VYM Options History — April 2015

In April 2015, VYM traded between $67.80 and $70.13. ATM implied volatility averaged 9.8%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 1.4% (HV 20d: 11.1%). Max pain ranged from $66.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2015-04-15: Highest Volume — 582 contracts
  • 2015-04-21: Largest IV spike — 61.9% change
  • 2015-04-01: Highest IV Rank — 42.0%
  • 2015-04-01: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.17$67.80$70.13$67.80$69.41
Max Pain$69.24$66.00$70.00$66.00$69.00
ATM IV9.8%7.4%12.9%12.9%11.8%
Expected Move2.8%2.1%3.7%3.7%3.4%
HV 20d11.1%8.7%14.2%14.1%8.9%
HV 60d12.2%10.6%13.2%13.2%10.6%
IV Rank20.4%4.5%42.0%42.0%34.0%
IV Percentile43.7%4.8%85.3%85.3%75.8%
Term Structure1.2%-2.6%3.5%-2.6%0.1%
VWIV11.6%7.2%14.3%14.3%10.8%
Skew 25d4.6%2.0%6.9%2.0%2.4%
Skew 10d6.3%-1.2%13.9%-1.2%1.3%
Call IV 25d8.1%5.9%13.4%13.4%9.8%
Put IV 25d12.8%9.3%15.5%15.5%12.2%
Bid-Ask Spread %108.4599.40115.4199.40115.14
Gamma HHI0.180.130.370.130.18
Net GEX117.6K17.9K248.5K41.2K174.1K
Net DEX-1.5M-2.0M-657.8K-1.2M-1.7M
Net VEX-8.6K-9.4K-7.5K-8.9K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.432.250.560.51
Total Volume401.42913582506309
Total OI9507371,1421,065803

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$67.80$66.0012.9%3.7%14.1%42.0%14.3%2.0%-2.6%41.2K-1.2M-8.9K0.5699.40N/AN/A324182564501
2015-04-02$68.10$70.0010.8%3.3%14.2%28.2%12.5%5.5%1.2%17.9K-1.1M-9.4K0.58105.77N/AN/A314182567519
2015-04-06$68.57$70.0010.9%2.8%13.5%27.9%12.7%3.9%2.4%20.2K-1.5M-9.2K0.60102.56N/AN/A289173572519
2015-04-07$68.45$70.0011.8%3.5%13.4%34.4%12.7%5.5%-0.6%51.1K-1.3M-9.2K0.57105.03N/AN/A289166572519
2015-04-08$68.44$70.0011.6%3.3%12.2%33.0%12.8%5.6%0.7%19.0K-657.8K-8.4K2.25112.80N/AN/A49437513
2015-04-09$68.78$70.009.9%2.8%12.2%21.1%12.4%3.7%1.6%49.6K-1.6M-8.2K0.58107.63N/AN/A292170576520
2015-04-10$69.33$70.009.6%2.8%11.8%19.4%12.0%4.4%2.2%87.0K-1.7M-9.1K0.57113.40N/AN/A296168576520
2015-04-13$68.98$70.009.6%2.8%11.8%19.3%11.4%3.8%2.1%106.6K-1.6M-8.5K0.57102.54N/AN/A295168576520
2015-04-14$69.14$70.0010.9%3.1%11.1%28.2%12.2%5.4%2.6%117.6K-1.7M-8.8K0.65107.92N/AN/A303198579520
2015-04-15$69.61$69.007.6%2.2%11.3%5.6%11.8%6.7%3.1%248.5K-1.9M-8.7K0.52109.90N/AN/A384198586539
2015-04-16$69.58$69.008.3%2.4%10.3%10.1%10.5%4.4%2.3%156.3K-2.0M-9.2K0.52107.52N/AN/A384198601538
2015-04-17$68.84$69.0011.4%3.3%10.7%31.5%11.2%2.4%1.7%123.0K-1.7M-8.7K0.53103.19N/AN/A377198604538
2015-04-20$69.52$69.007.4%2.1%11.0%4.7%13.2%6.9%-0.1%111.7K-1.4M-9.3K0.44110.78N/AN/A21895496241
2015-04-21$69.26$69.0012.1%3.5%10.8%35.9%12.0%4.7%-0.9%138.4K-1.4M-8.3K0.46109.30N/AN/A218100499241
2015-04-22$69.57$69.008.4%2.4%10.5%10.9%12.1%5.8%1.8%123.3K-1.5M-8.2K0.45110.88N/AN/A223100499246
2015-04-23$69.67$69.008.1%2.3%9.5%9.3%12.2%6.2%-1.0%145.0K-1.7M-7.7K0.45108.99N/AN/A221100506246
2015-04-24$69.90$69.007.4%2.1%9.4%4.5%7.2%2.4%2.6%174.8K-1.7M-8.2K0.43107.45N/AN/A234100506246
2015-04-27$69.63$69.008.3%2.4%9.6%10.1%12.3%4.6%1.3%160.6K-1.7M-7.5K0.45107.84N/AN/A228103520246
2015-04-28$70.13$69.007.8%2.2%8.9%7.1%7.8%6.0%3.5%195.1K-1.7M-9.1K0.52113.96N/AN/A204106528248
2015-04-29$69.91$69.008.6%2.5%8.7%12.3%8.7%5.4%2.1%207.4K-1.8M-8.4K0.52115.41N/AN/A204106552251
2015-04-30$69.41$69.0011.8%3.4%8.9%34.0%10.8%2.4%0.1%174.1K-1.7M-8.6K0.51115.14N/AN/A204105552251