%4.5%15.9%33.9%0.0%7.1%1.5%-79.7K1.6M-8.0K27.0064.66N/AN/A7189539589
2014-10-17$63.82$64.0013.0%4.3%16.7%27.0%0.0%6.5%1.5%-63.7K1.4M-9.4K0.9167.36N/AN/A7669546673
2014-10-20$64.44$64.0012.7%4.2%16.9%25.6%14.1%6.1%2.7%13.4K379.0K-9.9K0.9464.78N/AN/A210198560448
2014-10-21$65.40$64.0015.6%3.9%17.9%37.9%13.1%4.9%-3.7%39.0K-134.1K-10.9K0.6869.44N/AN/A274185553487
2014-10-22$65.25$64.0014.0%4.1%17.7%31.2%14.5%6.5%1.7%72.7K-216.9K-12.0K0.9262.92N/AN/A205189637494
2014-10-23$65.78$64.0011.9%4.0%17.3%22.1%14.7%4.3%2.9%102.5K-610.6K-12.4K1.0261.86N/AN/A186189662498
2014-10-24$66.37$64.0012.6%3.9%17.4%25.3%14.6%11.5%1.5%125.2K-831.6K-12.4K0.9762.84N/AN/A189183662498
2014-10-27$66.31$64.0012.8%4.0%17.4%26.2%18.1%9.3%1.6%121.0K-804.7K-12.3K0.0067.30N/AN/A03667503
2014-10-28$66.98$64.009.7%3.7%17.7%12.9%0.0%2.9%4.4%173.3K-1.2M-11.8K0.0065.92N/AN/A820667506
2014-10-29$66.99$64.009.8%3.6%17.1%13.2%14.2%3.9%4.7%242.0K-1.4M-12.1K0.6764.89N/AN/A227153734506
2014-10-30$67.32$64.0010.8%3.6%17.2%17.7%14.3%5.0%3.4%245.3K-1.6M-12.0K0.5864.55N/AN/A264153715506
2014-10-31$68.11$64.009.1%3.5%17.3%10.3%13.4%2.8%1.1%370.4K-2.5M-11.5K0.3660.42N/AN/A276100771500