VYM Options History — September 2015

In September 2015, VYM traded between $61.49 and $64.72. ATM implied volatility averaged 18.3%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 7.0% (HV 20d: 25.3%). Max pain ranged from $64.00 to $66.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 3.82.

Notable Days

  • 2015-09-09: Highest Volume — 673 contracts
  • 2015-09-23: Largest IV spike — 77.2% change
  • 2015-09-01: Highest IV Rank — 91.0%
  • 2015-09-01: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.08$61.49$64.72$62.22$62.68
Max Pain$64.90$64.00$66.00$66.00$64.00
ATM IV18.3%10.1%26.1%26.1%17.0%
Expected Move5.2%2.9%7.5%7.5%4.9%
HV 20d25.3%21.7%27.8%24.2%22.7%
HV 60d17.8%16.5%19.0%16.5%19.0%
IV Rank55.6%18.0%91.0%91.0%49.5%
IV Percentile90.5%38.5%99.6%99.6%89.3%
Term Structure-0.7%-4.7%3.6%-3.3%-0.8%
VWIV17.8%15.0%22.4%22.4%19.0%
Skew 25d6.3%2.5%10.7%3.3%10.7%
Skew 10d14.7%7.6%21.8%21.8%15.1%
Call IV 25d15.9%11.9%24.7%24.7%12.4%
Put IV 25d22.3%17.7%28.0%28.0%23.1%
Bid-Ask Spread %97.4786.43108.6798.28101.91
Gamma HHI0.250.190.360.190.22
Net GEX-172.5K-372.4K-53.1K-53.1K-152.8K
Net DEX2.3M1.4M2.9M2.2M2.4M
Net VEX-12.7K-14.8K-9.8K-13.7K-11.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.820.3363.400.540.70
Total Volume443.5512673441368
Total OI1,564.51,3591,7611,5181,455

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$62.22$66.0026.1%7.5%24.2%91.0%22.4%3.3%-3.3%-53.1K2.2M-13.7K0.5498.28N/AN/A286155772746
2015-09-02$63.09$66.0021.3%6.1%24.8%69.1%19.2%3.1%-1.9%-62.0K2.1M-14.0K0.55101.13N/AN/A282154777746
2015-09-03$63.55$65.0020.5%5.0%25.1%65.5%16.4%8.6%-1.3%-70.2K1.7M-14.5K0.4092.65N/AN/A386154778746
2015-09-04$62.61$65.0020.8%5.5%25.4%66.6%18.1%7.9%-1.4%-72.4K2.2M-13.6K0.4294.89N/AN/A386164776749
2015-09-08$63.95$65.0018.4%5.0%26.4%56.0%17.5%6.5%0.1%-127.3K1.8M-13.5K63.4096.60N/AN/A10634714754
2015-09-09$62.93$65.0019.8%5.7%26.7%62.1%19.0%4.7%-2.2%-220.6K2.4M-14.8K1.4096.34N/AN/A281392786965
2015-09-10$63.19$65.0019.4%5.6%26.8%60.4%18.0%9.8%-0.5%-237.2K2.9M-13.4K0.6786.43N/AN/A281189730975
2015-09-11$63.30$65.0017.0%4.9%26.8%49.5%16.1%2.5%-0.6%-291.7K2.8M-13.9K0.6998.88N/AN/A281195733981
2015-09-14$63.13$65.0018.8%5.4%26.7%57.8%17.9%9.6%-2.6%-321.7K2.9M-13.4K0.7098.53N/AN/A278196733991
2015-09-15$64.07$65.0015.7%4.5%27.4%43.8%0.0%4.1%0.6%-372.4K2.2M-13.4K0.3396.42N/AN/A93733992
2015-09-16$64.72$65.0013.8%3.9%27.8%34.8%17.1%9.7%0.3%-299.6K1.8M-13.5K0.7094.13N/AN/A283199744995
2015-09-17$64.47$65.0015.2%4.4%27.7%41.3%15.7%5.4%-0.7%-212.8K1.4M-13.6K0.70108.67N/AN/A283199756995
2015-09-18$63.53$65.0014.8%4.2%27.7%39.6%16.0%3.4%1.0%-144.0K2.1M-12.5K1.01100.10N/AN/A283286766995
2015-09-21$63.77$65.0010.1%2.9%26.2%18.0%15.0%9.2%3.6%-170.5K1.9M-11.9K0.6298.74N/AN/A253157634725
2015-09-23$62.42$65.0017.8%5.1%24.5%53.4%16.7%7.0%1.2%-136.6K2.4M-11.0K0.7595.03N/AN/A200150652737
2015-09-24$62.31$65.0019.1%5.5%23.8%59.3%16.7%8.9%0.0%-131.6K2.5M-10.7K0.6796.55N/AN/A218147653739
2015-09-25$62.61$64.0017.5%5.0%22.4%51.8%17.3%4.5%0.1%-141.0K2.3M-11.0K0.68100.91N/AN/A218148674741
2015-09-28$61.49$64.0022.6%6.5%21.7%75.0%20.3%3.5%-4.7%-112.5K2.6M-10.1K0.7697.51N/AN/A218166675744
2015-09-29$61.62$64.0020.9%6.0%21.7%67.5%20.3%4.0%-0.3%-119.3K2.8M-9.8K0.7495.76N/AN/A218161676757
2015-09-30$62.68$64.0017.0%4.9%22.7%49.5%19.0%10.7%-0.8%-152.8K2.4M-11.4K0.70101.91N/AN/A217151676779