VYM Options History — December 2014

In December 2014, VYM traded between $66.60 and $70.31. ATM implied volatility averaged 11.0%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.5% (HV 20d: 9.6%). Max pain ranged from $65.00 to $69.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2014-12-18: Highest Volume — 374 contracts
  • 2014-12-10: Largest IV spike — 51.3% change
  • 2014-12-10: Highest IV Rank — 46.8%
  • 2014-12-12: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.08$66.60$70.31$69.72$68.75
Max Pain$65.84$65.00$69.00$65.00$69.00
ATM IV11.0%8.6%17.7%10.7%8.6%
Expected Move3.5%3.0%4.5%3.3%3.6%
HV 20d9.6%4.2%13.9%4.2%13.9%
HV 60d12.6%11.9%13.4%12.0%13.0%
IV Rank18.7%8.5%46.8%17.0%8.5%
IV Percentile61.1%28.6%98.4%67.9%28.6%
Term Structure1.5%-2.1%5.5%-0.7%3.3%
VWIV13.8%10.9%16.7%13.6%14.2%
Skew 25d11.1%-6.9%51.4%51.4%7.5%
Skew 10d14.7%-13.5%71.1%71.1%-3.9%
Call IV 25d13.9%7.7%19.9%11.3%9.5%
Put IV 25d25.0%11.3%67.6%62.6%17.0%
Bid-Ask Spread %74.2563.5788.4770.4969.66
Gamma HHI0.270.160.430.230.24
Net GEX161.1K54.6K232.2K161.3K190.3K
Net DEX-1.9M-2.7M-417.4K-2.0M-1.9M
Net VEX-8.2K-9.7K-6.9K-8.5K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.002.202.202.00
Total Volume217.955137415730
Total OI1,022.4099561,0999581,042

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$69.72$65.0010.7%3.3%4.2%17.0%13.6%51.4%-0.7%161.3K-2.0M-8.5K2.2070.49N/AN/A49108543415
2014-12-02$70.02$65.0011.8%3.3%4.4%21.9%13.6%41.3%-2.1%156.0K-2.1M-8.2K2.1670.11N/AN/A49106538418
2014-12-03$70.31$65.008.6%3.2%4.4%8.6%13.2%35.6%1.9%193.9K-2.3M-7.4K1.8075.81N/AN/A60108538419
2014-12-04$70.16$65.0010.3%3.2%4.2%15.3%0.0%41.2%-0.5%203.1K-2.3M-7.3K0.0075.68N/AN/A02553421
2014-12-05$70.10$65.009.3%3.2%4.2%11.5%13.1%2.3%2.3%199.6K-2.4M-7.2K2.0275.58N/AN/A51103553423
2014-12-08$69.55$65.0011.0%3.3%5.2%18.6%13.5%2.4%2.6%181.0K-1.8M-8.4K2.0271.42N/AN/A51103556425
2014-12-09$69.40$65.0011.7%3.1%5.3%21.4%13.0%4.2%3.5%232.2K-2.0M-6.9K1.8973.55N/AN/A62117556425
2014-12-10$68.22$65.0017.7%3.8%8.1%46.8%13.6%3.9%-1.1%125.3K-1.2M-8.8K1.8967.48N/AN/A62117571440
2014-12-11$68.44$65.0014.4%3.9%8.2%32.8%15.6%3.8%-0.8%149.9K-1.3M-8.4K0.6568.58N/AN/A176115571440
2014-12-12$67.41$65.0014.8%4.5%9.7%34.8%15.8%5.9%0.6%102.3K-911.7K-9.7K0.7363.57N/AN/A162119598445
2014-12-15$66.99$65.0013.4%4.1%9.8%28.6%15.4%4.4%1.0%94.4K-646.9K-9.1K0.9264.41N/AN/A172159601448
2014-12-16$66.60$65.0015.1%4.4%9.9%36.1%16.7%8.3%0.3%54.6K-417.4K-9.5K0.9167.17N/AN/A172157601498
2014-12-17$67.87$65.0011.8%4.0%12.1%21.7%15.7%6.9%5.5%117.3K-1.2M-8.3K0.9868.16N/AN/A177174588484
2014-12-18$68.77$65.008.7%4.1%13.2%8.9%15.1%3.8%4.2%132.9K-1.7M-8.7K0.8769.89N/AN/A200174588501
2014-12-19$69.12$65.009.8%3.5%13.3%13.6%12.1%-1.3%2.0%162.0K-2.1M-8.2K0.6773.42N/AN/A1510586501
2014-12-22$69.40$0.009.4%3.6%13.3%11.8%0.0%-1.1%2.8%174.5K-2.1M-8.4K0.6385.54N/AN/A207130578418
2014-12-23$69.73$0.009.1%3.1%13.4%10.6%0.0%-5.6%1.6%181.2K-2.6M-7.9K0.7279.65N/AN/A180130608423
2014-12-24$69.71$0.009.3%3.0%13.4%11.2%10.9%-5.5%1.2%178.9K-2.6M-8.0K0.7385.58N/AN/A180131614428
2014-12-26$69.96$69.009.5%3.2%13.4%12.0%11.4%-6.9%1.8%176.7K-2.7M-7.8K0.6388.47N/AN/A207131614429
2014-12-29$70.00$69.008.9%3.2%13.4%9.7%11.2%47.7%2.0%185.1K-2.6M-7.8K0.6384.02N/AN/A207131623429
2014-12-30$69.57$69.008.8%3.0%13.4%9.1%0.0%-5.9%1.6%192.2K-2.5M-7.8K0.0085.31N/AN/A10614429
2014-12-31$68.75$69.008.6%3.6%13.9%8.5%14.2%7.5%3.3%190.3K-1.9M-8.4K2.0069.66N/AN/A1020613429