VYM Options History — May 2015

In May 2015, VYM traded between $69.03 and $70.51. ATM implied volatility averaged 10.3%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 0.8% (HV 20d: 9.5%). Max pain ranged from $69.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2015-05-27: Highest Volume — 356 contracts
  • 2015-05-05: Largest IV spike — 35.1% change
  • 2015-05-12: Highest IV Rank — 52.6%
  • 2015-05-06: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.95$69.03$70.51$69.86$69.78
Max Pain$69.95$69.00$70.00$69.00$70.00
ATM IV10.3%6.9%14.5%6.9%10.4%
Expected Move2.8%2.0%3.6%2.0%3.0%
HV 20d9.5%8.8%10.5%9.0%9.1%
HV 60d10.7%10.4%10.9%10.6%10.9%
IV Rank23.9%0.9%52.6%0.9%25.0%
IV Percentile51.5%0.8%92.5%0.8%56.0%
Term Structure0.7%-2.2%3.5%2.5%-0.2%
VWIV9.4%6.6%11.1%7.7%10.7%
Skew 25d3.6%1.2%5.5%2.4%1.8%
Skew 10d4.8%0.9%12.2%12.2%0.9%
Call IV 25d8.2%6.5%10.3%7.5%10.3%
Put IV 25d11.8%9.8%14.0%9.8%12.0%
Bid-Ask Spread %109.82102.76117.27111.64111.29
Gamma HHI0.250.180.360.220.30
Net GEX205.0K126.7K327.9K231.4K211.9K
Net DEX-1.7M-2.3M-1.4M-1.5M-1.7M
Net VEX-7.6K-9.0K-6.2K-8.9K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.000.510.510.40
Total Volume239.651356310293
Total OI806.05704872805829

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$69.86$69.006.9%2.0%9.0%0.9%7.7%2.4%2.5%231.4K-1.5M-8.9K0.51111.64N/AN/A205105552253
2015-05-04$70.11$70.008.9%2.6%8.8%14.3%0.0%5.5%0.6%208.2K-1.6M-7.7K0.00115.51N/AN/A02503247
2015-05-05$69.44$70.0012.0%3.3%9.5%35.3%9.5%3.6%-0.7%171.6K-1.6M-8.9K0.37107.36N/AN/A21479563254
2015-05-06$69.03$70.0012.6%3.6%9.8%39.2%11.1%3.2%-0.4%168.8K-1.4M-9.0K0.35102.76N/AN/A22779574257
2015-05-07$69.30$70.0013.1%3.4%9.8%43.2%9.9%4.3%-0.3%205.6K-1.6M-8.5K0.34108.67N/AN/A23479589257
2015-05-08$70.15$70.0010.9%2.7%10.3%28.2%6.6%3.7%1.2%229.5K-1.7M-6.6K0.21114.26N/AN/A143537252
2015-05-11$69.77$70.0013.2%2.9%10.3%43.3%10.5%4.9%0.4%253.5K-1.6M-8.0K0.00112.59N/AN/A10551253
2015-05-12$69.62$70.0014.5%3.3%10.4%52.6%10.8%4.5%-1.9%277.1K-1.9M-7.4K0.35106.23N/AN/A23381611259
2015-05-13$69.60$70.009.8%2.8%10.1%20.4%10.3%4.9%0.7%262.1K-1.8M-8.2K0.35112.83N/AN/A23381611259
2015-05-14$70.21$70.009.5%2.7%10.5%18.7%9.7%5.4%0.7%327.9K-2.1M-7.5K0.35102.96N/AN/A23382611259
2015-05-15$70.32$70.009.8%2.8%9.7%20.6%9.6%2.8%2.0%197.1K-2.3M-6.9K0.38112.27N/AN/A22987612260
2015-05-18$70.40$70.008.7%2.5%9.1%13.4%0.0%2.8%3.2%127.8K-1.4M-7.2K0.50108.24N/AN/A21464240
2015-05-19$70.37$70.009.0%2.6%9.0%15.0%0.0%5.3%3.5%126.7K-1.4M-7.8K0.04106.03N/AN/A251466241
2015-05-20$70.44$70.009.8%2.8%8.9%20.9%8.8%4.1%2.8%154.3K-1.7M-7.3K0.28106.64N/AN/A23366501246
2015-05-21$70.51$70.007.2%2.1%8.9%3.4%8.3%5.0%0.1%192.1K-1.9M-7.3K0.33114.86N/AN/A22875534248
2015-05-22$70.22$70.008.6%2.5%9.0%12.3%8.5%1.5%1.4%192.4K-1.8M-6.8K0.33117.27N/AN/A22875534254
2015-05-26$69.65$70.0011.2%3.2%9.3%29.7%9.7%1.5%-2.2%179.0K-1.5M-6.5K0.32107.44N/AN/A26885534254
2015-05-27$70.15$70.009.6%2.8%9.3%19.2%7.9%3.7%1.5%173.4K-1.4M-7.7K0.31108.99N/AN/A27185562261
2015-05-28$70.13$70.009.9%2.8%9.3%21.4%9.8%1.2%-0.3%208.7K-1.8M-6.9K0.31108.46N/AN/A27185568261
2015-05-29$69.78$70.0010.4%3.0%9.1%25.0%10.7%1.8%-0.2%211.9K-1.7M-6.2K0.40111.29N/AN/A20984568261