VYM Options History — March 2015

In March 2015, VYM traded between $67.52 and $70.25. ATM implied volatility averaged 10.2%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.8% (HV 20d: 10.9%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2015-03-31: Highest Volume — 548 contracts
  • 2015-03-27: Largest IV spike — 44.5% change
  • 2015-03-27: Highest IV Rank — 38.1%
  • 2015-03-27: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.68$67.52$70.25$70.25$68.16
Max Pain$66.77$65.00$70.00$68.00$67.00
ATM IV10.2%7.0%12.3%9.1%11.8%
Expected Move2.9%2.0%3.5%2.6%3.4%
HV 20d10.9%7.6%14.0%9.5%14.0%
HV 60d13.6%13.2%13.9%13.6%13.7%
IV Rank22.0%2.6%38.1%10.5%34.8%
IV Percentile51.9%2.4%81.0%35.7%77.4%
Term Structure1.0%-2.2%4.1%0.2%-1.3%
VWIV12.1%7.1%21.3%8.7%11.7%
Skew 25d4.1%1.3%8.1%2.7%2.4%
Skew 10d6.7%-0.8%26.3%5.7%4.9%
Call IV 25d8.9%6.0%12.3%7.5%12.3%
Put IV 25d13.0%10.2%15.2%10.2%14.7%
Bid-Ask Spread %100.3682.23131.39131.39112.08
Gamma HHI0.190.120.290.290.14
Net GEX133.5K-5.5K290.1K263.5K24.4K
Net DEX-1.2M-2.2M-365.3K-2.2M-1.4M
Net VEX-8.2K-9.8K-6.9K-7.1K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.005.000.980.43
Total Volume167.2732548267548
Total OI1,022.9098451,1799611,068

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$70.25$68.009.1%2.6%9.5%10.5%8.7%2.7%0.2%263.5K-2.2M-7.1K0.98131.39N/AN/A135132569392
2015-03-03$69.99$68.009.6%2.8%8.8%12.7%9.3%2.5%0.4%254.2K-2.1M-7.2K0.97123.34N/AN/A136132568392
2015-03-04$69.66$68.009.6%2.7%7.9%12.5%10.4%4.1%-0.5%253.2K-1.9M-7.1K0.90120.22N/AN/A136122568392
2015-03-05$69.57$65.008.9%2.6%7.6%9.5%14.4%3.2%1.6%259.2K-1.8M-6.9K1.0197.15N/AN/A136138567392
2015-03-06$68.54$65.0010.8%3.5%8.7%17.8%14.6%4.8%-0.7%156.2K-978.5K-8.2K1.1986.52N/AN/A141168567408
2015-03-09$68.82$65.0010.9%3.4%8.7%28.6%0.0%4.9%0.1%198.6K-1.3M-7.3K0.1794.72N/AN/A234560460
2015-03-10$67.79$65.0011.5%3.3%10.2%32.9%12.4%7.2%0.9%101.8K-746.0K-7.7K0.4695.09N/AN/A7233583463
2015-03-11$67.52$66.0011.8%3.4%9.4%34.6%12.2%5.7%0.5%75.5K-478.9K-8.8K0.7599.48N/AN/A2821603483
2015-03-12$68.30$66.0011.5%3.3%10.4%32.7%0.0%6.3%0.9%94.5K-688.6K-8.8K0.0085.43N/AN/A20585501
2015-03-13$67.91$66.0011.9%3.4%9.8%35.0%13.1%5.2%0.4%72.3K-798.9K-7.6K0.0086.19N/AN/A02587501
2015-03-16$68.72$66.0011.9%3.4%10.7%35.3%13.7%4.6%0.1%136.9K-943.1K-8.3K0.0083.96N/AN/A05587502
2015-03-17$68.57$66.0012.1%3.5%10.7%36.9%21.3%4.5%0.2%99.8K-857.5K-8.2K0.0082.23N/AN/A960587507
2015-03-18$69.46$66.007.5%2.2%11.8%6.0%12.8%4.0%4.0%290.1K-1.9M-9.3K0.0097.71N/AN/A013664507
2015-03-19$68.98$66.009.2%2.6%12.0%16.9%0.0%3.7%3.8%254.3K-1.8M-8.0K1.0092.29N/AN/A44664508
2015-03-20$69.49$66.007.2%2.1%12.3%3.9%7.1%2.0%4.1%213.8K-2.1M-7.7K0.0197.71N/AN/A2854667512
2015-03-23$69.07$70.007.0%2.0%12.4%2.6%13.0%3.2%2.7%75.4K-685.3K-8.2K2.1796.14N/AN/A613389456
2015-03-24$68.53$70.008.5%2.4%12.5%12.6%8.2%5.6%3.2%33.6K-546.8K-8.3K0.20102.81N/AN/A306394466
2015-03-25$67.77$68.0010.9%3.1%13.0%28.4%9.6%1.3%-0.6%11.1K-434.5K-8.7K5.00106.52N/AN/A15412472
2015-03-26$67.60$67.008.5%2.4%13.0%12.7%12.2%2.8%2.4%23.1K-1.1M-9.8K0.38100.25N/AN/A388146562482
2015-03-27$67.72$68.0012.3%3.5%13.0%38.1%13.3%1.6%0.7%-5.5K-365.3K-8.1K0.00106.27N/AN/A023412478
2015-03-30$68.59$67.0010.9%3.1%13.9%28.9%11.8%8.1%-2.2%50.1K-1.4M-9.5K0.42110.36N/AN/A383159562505
2015-03-31$68.16$67.0011.8%3.4%14.0%34.8%11.7%2.4%-1.3%24.4K-1.4M-9.5K0.43112.08N/AN/A383165563505