VYM Options History — January 2015

In January 2015, VYM traded between $66.76 and $69.25. ATM implied volatility averaged 13.6%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 1.5% (HV 20d: 15.1%). Max pain ranged from $68.00 to $69.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.57.

Notable Days

  • 2015-01-13: Highest Volume — 351 contracts
  • 2015-01-09: Largest IV spike — 68.7% change
  • 2015-01-13: Highest IV Rank — 46.0%
  • 2015-01-15: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.03$66.76$69.25$68.78$66.76
Max Pain$68.25$68.00$69.00$69.00$68.00
ATM IV13.6%8.9%17.5%9.4%15.5%
Expected Move3.9%3.2%4.5%3.5%4.4%
HV 20d15.1%13.4%17.2%13.8%16.3%
HV 60d12.1%11.5%12.8%12.6%12.6%
IV Rank29.5%9.5%46.0%11.6%37.6%
IV Percentile84.8%32.5%97.6%43.7%96.4%
Term Structure0.1%-1.1%2.4%2.4%-0.7%
VWIV13.6%10.7%21.0%12.9%14.9%
Skew 25d5.5%3.7%6.8%4.8%6.8%
Skew 10d11.5%-1.6%14.8%-1.6%11.4%
Call IV 25d11.2%9.8%12.8%10.0%12.6%
Put IV 25d16.7%13.6%19.5%14.8%19.3%
Bid-Ask Spread %85.9268.24107.9770.89101.37
Gamma HHI0.220.150.320.250.15
Net GEX172.8K87.3K231.5K188.6K87.3K
Net DEX-1.4M-2.2M-362.6K-1.8M-362.6K
Net VEX-8.8K-10.3K-8.0K-8.3K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.1110.000.661.08
Total Volume212.9510351312346
Total OI1,0587661,2801,0711,079

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$68.78$69.009.4%3.5%13.8%11.6%12.9%4.8%2.4%188.6K-1.8M-8.3K0.6670.89N/AN/A188124622449
2015-01-05$67.49$69.0015.5%4.3%15.2%37.4%12.0%5.9%-0.4%161.5K-1.2M-8.0K0.8269.21N/AN/A2218613449
2015-01-06$67.05$69.0014.7%4.2%15.3%34.1%11.5%6.5%0.3%153.4K-1.1M-8.1K4.8668.24N/AN/A734621464
2015-01-07$67.81$69.0012.8%3.8%15.9%26.0%0.0%5.7%0.5%171.8K-1.4M-8.2K1.1784.11N/AN/A67624496
2015-01-08$69.01$69.008.9%3.6%17.2%9.5%10.7%5.5%-1.1%179.4K-2.2M-8.2K0.6581.37N/AN/A195126639493
2015-01-09$68.58$68.0015.0%3.5%16.2%35.4%11.0%5.3%1.2%220.7K-2.1M-8.9K0.6481.41N/AN/A196126698478
2015-01-12$68.17$68.0015.0%4.0%16.3%35.6%12.8%6.1%-0.1%226.3K-1.9M-8.3K0.6478.74N/AN/A195125701478
2015-01-13$67.87$68.0017.5%4.0%15.4%46.0%14.5%6.3%0.0%216.5K-1.7M-8.4K0.8072.84N/AN/A195156703503
2015-01-14$67.65$68.0014.6%4.2%15.3%33.7%17.3%6.0%-0.4%177.0K-1.4M-8.8K1.0377.80N/AN/A171176703545
2015-01-15$67.19$68.0015.7%4.5%15.3%38.2%17.7%6.7%-0.7%231.5K-1.4M-8.7K1.1175.85N/AN/A159177713565
2015-01-16$67.91$68.0014.2%4.1%14.3%32.3%21.0%5.3%0.6%176.1K-1.6M-8.7K0.0081.99N/AN/A010713567
2015-01-20$68.13$68.0014.6%4.2%13.4%33.8%12.6%5.9%-0.3%106.4K-976.8K-8.5K0.4288.46N/AN/A3816508258
2015-01-21$68.40$68.0014.0%4.0%13.4%31.0%11.8%5.3%0.1%139.9K-1.2M-8.8K0.1182.44N/AN/A455542266
2015-01-22$69.25$68.0011.8%3.4%14.1%21.9%13.4%4.7%0.4%200.2K-1.7M-9.0K0.7893.74N/AN/A147114587271
2015-01-23$68.76$68.0011.1%3.2%14.2%18.7%12.0%4.0%1.0%191.1K-1.6M-9.1K0.6498.12N/AN/A181115588289
2015-01-26$68.90$68.0011.0%3.2%14.2%18.6%10.9%3.7%0.2%227.2K-1.5M-9.0K2.11107.97N/AN/A919618293
2015-01-27$67.82$68.0012.7%3.6%15.1%25.6%12.1%5.5%0.2%170.5K-1.1M-8.8K10.00106.65N/AN/A13130615301
2015-01-28$67.19$68.0015.2%4.3%15.3%36.1%15.0%6.0%-1.1%105.9K-571.8K-10.0K1.1698.95N/AN/A151175623412
2015-01-29$67.86$68.0013.1%3.8%15.8%27.5%13.9%4.6%0.1%124.5K-737.8K-10.3K1.1098.27N/AN/A163179643430
2015-01-30$66.76$68.0015.5%4.4%16.3%37.6%14.9%6.8%-0.7%87.3K-362.6K-10.0K1.08101.37N/AN/A166180643436