VYM Options History — July 2015

In July 2015, VYM traded between $66.76 and $69.11. ATM implied volatility averaged 11.2%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 0.0% (HV 20d: 11.2%). Max pain ranged from $64.00 to $68.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2015-07-27: Highest Volume — 767 contracts
  • 2015-07-14: Largest IV spike — 155.2% change
  • 2015-07-08: Highest IV Rank — 73.2%
  • 2015-07-08: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.00$66.76$69.11$67.75$67.97
Max Pain$65.73$64.00$68.00$67.00$68.00
ATM IV11.2%6.1%17.6%12.8%7.7%
Expected Move3.1%2.0%4.2%3.7%2.2%
HV 20d11.2%10.5%11.9%10.9%11.0%
HV 60d9.7%9.5%10.1%9.5%9.9%
IV Rank32.5%0.0%73.2%40.7%10.6%
IV Percentile53.1%0.0%98.8%82.5%8.3%
Term Structure0.9%-2.9%4.2%-2.9%4.0%
VWIV11.4%7.5%15.2%14.8%8.4%
Skew 25d3.5%-2.1%6.3%6.2%2.4%
Skew 10d6.0%1.5%12.9%7.2%3.3%
Call IV 25d9.7%7.3%13.0%11.9%9.5%
Put IV 25d13.2%7.1%18.0%18.0%11.9%
Bid-Ask Spread %106.3389.35114.16113.17113.95
Gamma HHI0.170.140.260.160.14
Net GEX54.3K-75.2K220.1K88.8K-23.6K
Net DEX-701.2K-1.6M403.0K-881.6K-96.3K
Net VEX-6.8K-10.7K-4.9K-6.6K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.281.850.300.49
Total Volume472.5340767373362
Total OI881.7734751,0089431,007

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$67.75$67.0012.8%3.7%10.9%40.7%14.8%6.2%-2.9%88.8K-881.6K-6.6K0.30113.17N/AN/A28885634309
2015-07-02$67.84$67.0012.8%3.7%10.5%40.9%15.2%5.3%-0.1%80.6K-873.3K-6.6K0.28103.24N/AN/A28881634313
2015-07-06$67.51$64.0013.6%3.7%10.6%46.2%11.4%6.3%1.8%64.7K-802.9K-6.1K0.2989.35N/AN/A32695627313
2015-07-07$68.05$64.0012.3%3.2%11.0%37.4%13.9%4.3%0.4%48.8K-926.6K-5.8K0.3199.41N/AN/A334105587328
2015-07-08$67.24$64.0017.6%4.2%11.7%73.2%14.0%3.8%-0.4%80.9K-765.4K-5.9K0.35104.22N/AN/A296105599329
2015-07-09$67.31$64.0017.2%4.1%10.9%70.3%13.0%5.4%0.4%60.5K-763.8K-6.0K0.36104.58N/AN/A294105597329
2015-07-10$67.94$64.0015.6%3.8%11.6%59.8%12.2%3.3%-0.2%101.5K-1.0M-5.5K0.3690.05N/AN/A294105598329
2015-07-13$68.53$64.006.1%3.2%11.9%0.0%13.5%5.7%-1.1%90.5K-1.2M-5.2K0.38106.26N/AN/A300113598329
2015-07-14$68.73$64.0015.6%3.2%11.8%61.3%13.0%6.1%0.5%104.2K-1.2M-5.5K0.39105.96N/AN/A300117605335
2015-07-15$68.58$64.009.6%2.7%11.6%22.4%12.1%5.4%0.7%115.5K-1.2M-5.2K0.39102.68N/AN/A312122605340
2015-07-16$69.11$64.007.8%2.2%11.9%11.0%8.8%2.3%3.9%220.1K-1.6M-5.1K0.39111.45N/AN/A304119629345
2015-07-17$68.78$64.0010.9%3.1%11.4%31.2%10.9%3.5%-1.0%96.0K-1.4M-4.9K0.38107.44N/AN/A312117632343
2015-07-20$68.71$64.009.6%2.7%11.3%22.3%9.5%1.1%0.9%83.2K-911.6K-5.4K0.39107.20N/AN/A24496341134
2015-07-21$68.34$66.0010.4%3.0%11.3%27.7%10.5%0.3%2.6%100.5K-905.1K-5.5K0.43107.47N/AN/A253110382157
2015-07-22$68.08$67.009.3%2.7%11.3%21.0%10.1%5.1%2.7%82.1K-761.1K-6.0K0.44110.34N/AN/A253112398184
2015-07-23$67.74$67.009.5%2.7%11.2%21.9%8.1%2.4%1.9%63.2K-613.1K-5.7K1.85107.69N/AN/A268497397186
2015-07-24$67.14$68.0010.9%3.1%11.5%30.9%11.7%2.2%0.8%-66.9K293.8K-10.7K1.85109.62N/AN/A268497395580
2015-07-27$66.76$68.0012.3%3.5%11.4%39.8%12.5%2.1%-0.1%-75.2K403.0K-10.1K1.84107.18N/AN/A270497395580
2015-07-28$67.61$68.009.3%2.7%10.6%20.4%10.5%4.3%-1.6%-69.5K325.3K-10.3K1.05109.81N/AN/A288302395580
2015-07-29$68.17$68.006.9%2.0%11.0%5.1%7.5%-2.1%4.2%-37.8K-327.9K-8.8K1.17114.06N/AN/A269314413580
2015-07-30$68.21$68.009.2%2.6%10.9%20.2%9.2%2.3%1.8%-12.6K-248.2K-9.2K1.19114.16N/AN/A264314413595
2015-07-31$67.97$68.007.7%2.2%11.0%10.6%8.4%2.4%4.0%-23.6K-96.3K-10.1K0.49113.95N/AN/A243119412595