VYM Options History — June 2015

In June 2015, VYM traded between $67.39 and $69.94. ATM implied volatility averaged 10.6%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.2% (HV 20d: 8.4%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.29.

Notable Days

  • 2015-06-15: Highest Volume — 398 contracts
  • 2015-06-29: Largest IV spike — 51.7% change
  • 2015-06-30: Highest IV Rank — 58.0%
  • 2015-06-30: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.08$67.39$69.94$69.70$67.47
Max Pain$66.45$65.00$70.00$70.00$67.00
ATM IV10.6%6.9%15.3%11.3%15.3%
Expected Move3.0%2.0%4.4%3.2%4.4%
HV 20d8.4%6.8%10.8%8.8%10.8%
HV 60d9.6%8.8%10.9%10.9%9.5%
IV Rank26.3%0.7%58.0%30.7%58.0%
IV Percentile54.0%0.4%96.8%69.4%96.8%
Term Structure1.1%-3.0%8.4%-1.2%-0.5%
VWIV11.9%9.2%16.7%9.2%15.0%
Skew 25d5.2%2.4%8.7%4.6%2.6%
Skew 10d6.5%2.0%12.3%4.5%4.8%
Call IV 25d8.8%6.0%14.7%7.6%14.7%
Put IV 25d14.0%11.5%17.3%12.2%17.3%
Bid-Ask Spread %108.4693.86115.32110.08111.17
Gamma HHI0.250.150.340.320.15
Net GEX167.3K82.2K287.3K195.9K82.2K
Net DEX-1.4M-2.0M-818.0K-1.6M-818.0K
Net VEX-6.9K-8.1K-6.1K-6.3K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.250.380.380.28
Total Volume347.51398303370
Total OI898.955789942837941

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$69.70$70.0011.3%3.2%8.8%30.7%9.2%4.6%-1.2%195.9K-1.6M-6.3K0.38110.08N/AN/A21984569268
2015-06-02$69.61$70.0011.2%3.2%8.7%29.9%0.0%3.9%-1.1%175.6K-1.1M-6.7K0.00111.83N/AN/A01521268
2015-06-03$69.66$70.0010.2%2.9%8.0%23.4%9.4%5.1%-2.2%203.7K-1.5M-7.1K0.37113.27N/AN/A22081581268
2015-06-04$69.00$65.0013.2%3.3%8.4%43.5%12.6%7.4%8.4%135.4K-1.3M-7.6K0.36104.56N/AN/A24286581268
2015-06-05$68.80$65.0011.9%2.8%8.3%34.8%12.7%3.7%-1.8%151.3K-1.1M-6.1K0.2795.13N/AN/A30281561276
2015-06-08$68.56$65.0010.5%3.6%7.0%25.4%12.4%3.9%-1.5%120.4K-1.2M-7.8K0.2893.86N/AN/A29181621278
2015-06-09$68.62$65.0012.3%3.0%6.8%37.8%16.7%4.4%7.7%119.0K-1.1M-8.1K0.2898.45N/AN/A29181617278
2015-06-10$69.35$65.0011.2%3.2%7.9%29.9%14.5%8.7%6.3%128.4K-1.4M-8.1K0.26107.36N/AN/A29677617278
2015-06-11$69.44$65.0010.4%3.0%7.9%24.5%12.6%7.4%0.8%169.7K-1.5M-7.5K0.25108.60N/AN/A30777627283
2015-06-12$68.97$65.009.7%2.8%7.5%20.0%12.9%5.3%3.7%149.7K-1.3M-7.7K0.25110.20N/AN/A30778640283
2015-06-15$68.60$65.009.6%2.7%7.6%19.1%11.8%6.9%-0.6%163.4K-1.2M-6.5K0.30110.98N/AN/A30791640284
2015-06-16$68.97$66.0011.7%3.3%7.9%33.2%13.8%7.8%-1.5%135.4K-1.1M-7.2K0.30107.11N/AN/A30791640296
2015-06-17$69.20$66.0011.1%3.2%8.1%29.0%10.8%6.8%-3.0%151.2K-1.5M-6.5K0.30114.21N/AN/A30491642296
2015-06-18$69.89$66.006.9%2.0%8.9%0.7%9.4%6.0%1.4%234.9K-1.9M-6.1K0.30107.81N/AN/A30191643296
2015-06-19$69.62$65.009.8%2.8%9.0%20.3%12.2%5.8%1.2%228.0K-1.8M-6.5K0.27106.97N/AN/A30182651291
2015-06-22$69.94$67.007.2%2.1%9.1%3.0%9.8%7.7%3.3%192.6K-1.8M-6.8K0.26115.32N/AN/A26569606282
2015-06-23$69.89$67.008.3%2.4%8.6%10.1%9.5%2.5%1.3%287.3K-2.0M-6.5K0.27113.48N/AN/A26772623285
2015-06-24$69.43$67.009.4%2.7%8.5%18.2%10.0%3.5%1.4%230.4K-1.8M-6.3K0.27114.50N/AN/A26872622285
2015-06-25$69.13$67.0010.5%3.0%8.6%25.7%10.6%2.4%-2.6%185.7K-1.6M-6.2K0.32110.43N/AN/A27287623285
2015-06-26$68.62$67.009.0%2.6%8.8%15.1%10.1%3.1%1.7%140.0K-1.3M-6.7K0.26115.06N/AN/A29074624300
2015-06-29$67.39$67.0013.6%3.9%10.7%46.4%13.6%4.7%1.7%99.4K-975.3K-6.7K0.28105.77N/AN/A28982637302
2015-06-30$67.47$67.0015.3%4.4%10.8%58.0%15.0%2.6%-0.5%82.2K-818.0K-6.5K0.28111.17N/AN/A28882632309