VYM Options History — February 2015 In February 2015, VYM traded between $67.68 and $70.44. ATM implied volatility averaged 10.9%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 3.9% (HV 20d: 14.7%). Max pain ranged from $68.00 to $68.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.82.
Notable Days 2015-02-10 : Highest Volume — 323 contracts2015-02-04 : Largest IV spike — 20.9% change2015-02-04 : Highest IV Rank — 26.8%2015-02-09 : Largest Expected Move — 4.0%Monthly Statistics Metric Avg Min Max Open Close Price $69.46 $67.68 $70.44 $67.68 $70.05 Max Pain $68.00 $68.00 $68.00 $68.00 $68.00 ATM IV 10.9% 9.1% 13.0% 12.5% 9.4% Expected Move 3.2% 2.6% 4.0% 3.6% 2.7% HV 20d 14.7% 11.7% 17.1% 17.1% 11.7% HV 60d 13.5% 12.9% 13.7% 12.9% 13.6% IV Rank 17.9% 10.3% 26.8% 25.0% 11.6% IV Percentile 63.7% 34.9% 85.3% 81.0% 40.5% Term Structure 0.5% -1.1% 2.3% 1.1% 0.7% VWIV 11.9% 9.0% 15.3% 11.9% 9.0% Skew 25d 4.5% 1.2% 6.4% 6.4% 3.7% Skew 10d 9.4% 5.0% 13.2% 7.1% 5.5% Call IV 25d 9.0% 7.1% 11.6% 9.4% 7.1% Put IV 25d 13.5% 10.6% 16.8% 15.7% 10.8% Bid-Ask Spread % 103.27 72.52 127.60 114.97 112.20 Gamma HHI 0.33 0.16 0.64 0.16 0.24 Net GEX 320.7K 129.3K 685.8K 129.3K 208.8K Net DEX -2.0M -2.9M -803.0K -803.0K -2.1M Net VEX -8.7K -9.9K -6.8K -9.5K -7.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.00 1.17 1.17 0.86 Total Volume 242.895 1 323 13 285 Total OI 1,096.158 904 1,209 1,081 935
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-02-02 $67.68 $68.00 12.5% 3.6% 17.1% 25.0% 11.9% 6.4% 1.1% 129.3K -803.0K -9.5K 1.17 114.97 N/A N/A 6 7 649 432 2015-02-03 $68.59 $68.00 10.7% 3.1% 16.4% 17.3% 12.2% 4.4% 1.0% 213.2K -1.4M -9.7K 1.01 115.86 N/A N/A 160 162 652 444 2015-02-04 $68.22 $68.00 13.0% 3.7% 16.3% 26.8% 12.7% 1.2% 1.0% 186.9K -1.2M -9.9K 0.78 116.43 N/A N/A 160 125 650 444 2015-02-05 $68.93 $68.00 11.7% 3.4% 16.3% 21.4% 12.1% 5.1% 2.3% 248.6K -1.6M -9.5K 0.71 72.52 N/A N/A 172 122 656 459 2015-02-06 $68.63 $68.00 11.7% 3.7% 15.1% 21.3% 15.1% 5.3% 1.6% 220.2K -1.5M -9.6K 0.78 77.64 N/A N/A 165 129 667 461 2015-02-09 $68.44 $68.00 12.7% 4.0% 15.0% 25.5% 15.1% 5.9% -0.3% 201.5K -1.2M -9.9K 0.94 81.58 N/A N/A 154 145 663 469 2015-02-10 $69.17 $68.00 11.1% 3.5% 15.3% 18.9% 15.1% 5.2% -0.9% 299.2K -1.7M -9.6K 0.90 82.27 N/A N/A 170 153 670 477 2015-02-11 $69.07 $68.00 11.9% 3.4% 15.2% 22.6% 15.3% 5.4% -0.7% 316.8K -1.9M -9.5K 0.84 85.47 N/A N/A 164 138 689 488 2015-02-12 $69.77 $68.00 10.9% 3.1% 15.4% 18.0% 12.6% 4.7% 0.1% 436.9K -2.5M -8.7K 0.81 94.43 N/A N/A 171 138 691 494 2015-02-13 $69.99 $68.00 10.4% 3.0% 15.1% 15.9% 11.4% 4.2% 0.6% 515.4K -2.6M -9.6K 0.80 99.02 N/A N/A 164 131 715 491 2015-02-17 $70.00 $68.00 10.9% 3.1% 14.8% 17.9% 13.0% 5.3% 0.1% 519.6K -2.7M -9.0K 0.84 100.38 N/A N/A 153 129 712 491 2015-02-18 $70.00 $68.00 11.4% 3.3% 14.8% 20.1% 11.0% 5.5% -1.1% 548.6K -2.8M -7.8K 0.85 110.54 N/A N/A 156 132 705 491 2015-02-19 $69.86 $68.00 10.6% 3.0% 14.8% 16.8% 11.8% 4.1% -0.0% 508.2K -2.6M -8.0K 1.10 105.28 N/A N/A 10 11 698 495 2015-02-20 $70.17 $68.00 9.8% 2.8% 14.2% 13.2% 9.8% 4.1% 0.9% 685.8K -2.9M -8.4K 0.00 108.76 N/A N/A 1 0 708 501 2015-02-23 $70.18 $68.00 9.8% 2.8% 13.9% 13.2% 10.2% 3.8% 0.5% 216.8K -2.2M -6.8K 0.72 118.08 N/A N/A 136 98 542 362 2015-02-24 $70.44 $68.00 9.6% 2.8% 14.0% 12.7% 9.2% 3.8% 1.0% 225.4K -2.3M -7.1K 0.75 118.08 N/A N/A 142 106 558 390 2015-02-25 $70.29 $68.00 9.1% 2.6% 12.5% 10.3% 9.4% 3.5% 1.0% 211.1K -2.1M -7.5K 0.85 120.97 N/A N/A 142 121 553 390 2015-02-26 $70.29 $68.00 9.5% 2.7% 11.9% 12.1% 9.2% 3.3% 0.3% 201.9K -2.0M -8.0K 0.82 127.60 N/A N/A 141 116 553 382 2015-02-27 $70.05 $68.00 9.4% 2.7% 11.7% 11.6% 9.0% 3.7% 0.7% 208.8K -2.1M -7.4K 0.86 112.20 N/A N/A 153 132 553 382
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