VYM Options History — October 2015

In October 2015, VYM traded between $62.11 and $68.23. ATM implied volatility averaged 13.5%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 4.6% (HV 20d: 18.1%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2015-10-16: Highest Volume — 477 contracts
  • 2015-10-05: Largest IV drop — 33.9% change
  • 2015-10-01: Highest IV Rank — 65.3%
  • 2015-10-01: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.20$62.11$68.23$62.11$68.05
Max Pain$61.86$60.00$65.00$64.00$65.00
ATM IV13.5%10.8%20.5%20.5%13.8%
Expected Move4.0%3.3%5.9%5.9%4.0%
HV 20d18.1%13.4%21.9%19.8%13.4%
HV 60d20.0%18.9%20.4%18.9%20.3%
IV Rank33.6%21.4%65.3%65.3%34.9%
IV Percentile72.6%46.0%94.8%94.8%78.6%
Term Structure0.3%-3.1%5.9%-3.1%-0.4%
VWIV14.3%11.6%19.4%19.4%14.0%
Skew 25d5.8%2.4%8.6%2.4%8.6%
Skew 10d9.6%-18.6%17.5%4.9%11.8%
Call IV 25d11.3%8.6%21.0%21.0%9.3%
Put IV 25d17.1%14.5%23.4%23.4%17.9%
Bid-Ask Spread %103.9175.53120.45101.67114.25
Gamma HHI0.210.160.270.210.21
Net GEX66.6K-204.2K231.7K-138.4K204.3K
Net DEX-792.6K-2.3M2.5M2.5M-2.2M
Net VEX-12.0K-13.5K-10.5K-10.5K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.370.690.690.42
Total Volume394.13647477371413
Total OI1,391.5911,0441,6181,4601,289

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$62.11$64.0020.5%5.9%19.8%65.3%19.4%2.4%-3.1%-138.4K2.5M-10.5K0.69101.67N/AN/A220151680780
2015-10-02$63.35$64.0017.8%5.1%20.4%53.5%16.6%6.6%-1.0%-204.2K2.1M-11.1K0.62102.54N/AN/A247154687781
2015-10-05$64.84$60.0011.8%4.2%21.9%25.9%11.6%4.9%-1.9%-192.4K549.7K-12.1K0.38100.06N/AN/A3413722789
2015-10-06$64.88$60.0014.4%4.1%21.1%37.8%15.4%5.8%-0.2%-114.2K535.5K-12.4K0.6675.53N/AN/A245162751778
2015-10-07$65.39$60.0013.9%4.3%20.0%35.4%16.2%5.9%0.9%-136.9K-362.3K-12.3K0.5588.22N/AN/A290159775781
2015-10-08$66.12$60.0010.8%3.8%19.2%21.4%15.5%7.1%-0.0%96.9K-979.8K-11.5K0.5688.08N/AN/A290161825779
2015-10-09$65.99$60.0013.7%4.7%19.2%34.3%17.0%8.1%5.9%13.3K-1.1M-13.2K0.52120.45N/AN/A296155825781
2015-10-12$65.92$60.0012.5%3.6%19.3%29.2%13.5%5.0%1.0%95.5K-948.9K-11.4K0.5298.12N/AN/A303157831786
2015-10-13$65.58$60.0011.9%3.9%19.4%26.5%14.8%5.3%0.7%99.6K-786.6K-11.4K0.5199.65N/AN/A303156832780
2015-10-14$65.30$60.0014.1%4.1%18.9%36.6%14.7%3.2%0.5%-42.2K-579.9K-11.6K0.52109.48N/AN/A294152832779
2015-10-15$66.22$60.0012.8%3.7%19.2%30.3%13.0%7.8%0.6%158.3K-1.0M-11.5K0.51108.18N/AN/A298153831780
2015-10-16$66.62$61.0012.0%3.4%19.1%26.9%14.0%6.3%0.3%98.2K-1.3M-11.3K0.49109.11N/AN/A320157837781
2015-10-19$66.44$61.0011.8%3.4%18.2%25.9%13.6%3.9%1.5%112.8K-826.5K-10.8K0.52107.39N/AN/A217112610434
2015-10-20$66.38$61.0013.5%3.9%18.3%33.5%11.9%4.5%0.2%101.7K-686.1K-11.0K0.3999.88N/AN/A283111616439
2015-10-21$66.16$63.0013.7%3.9%16.2%34.7%12.2%4.3%-0.3%135.4K-820.2K-11.8K0.51107.41N/AN/A228117695445
2015-10-22$67.37$63.0012.8%3.7%17.0%30.3%12.0%4.5%-0.5%167.1K-1.4M-12.1K0.46112.95N/AN/A254117699446
2015-10-23$68.08$63.0013.3%3.8%17.1%32.6%13.2%6.3%-0.2%169.6K-2.1M-12.8K0.4299.12N/AN/A277117740446
2015-10-26$67.83$63.0012.9%3.7%15.3%31.0%13.9%7.6%1.4%199.2K-2.0M-12.7K0.37110.39N/AN/A26898763446
2015-10-27$67.52$63.0011.7%3.3%15.6%25.4%13.8%5.5%1.9%196.9K-1.7M-13.1K0.44106.58N/AN/A260114772448
2015-10-28$68.23$65.0013.3%3.8%15.1%32.6%13.4%7.0%-0.2%231.7K-2.3M-12.1K0.40112.55N/AN/A288116775469
2015-10-29$68.11$65.0013.8%4.0%14.5%35.1%14.3%7.7%-0.7%212.4K-2.1M-13.4K0.42114.36N/AN/A290121806474
2015-10-30$68.05$65.0013.8%4.0%13.4%34.9%14.0%8.6%-0.4%204.3K-2.2M-13.5K0.42114.25N/AN/A291122810479