VYM Options History — August 2015

In August 2015, VYM traded between $61.55 and $68.24. ATM implied volatility averaged 14.6%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.4% (HV 20d: 13.2%). Max pain ranged from $66.00 to $69.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2015-08-12: Highest Volume — 517 contracts
  • 2015-08-24: Largest IV spike — 55.3% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.33$61.55$68.24$67.83$64.28
Max Pain$67.00$66.00$69.00$68.00$66.00
ATM IV14.6%8.8%28.1%8.8%22.1%
Expected Move4.2%2.5%8.1%2.5%6.3%
HV 20d13.2%9.4%21.7%10.9%21.7%
HV 60d11.2%9.5%15.2%9.9%15.2%
IV Rank45.3%17.4%100.0%17.7%72.6%
IV Percentile66.0%21.0%100.0%21.8%99.2%
Term Structure-1.1%-5.9%2.3%1.1%-3.0%
VWIV13.9%7.1%22.6%10.1%20.3%
Skew 25d4.9%1.4%15.2%3.4%5.3%
Skew 10d7.5%1.5%20.4%3.4%10.6%
Call IV 25d12.2%7.6%23.4%8.6%19.2%
Put IV 25d17.1%10.0%32.2%12.0%24.6%
Bid-Ask Spread %104.9490.38114.53113.02100.32
Gamma HHI0.190.140.230.160.19
Net GEX-10.0K-70.6K82.4K-69.2K-46.0K
Net DEX469.1K-454.4K2.3M453.7K1.5M
Net VEX-12.2K-15.4K-9.4K-9.4K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.180.540.500.54
Total Volume406.571551745445
Total OI1,269.2869501,5139501,513

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$67.83$68.008.8%2.5%10.9%17.7%0.0%3.4%1.1%-69.2K453.7K-9.4K0.50113.02N/AN/A3015350600
2015-08-04$67.62$68.008.8%2.5%10.5%17.4%10.1%3.4%1.5%-36.6K139.6K-10.8K0.37113.50N/AN/A321119442615
2015-08-05$67.96$68.009.0%2.6%9.7%18.8%8.9%3.1%1.5%4.0K-133.0K-11.1K0.35110.65N/AN/A329114490615
2015-08-06$67.71$69.0010.8%3.0%9.8%30.2%9.0%4.6%0.1%2.5K10.0K-11.7K0.41106.69N/AN/A282115506629
2015-08-07$67.40$69.0011.7%3.3%9.4%36.2%11.1%3.2%0.2%-16.7K209.0K-11.3K0.34106.49N/AN/A362123507630
2015-08-10$68.24$69.009.1%2.5%9.9%19.6%7.1%3.2%2.3%70.4K-386.3K-13.0K0.35107.56N/AN/A362126617633
2015-08-11$67.70$69.0010.5%3.1%10.2%28.7%12.8%1.4%-0.2%-3.2K-79.0K-11.5K0.00106.74N/AN/A05555641
2015-08-12$67.81$69.0010.2%2.9%10.2%26.7%10.5%2.1%0.8%17.0K-28.1K-12.8K0.34101.81N/AN/A387130617646
2015-08-13$67.74$66.0010.8%3.1%9.8%30.3%12.0%4.5%-0.3%37.4K-434.3K-11.5K0.3497.06N/AN/A387130638646
2015-08-14$67.97$66.0010.6%3.0%9.8%29.3%10.3%5.3%-0.1%57.9K-350.1K-13.0K0.34105.85N/AN/A387130638646
2015-08-17$68.24$66.009.9%2.8%9.9%24.6%9.6%4.2%1.0%82.4K-397.1K-12.5K0.49105.69N/AN/A285141638646
2015-08-18$68.00$66.0010.1%2.9%9.8%26.0%11.3%3.8%0.1%59.3K-454.4K-11.9K0.48103.07N/AN/A287138647647
2015-08-19$67.45$66.0012.8%3.7%10.1%43.4%14.8%4.0%-1.8%-30.9K9.6K-10.9K0.18106.17N/AN/A15328588647
2015-08-20$66.41$66.0015.1%4.3%11.4%58.4%14.1%3.5%-1.1%10.1K66.1K-13.9K0.44105.54N/AN/A342149741675
2015-08-21$64.65$66.0018.1%5.2%14.4%77.5%17.1%4.1%-3.5%-37.3K999.1K-13.7K0.4795.18N/AN/A331155743683
2015-08-24$62.56$66.0028.1%8.1%18.1%100.0%22.6%8.8%-5.9%-68.1K2.0M-11.8K0.3390.38N/AN/A30199632657
2015-08-25$61.55$66.0025.3%7.3%17.6%87.5%20.8%4.3%-3.9%-66.2K2.3M-10.7K0.34114.53N/AN/A319108644656
2015-08-26$62.96$66.0020.7%5.9%19.7%66.5%18.7%15.2%-3.5%-70.6K2.0M-11.9K0.28107.72N/AN/A35899714676
2015-08-27$64.34$66.0021.1%6.1%21.6%68.3%17.8%8.5%-3.7%-64.9K1.4M-12.9K0.33106.70N/AN/A357118720690
2015-08-28$64.45$66.0022.0%6.3%21.7%72.3%19.1%7.5%-3.9%-42.3K1.1M-14.5K0.4799.09N/AN/A320151729708
2015-08-31$64.28$66.0022.1%6.3%21.7%72.6%20.3%5.3%-3.0%-46.0K1.5M-15.4K0.54100.32N/AN/A289156772741